Package org.jquantlib.currencies.Europe

Examples of org.jquantlib.currencies.Europe.EURCurrency


        assertEquals(chf.rounding().type(), Rounding.Type.None);
        //Note: the initialization of the triangulated currency is a little bit suspicious...
        assertTrue(chf.triangulationCurrency().getClass() == Currency.class);
        assertTrue(chf.triangulationCurrency().empty());
        QL.info("testing overloaded operators....(only class based)");
        final EURCurrency euro = new EURCurrency();
        final CHFCurrency chf2 = new CHFCurrency();
        assertFalse(euro.equals(chf));
        assertTrue(euro.notEquals(chf));
        assertFalse(chf2.notEquals(chf));
        assertTrue(chf2.equals(chf));

    }
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    public Euribor365(final Period tenor, final Handle<YieldTermStructure> h) {
        super("Euribor365", tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                euriborConvention(tenor),
                euriborEOM(tenor),
                new Actual365Fixed(),
                h);
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        JointCalendarRule.JoinHolidays);
    QL.require(this.tenor().units()!= TimeUnit.Days,
        "for daily tenors (" + this.tenor() +
            ") dedicated DailyTenor constructor must be used");

    QL.require(! currency.equals(new EURCurrency()),
    "for EUR Libor dedicated EurLibor constructor must be used");

  }
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    public Euribor(final Period tenor, final Handle<YieldTermStructure> h) {
        super("Euribor",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                euriborConvention(tenor),
                euriborEOM(tenor),
                new Actual360(),
                h);
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     */
    private void addKnownRates() {
        final Date maxDate = Date.maxDate();
        // currencies obsoleted by Euro
        add(new ExchangeRate(
                new EURCurrency(),
                new ATSCurrency(), 13.7603),
                new Date(1, Month.January,1999),
                maxDate);
        add(new ExchangeRate(
                new EURCurrency(),
                new BEFCurrency(), 40.3399),
                new Date(1, Month.January, 1999),
                maxDate);
        add(new ExchangeRate(
                new EURCurrency(),
                new DEMCurrency(), 1.95583),
                new Date(1, Month.January, 1999),
                maxDate);
        add(new ExchangeRate(
                new EURCurrency(),
                new ESPCurrency(), 166.386),
                new Date(1, Month.January, 1999),
                maxDate);
        add(new ExchangeRate(
                new EURCurrency(),
                new FIMCurrency(), 5.94573),
                new Date(1, Month.January, 1999),
                maxDate);
        add(new ExchangeRate(
                new EURCurrency(),
                new FRFCurrency(), 6.55957),
                new Date(1, Month.January, 1999),
                maxDate);
        add(new ExchangeRate(
                new EURCurrency(),
                new GRDCurrency(), 340.750),
                new Date(1, Month.January, 2001),
                maxDate);
        add(new ExchangeRate(
                new EURCurrency(),
                new IEPCurrency(), 0.787564),
                new Date(1, Month.January, 1999),
                maxDate);
        add(new ExchangeRate(
                new EURCurrency(),
                new ITLCurrency(), 1936.27),
                new Date(1, Month.January, 1999),
                maxDate);
        add(new ExchangeRate(
                new EURCurrency(),
                new LUFCurrency(), 40.3399),
                new Date(1, Month.January, 1999),
                maxDate);
        add(new ExchangeRate(
                new EURCurrency(),
                new NLGCurrency(), 2.20371),
                new Date(1, Month.January, 1999),
                maxDate);
        add(new ExchangeRate(
                new EURCurrency(),
                new PTECurrency(), 200.482),
                new Date(1, Month.January, 1999),
                maxDate);
        // other obsoleted currencies
        add(new ExchangeRate(
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        assertEquals(chf.rounding().type(), Rounding.Type.None);
        //Note: the initialization of the triangulated currency is a little bit suspicious...
        assertTrue(chf.triangulationCurrency().getClass() == Currency.class);
        assertTrue(chf.triangulationCurrency().empty());
        QL.info("testing overloaded operators....(only class based)");
        final EURCurrency euro = new EURCurrency();
        final CHFCurrency chf2 = new CHFCurrency();
        assertFalse(euro.eq(chf));
        assertTrue(euro.ne(chf));
        assertFalse(chf2.ne(chf));
        assertTrue(chf2.eq(chf));
       
        assertFalse(euro.eq(null));
        assertTrue(chf.eq(chf2));
        assertTrue(chf.eq(chf));
       
        assertTrue(Currency.operatorEquals(chf, chf2));
        assertTrue(Currency.operatorNotEquals(chf, euro));
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              revised,
              interpolated,
              false,
              frequency,
              new Period(3, TimeUnit.Months),
              new EURCurrency(),
              termStructure);
     
    }   
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              new EURegion(),
              revised,
              interpolated,
              frequency,
              new Period(3, TimeUnit.Months),
              new EURCurrency(),
              termStructure);
     
    }
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    public EurLiborSwapIsdaFixB(final Period tenor, final Handle<YieldTermStructure> h) {
        super( "EurLiborSwapIsdaFixB",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new Target(),
                new Period(1,TimeUnit.Years),
                BusinessDayConvention.ModifiedFollowing,
                new Thirty360(Thirty360.Convention.BondBasis),
                tenor.gt(new Period(1,TimeUnit.Years)) ? new EURLibor(new Period(6,TimeUnit.Months), h):
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              revised,
              interpolated,
              true,
              frequency,
              new Period(3, TimeUnit.Months),
              new EURCurrency(),
              termStructure);
     
    }   
View Full Code Here

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