Package org.jquantlib.indexes.ibor

Examples of org.jquantlib.indexes.ibor.JPYLibor


                new JPYCurrency(),
                new Target(),
                new Period(6,TimeUnit.Months),
                BusinessDayConvention.ModifiedFollowing,
                new ActualActual(ActualActual.Convention.ISDA),
                new JPYLibor(new Period(6,TimeUnit.Months), h)
                   
                );
        }
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                new JPYCurrency(),
                new Target(),
                new Period(6,TimeUnit.Months),
                BusinessDayConvention.ModifiedFollowing,
                new ActualActual(ActualActual.Convention.ISDA),
                new JPYLibor(new Period(6,TimeUnit.Months), h)
                   
                );
        }
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      }

      // rate helpers
      vars.instruments = new RateHelper[vars.swaps];

      final IborIndex index = new JPYLibor(new Period(6, TimeUnit.Months));
      for (int i=0; i<vars.swaps; i++) {
          final Handle<Quote> r = new Handle<Quote>(vars.rates[i]);
          vars.instruments[i] = new SwapRateHelper(
                        r, new Period(swapData[i].n, swapData[i].units),
                        vars.calendar,                         // TODO: code review on this line!!!!
                        vars.fixedLegFrequency, vars.fixedLegConvention,
                                  vars.fixedLegDayCounter, index);
      }
     
      vars.termStructure = new PiecewiseYieldCurve(
                      Discount.class, LogLinear.class, IterativeBootstrap.class,
                                      vars.settlement, vars.instruments,
                                      new Actual360(),
                    new Handle/*<Quote>*/[0],
                    new Date[0],
                                      1.0e-12);

        final RelinkableHandle<YieldTermStructure> curveHandle = new RelinkableHandle<YieldTermStructure>();
      curveHandle.linkTo(vars.termStructure);

      // check swaps
      final IborIndex jpylibor6m = new JPYLibor(new Period(6, TimeUnit.Months), curveHandle);
      for (int i=0; i<vars.swaps; i++) {
          final Period tenor = new Period(swapData[i].n, swapData[i].units);

          final VanillaSwap swap = new MakeVanillaSwap(tenor, jpylibor6m, 0.0)
              .withEffectiveDate(vars.settlement)
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