Package org.jquantlib.time

Examples of org.jquantlib.time.Period


        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):
                                      new EURLibor(new Period(3,TimeUnit.Months), h)
                   
                );
        }
View Full Code Here


        if (unitedStatesCalendar.isHoliday(firstHolidayDate)) {
            System.out.println("FirstHolidayDate = " + firstHolidayDate+ " is a holiday date");
        }

        // Advance the first holiday date using calendars's advance(date) API and get the nexBusinessDay
        final Date nextBusinessDay = unitedStatesCalendar.advance(firstHolidayDate, new Period(1, TimeUnit.Days));
        if (unitedStatesCalendar.isBusinessDay(nextBusinessDay)) {
            System.out.println("NextBusinessDayFromFirstHolidayFromToday = "+ nextBusinessDay + " is a business date");
        }

        // Adjust todaysDate using different businessDayConventions

        // Using FOLLOWING as a business day convention
        final Date nextFollowingBusinessDay = unitedStatesCalendar.adjust(dateToday,BusinessDayConvention.Following);
        if (unitedStatesCalendar.isBusinessDay(nextFollowingBusinessDay)) {
            System. out.println("NextFollowingBusinessDate = "+ nextFollowingBusinessDay+ " from today is a business date");
        }

        // Using MODIFIED_FOLLOWING as a business day convention
        final Date nextModified_FollowingBusinessDay = unitedStatesCalendar.adjust(dateToday, BusinessDayConvention.ModifiedFollowing);
        if (unitedStatesCalendar.isBusinessDay(nextModified_FollowingBusinessDay)) {
            System.out.println("NextModified_FollowingBusinessDate = "+ nextModified_FollowingBusinessDay+ " from today is a business date");
        }

        // Using PRECEDING as a business day convention
        final Date nextPrecidingBusinessDay = unitedStatesCalendar.adjust(dateToday,BusinessDayConvention.Preceding);
        if (unitedStatesCalendar.isBusinessDay(nextPrecidingBusinessDay)) {
            System.out.println("NextPrecidingBusinessDay = "+ nextPrecidingBusinessDay+ " from today is a business date");
        }

        // Using MODIFIED_PRECEDING as a business day convention
        final Date nextModified_PrecidingBusinessDay = unitedStatesCalendar.adjust(dateToday, BusinessDayConvention.ModifiedPreceding);
        if (unitedStatesCalendar.isBusinessDay(nextModified_PrecidingBusinessDay)) {
            System.out.println("NextModified_PrecidingBusinessDay = "+ nextModified_PrecidingBusinessDay+ " from today is a business date");
        }

        // Using UNADJUSTED as a business day convention
        final Date nextUnadjustedBusinessDay = unitedStatesCalendar.adjust(dateToday,BusinessDayConvention.Unadjusted);
        if (unitedStatesCalendar.isBusinessDay(nextModified_PrecidingBusinessDay)) {
            System.out.println("NextUnadjustedBusinessDay = "+ nextUnadjustedBusinessDay+ " from today is a business date and is same as today");
        }

        // Advance the current date using calendars's advance(date,n,unit) where n = 10 and unit=DAYS
        Date advancedDate = unitedStatesCalendar.advance(dateToday, 10,TimeUnit.Days);
        System.out.println("Next business date when today's date is advanced by 10 days = "+ advancedDate);

        // Advance the current date using calendars's advance(date,n,unit) where n = 10 and unit=WEEKS
        advancedDate = unitedStatesCalendar.advance(dateToday, 10, TimeUnit.Weeks);
        System.out.println("Next business date when today's date is advanced by 10 weeks = "+ advancedDate);

        // Advance the current date using calendars's advance(date,n,unit) where n = 10 and unit=MONTHS
        advancedDate = unitedStatesCalendar.advance(dateToday, 10, TimeUnit.Months);
        System.out.println("Next business date when today's date is advanced by 10 months = "+ advancedDate);

        // Advance the current date using calendars's advance(date,n,unit) where n = 10 and unit=YEARS
        advancedDate = unitedStatesCalendar.advance(dateToday, 10, TimeUnit.Years);
        System.out.println("Next business date when today's date is advanced by 10 years = "+ advancedDate);

