Package org.jquantlib.time

Examples of org.jquantlib.time.Date

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                expected = e;
            }
        }

        final Entry[] entries = {
                new Entry( new Date(28, 5, 2009), new Date(28, 5, 2009) ),
                new Entry( new Date(29, 5, 2009), new Date(29, 5, 2009) ),
                new Entry( new Date(30, 5, 2009), new Date(29, 5, 2009) ),
                new Entry( new Date(31, 5, 2009), new Date(29, 5, 2009) ),
                new Entry( new Date( 1, 6, 2009), new Date( 1, 6, 2009) ),
                new Entry( new Date( 2, 6, 2009), new Date( 2, 6, 2009) ),
                new Entry( new Date( 3, 6, 2009), new Date( 3, 6, 2009) ),
                // ---
                new Entry( new Date(23, 1, 1973), new Date(23, 1, 1973) ),
                new Entry( new Date(24, 1, 1973), new Date(24, 1, 1973) ),
                new Entry( new Date(25, 1, 1973), new Date(26, 1, 1973) ),
                new Entry( new Date(26, 1, 1973), new Date(26, 1, 1973) ),
            };

        final Calendar unitedStatesCalendar = new UnitedStates(UnitedStates.Market.NYSE);
        for (final Entry entry : entries) {
            final Date result = unitedStatesCalendar.adjust(entry.date, BusinessDayConvention.ModifiedFollowing);
            System.out.println("adjusted is " + result.isoDate() + "  ::  expected is " + entry.expected.isoDate());
            assertEquals(result, entry.expected);
        }
    }
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                expected = e;
            }
        }

        final Entry[] entries = {
                new Entry( new Date(28, 5, 2009), new Date(28, 5, 2009) ),
                new Entry( new Date(29, 5, 2009), new Date(29, 5, 2009) ),
                new Entry( new Date(30, 5, 2009), new Date(29, 5, 2009) ),
                new Entry( new Date(31, 5, 2009), new Date(29, 5, 2009) ),
                new Entry( new Date( 1, 6, 2009), new Date( 1, 6, 2009) ),
                new Entry( new Date( 2, 6, 2009), new Date( 2, 6, 2009) ),
                new Entry( new Date( 3, 6, 2009), new Date( 3, 6, 2009) ),
                // ---
                new Entry( new Date(23, 1, 1973), new Date(23, 1, 1973) ),
                new Entry( new Date(24, 1, 1973), new Date(24, 1, 1973) ),
                new Entry( new Date(25, 1, 1973), new Date(24, 1, 1973) ),
                new Entry( new Date(26, 1, 1973), new Date(26, 1, 1973) ),
            };

        final Calendar unitedStatesCalendar = new UnitedStates(UnitedStates.Market.NYSE);
        for (final Entry entry : entries) {
            final Date result = unitedStatesCalendar.adjust(entry.date, BusinessDayConvention.ModifiedPreceding);
            System.out.println("adjusted is " + result.isoDate() + "  ::  expected is " + entry.expected.isoDate());
            assertEquals(result, entry.expected);
        }
    }
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    }

    public void calculate () {

        final int nInsts = instruments.length;
        final Date dates[] = ts.dates();
        /*@Time*/ final double times[] = ts.times();
        double data[] = ts.data();

        // ensure rate helpers are sorted
        Arrays.sort(instruments, new BootstrapHelperSorter());

        // check that there is no instruments with the same maturity
        for (int i=1; i<nInsts; ++i) {
            final Date m1 = instruments[i-1].latestDate();
            final Date m2 = instruments[i].latestDate();
            QL.require(m1 != m2, "two instruments have the same maturity");
        }

        // check that there is no instruments with invalid quote
        for (int i=0; i<nInsts; ++i) {
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        final YieldTermStructure localTermStructure = new FlatForward(settlementDays, new NullCalendar(), 0.03, new Actual360());

        final int days[] = { 10, 30, 60, 120, 360, 720 };
        /*@DiscountFactor*/ final double[] expected = new /*@DiscountFactor*/ double[days.length];

        final Date today = new Settings().evaluationDate();

        for (int i=0; i<days.length; i++) {
            final Date anotherDay = today.add(days[i]);
            expected[i] = localTermStructure.discount(anotherDay);
        }

        final Date nextMonth = today.add(30);
        new Settings().setEvaluationDate(nextMonth);
        /*@DiscountFactor*/ final double[] calculated = new /*@DiscountFactor*/ double[days.length];

        for (int i=0; i<days.length; i++) {
            final Date anotherDay = nextMonth.add(days[i]);
            calculated[i] = localTermStructure.discount(anotherDay);
        }

        for (int i=0; i<days.length; i++) {
            if (!Closeness.isClose(expected[i],calculated[i])) {
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     */
    @Test
    public void testImpliedObs() {
        QL.info("Testing observability of implied term structure...");

        final Date today = new Settings().evaluationDate();
        final Date newToday = today.add(Period.ONE_YEAR_FORWARD.mul(3));
        final Date newSettlement = new Target().advance(newToday, settlementDays, TimeUnit.Days);

        //FIXME:: Fix RelinkableHandle. The initialization of "h" should be:
        //
        //        final RelinkableHandle<YieldTermStructure> h = new RelinkableHandle<YieldTermStructure>() { /* anonymous */ };
        //
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            throw new LibraryException("unknown compounding convention"); // QA:[RG]::verified // TODO: message
        }
    }

    public final double compoundFactor(final Date d1, final Date d2) {
      return compoundFactor(d1, d2, new Date(), new Date());
    }
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     * @param d2 is the end date
     *
     * @category discount/compound factor calculations
     */
    public final/* @DiscountFactor */double discountFactor(final Date d1, final Date d2) {
        return discountFactor(d1, d2, new Date());
    }
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     * @param refStart
     *
     * @category discount/compound factor calculations
     */
    public final/* @DiscountFactor */double discountFactor(final Date d1, final Date d2, final Date refStart) {
        return discountFactor(d1, d2, refStart, new Date());
    }
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    // Fixing Date and Value Date will be two London business days
    // after the Fixing Date, or if that day is not both a London
    // business day and a business day in the principal financial centre
    // of the currency concerned, the next following day which is a
    // business day in both centres shall be the Value Date.
    final Date d = fixingCalendar().advance(fixingDate, fixingDays(), TimeUnit.Days);
    return jointCalendar_.adjust(d);
  }
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    public void calculate () {

        final int n = instruments.length;
        Date dates[] = ts.dates();
        /*@Time*/ double times[] = ts.times();
        double data[] = ts.data();

        // ensure rate helpers are sorted
        Arrays.sort(instruments, new BootstrapHelperSorter());

        // check that there is no instruments with the same maturity
        for (int i=1; i<n; ++i) {
            final Date m1 = instruments[i-1].latestDate();
            final Date m2 = instruments[i].latestDate();
            QL.require(m1 != m2, "two instruments have the same maturity");
        }

        // check that there is no instruments with invalid quote
        for (int i=0; i<n; ++i) {
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Related Classes of org.jquantlib.time.Date

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  • org.jquantlib.cashflow.CashFlows
  • org.jquantlib.cashflow.FixedRateCoupon
  • org.jquantlib.cashflow.FloatingRateCoupon
  • org.jquantlib.cashflow.IborCoupon
  • org.jquantlib.indexes.BMAIndex
  • org.jquantlib.indexes.InterestRateIndex
  • org.jquantlib.indexes.YoYInflationIndex
  • org.jquantlib.indexes.ZeroInflationIndex
  • org.jquantlib.instruments.Bond
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