Examples of org.jquantlib.termstructures.InterestRate

org.jquantlib.termstructures.InterestRate
This class encapsulate the interest rate compounding algebra. It manages day-counting conventions, compounding conventions, conversion between different conventions, discount/compound factor calculations, and implied/equivalent rate calculations. @author Richard Gomes


      // The tolerance is high because Andima truncate yields
      final double tolerance = 1.0e-4;


      final InterestRate [] couponRates = new InterestRate[1];
      couponRates[0] = new InterestRate(0.1,new Thirty360(),Compounding.Compounded,Frequency.Annual);


      for (int bondIndex = 0; bondIndex < maturityDates.length; bondIndex++) {


          // plain
          final InterestRate yield = new InterestRate(yields[bondIndex],
                             new Business252(new Brazil()),
                             Compounding.Compounded, Frequency.Annual);


          final Schedule schedule = new Schedule(new Date(1,Month.January,2007),
                            maturityDates[bondIndex], new Period(Frequency.Semiannual),
                            new Brazil(Brazil.Market.SETTLEMENT),
                            BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                            DateGeneration.Rule.Backward, false);


          // fixed coupons
          final Leg cashflows =
              new FixedRateLeg(schedule, new Actual360())
              .withNotionals(faceAmount)
              .withCouponRates(couponRates)
              .withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing).Leg();
          // redemption
          cashflows.add(new SimpleCashFlow(faceAmount, cashflows.last().date()));


          final Bond bond = new Bond(settlementDays, new Brazil(Brazil.Market.SETTLEMENT),
                    faceAmount, cashflows.last().date(),
                    new Date(1,Month.January,2007), cashflows);


          final double cachedPrice = prices[bondIndex];


          final double price = faceAmount*bond.dirtyPrice(yield.rate(),
                                                       yield.dayCounter(),
                                                       yield.compounding(),
                                                       yield.frequency(),
                                                       today)/100;
          if (Math.abs(price-cachedPrice) > tolerance) {
              fail("failed to reproduce cached price:\n"
                          + "    calculated: " + price + "\n"
                          + "    expected:   " + cachedPrice + "\n"

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            final Compounding compounding, Frequency frequency, final Date settlement) {
        if (frequency == Frequency.NoFrequency || frequency == Frequency.Once) {
            frequency = Frequency.Annual;
        }


        final InterestRate y = new InterestRate(yield, dayCounter, compounding,
                frequency);


        /* @Real */double price = 0.0;
        /* @DiscountFactor */double discount = 1.0;
        Date lastDate = new Date();


        for (int i = 0; i < cashflows.size(); ++i) {
            if (cashflows.get(i).hasOccurred(settlement)) {
                continue;
            }


            final Date couponDate = cashflows.get(i).date();
            /* @Real */final double amount = cashflows.get(i).amount();


            if (lastDate.isNull()) {
                // first not-expired coupon
                if (i > 0) {
                    lastDate = cashflows.get(i - 1).date();
                } else {
                    // Coupon coupon = (Coupon )cashflows.get(i);
                    final CashFlow coupon = cashflows.get(i);
                    if (coupon instanceof Coupon && coupon != null) {
                        // if (coupon)
                        lastDate = ((Coupon) coupon).accrualStartDate();
                    } else {
                        lastDate = couponDate.sub(new Period(1, TimeUnit.Years));
                    }
                }
                discount *= y.discountFactor(settlement, couponDate, lastDate,
                        couponDate);
            } else {
                discount *= y.discountFactor(lastDate, couponDate);
            }
            lastDate = couponDate;


            price += amount * discount;
        }

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        // do I adjust this ?
        // valueDate_ = calendar_.adjust(valueDate_,businessDayConvention_);
        final Date fixingDate = calendar.advance (valueDate, -1 * settlementDays, TimeUnit.Days);


        forwardRate = new InterestRate(index.fixing(fixingDate), index.dayCounter(), Compounding.Simple, Frequency.Once);
        this.strikeForwardRate = new InterestRate(strikeForwardRate, index.dayCounter(), Compounding.Simple, Frequency.Once);
        final double strike = notional * this.strikeForwardRate.compoundFactor(valueDate, maturityDate);
        payoff = new ForwardTypePayoff(fraType, strike);


        // income discount curve is irrelevant to a FRA
        incomeDiscountCurve = discountCurve;

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    }


    @Override
    public void performCalculations() {
        final Date fixingDate = calendar.advance(valueDate, -1 * settlementDays, TimeUnit.Days);
        forwardRate = new InterestRate(index.fixing(fixingDate), index.dayCounter(), Compounding.Simple, Frequency.Once);
        underlyingSpotValue = spotValue();
        underlyingIncome = 0.0;
        super.performCalculations();
    }

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    private double  rebate()  {
        return a.rebate;
    }


    private double /*@Rate*/  riskFreeRate()  {
        final InterestRate rate =  this.process.riskFreeRate().currentLink().zeroRate(residualTime(), Compounding.Continuous,
                Frequency.NoFrequency, false);
        return rate.rate();
    }

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    private double /*@DiscountFactor*/  riskFreeDiscount()  {
        return this.process.riskFreeRate().currentLink().discount(residualTime());
    }


    private double /*@Rate*/  dividendYield()  {
        final InterestRate yield = this.process.dividendYield().currentLink().zeroRate(
                residualTime(), Compounding.Continuous, Frequency.NoFrequency, false);
        return yield.rate();
    }

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     * #initializeStepCondition()
     */
    @Override
    protected void initializeStepCondition() {
        final double residualTime = getResidualTime();
        final InterestRate riskFreeRate = process.riskFreeRate().currentLink().zeroRate(
                residualTime, Compounding.Continuous, Frequency.Annual, false);


        stepCondition = new ShoutCondition(intrinsicValues.values(), residualTime, riskFreeRate.rate());
    }

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            this.settlementDate_ = settlementDate;
        }


        @Override
        public double op(final double guess) {
            final InterestRate rate = new InterestRate(guess, dayCounter_, compounding_, frequency_);
            final double NPV = npv(cashflows_, rate, settlementDate_);
            return marketPrice_ - NPV;
        }

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        this.notionals_ = notionals; // TODO: clone() ?
        return this;
    }


    public FixedRateLeg withCouponRates(/* @Rate */final double couponRate) {
        couponRates_ = new InterestRate[]{new InterestRate(couponRate, paymentDayCounter_, Compounding.Simple)};


        if (System.getProperty("EXPERIMENTAL") == null)
            throw new UnsupportedOperationException("Work in progress");


        //        couponRates_.clear();

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    }


    public FixedRateLeg withCouponRates(/* @Rate */final double [] couponRates) {
        couponRates_ = new InterestRate[couponRates.length];
        for (int i = 0; i<couponRates.length; i++) {
            couponRates_[i] = new InterestRate(couponRates[i], paymentDayCounter_, Compounding.Simple);
        }
        return this;
    }

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Related Classes of org.jquantlib.termstructures.InterestRate

org.jquantlib.cashflow.CashFlows$IRRFinder

org.jquantlib.cashflow.FixedRateCoupon

org.jquantlib.cashflow.FixedRateLeg

org.jquantlib.instruments.Bond

org.jquantlib.instruments.ForwardRateAgreement

org.jquantlib.pricingengines.barrier.AnalyticBarrierEngine

org.jquantlib.pricingengines.vanilla.finitedifferences.FDShoutCondition

org.jquantlib.termstructures.yieldcurves.FlatForward

org.jquantlib.termstructures.yieldcurves.ZeroSpreadedTermStructure

org.jquantlib.testsuite.instruments.BondTest

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