        // Advance the current date using calendars's advance(date,period-->lenth=1,Unit=Days,BusinessDayConvention=FOLLOWING)
        advancedDate = unitedStatesCalendar.advance(dateToday,new Period(1, TimeUnit.Days), BusinessDayConvention.Following);
        System.out.println("Next business date when today's date is advanced 1 day = "+ advancedDate);

        // Advance the current date using calendars's advance(date,period-->lenth=1,Unit=WEEKS,BusinessDayConvention=MODIFIED_FOLLOWING)
        advancedDate = unitedStatesCalendar.advance(dateToday,new Period(1, TimeUnit.Weeks),BusinessDayConvention.ModifiedFollowing);
        System.out.println("Next business date when today's date is advanced 1 week = "+ advancedDate);

        // Advance the current date using calendars's advance(date,period-->lenth=1,Unit=MONTHS,BusinessDayConvention=MODIFIED_PRECEDING)
        advancedDate = unitedStatesCalendar.advance(dateToday,new Period(1, TimeUnit.Months),BusinessDayConvention.ModifiedPreceding);
        System.out.println("Next business date when today's date is advanced 1 month = "+ advancedDate);

        // Advance the current date using calendars's advance(date,period-->lenth=1,Unit=YEARS,BusinessDayConvention=PRECEDING)
        advancedDate = unitedStatesCalendar.advance(dateToday,new Period(1, TimeUnit.Years), BusinessDayConvention.Preceding);
        System.out.println("Next business date when today's date is advanced 1 year = "+ advancedDate);

        //<==================Joining Calendars===============================>
        final Calendar unitedStatesCalendarGvtBondCalendar = new UnitedStates(Market.GOVERNMENTBOND);
        final Calendar jointCalendar = new JointCalendar(unitedStatesCalendar,unitedStatesCalendarGvtBondCalendar,JointCalendarRule.JoinBusinessDays);
View Full Code Here

      super("RPI",
              new UKRegion(),
              revised,
              interpolated,
              frequency,
              new Period(2, TimeUnit.Months),
              new GBPCurrency(),
              termStructure);
     
    }
View Full Code Here

              new EURegion(),
              revised,
              interpolated,
              true,
              frequency,
              new Period(3, TimeUnit.Months),
              new EURCurrency(),
              termStructure);
     
    }   
View Full Code Here

   
    public BMAIndex() {
      this(new Handle<YieldTermStructure>());
    }
    public BMAIndex(final Handle<YieldTermStructure> h) {
        super("BMA", new Period(1,TimeUnit.Weeks), 1, new USDCurrency(), new UnitedStates(UnitedStates.Market.NYSE), new ActualActual(ActualActual.Convention.ISDA));

        this.termStructure = h;
        if (termStructure != null) {
          termStructure.addObserver(this);
        }
View Full Code Here

    }
           
    public Schedule fixingSchedule(final Date start, final Date end) {
      return (new MakeSchedule(previousWednesday(start),
                  nextWednesday(end),
                  new Period (1,TimeUnit.Weeks),
                  fixingCalendar,               
                  BusinessDayConvention.Following)).forwards().schedule();
    }
View Full Code Here

    public Euribor365_5M() {
      this(new Handle<YieldTermStructure>());
    }
    public Euribor365_5M(final Handle<YieldTermStructure> h) {
        super(new Period(5, TimeUnit.Months), h);
    }
View Full Code Here

        super( "JpyLiborSwapIsdaFixPm",
                tenor,
                2, // settlement days
                new JPYCurrency(),
                new Target(),
                new Period(6,TimeUnit.Months),
                BusinessDayConvention.ModifiedFollowing,
                new ActualActual(ActualActual.Convention.ISDA),
                new JPYLibor(new Period(6,TimeUnit.Months), h)
                   
                );
        }
View Full Code Here

    public Euribor365_2W() {
      this(new Handle<YieldTermStructure>());
    }
    public Euribor365_2W(final Handle<YieldTermStructure> h) {
        super(new Period(2, TimeUnit.Weeks), h);
    }
View Full Code Here

    public Euribor365_1M() {
      this(new Handle<YieldTermStructure>());
    }
    public Euribor365_1M(final Handle<YieldTermStructure> h) {
        super(new Period(1, TimeUnit.Months), h);
    }
View Full Code Here

TOP

Related Classes of org.jquantlib.time.Period

Copyright © 2018 www.massapicom. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.