List of accrualStartDate() Examples

Examples of accrualStartDate()

Examples of org.jquantlib.cashflow.Coupon.accrualStartDate()

                    lastDate = cashflows.get(i - 1).date().clone();
                } else {
                    final Object cpnObj = cashflows.get(i);
                  final Coupon coupon = Coupon.class.isAssignableFrom(cpnObj.getClass()) ? (Coupon)cpnObj : null;
                    if (coupon != null) {
                        lastDate = coupon.accrualStartDate().clone();
                    } else {
                        lastDate = couponDate.sub(new Period(1, TimeUnit.Years));
                    }
                }
                discount *= y.discountFactor(settlement, couponDate, lastDate, couponDate);

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Examples of org.jquantlib.cashflow.FixedRateCoupon.accrualStartDate()

            a.fixedCoupons = new ArrayList</*@Real*/ Double>(fixedCoupons.size());


            for (int i=0; i<fixedCoupons.size(); i++) {
                final FixedRateCoupon coupon = (FixedRateCoupon) fixedCoupons.get(i);
                a.fixedPayDates.set(i, coupon.date());
                a.fixedResetDates.set(i, coupon.accrualStartDate());
                a.fixedCoupons.set(i, coupon.amount());
            }


            final Leg floatingCoupons = floatingLeg();

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Examples of org.jquantlib.cashflow.FixedRateCoupon.accrualStartDate()

            a.floatingSpreads = new ArrayList</*@Spread*/ Double>(floatingCoupons.size());
            a.floatingCoupons = new ArrayList</*@Real*/ Double>(floatingCoupons.size());
            for (int i=0; i<floatingCoupons.size(); ++i) {
                final IborCoupon coupon = (IborCoupon) floatingCoupons.get(i);


                a.floatingResetDates.set(i, coupon.accrualStartDate());
                a.floatingPayDates.set(i, coupon.date());


                a.floatingFixingDates.set(i, coupon.fixingDate());
                a.floatingAccrualTimes.set(i, coupon.accrualPeriod());
                a.floatingSpreads.set(i, coupon.spread());

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Examples of org.jquantlib.cashflow.FixedRateCoupon.accrualStartDate()

            a.fixedCoupons = new ArrayList</*@Real*/ Double>(fixedCoupons.size());


            for (int i=0; i<fixedCoupons.size(); i++) {
                final FixedRateCoupon coupon = (FixedRateCoupon) fixedCoupons.get(i);
                a.fixedPayDates.set(i, coupon.date());
                a.fixedResetDates.set(i, coupon.accrualStartDate());
                a.fixedCoupons.set(i, coupon.amount());
            }


            final Leg floatingCoupons = floatingLeg();

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Examples of org.jquantlib.cashflow.FixedRateCoupon.accrualStartDate()

            a.floatingSpreads = new ArrayList</*@Spread*/ Double>(floatingCoupons.size());
            a.floatingCoupons = new ArrayList</*@Real*/ Double>(floatingCoupons.size());
            for (int i=0; i<floatingCoupons.size(); ++i) {
                final IborCoupon coupon = (IborCoupon) floatingCoupons.get(i);


                a.floatingResetDates.set(i, coupon.accrualStartDate());
                a.floatingPayDates.set(i, coupon.date());


                a.floatingFixingDates.set(i, coupon.fixingDate());
                a.floatingAccrualTimes.set(i, coupon.accrualPeriod());
                a.floatingSpreads.set(i, coupon.spread());

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Examples of org.jquantlib.cashflow.IborCoupon.accrualStartDate()

            initialValues_.set(i, coupon.rate());
            accrualPeriod_.set(i, coupon.accrualPeriod());


            fixingDates_.set(i, coupon.fixingDate());
            fixingTimes_.set(i, dayCounter.yearFraction(startDate, coupon.fixingDate()));
            accrualStartTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualStartDate()));
            accrualEndTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualEndDate()));
        }
    }

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Examples of org.jquantlib.cashflow.IborCoupon.accrualStartDate()

            a.floatingSpreads = new ArrayList</*@Spread*/ Double>(floatingCoupons.size());
            a.floatingCoupons = new ArrayList</*@Real*/ Double>(floatingCoupons.size());
            for (int i=0; i<floatingCoupons.size(); ++i) {
                final IborCoupon coupon = (IborCoupon) floatingCoupons.get(i);


                a.floatingResetDates.set(i, coupon.accrualStartDate());
                a.floatingPayDates.set(i, coupon.date());


                a.floatingFixingDates.set(i, coupon.fixingDate());
                a.floatingAccrualTimes.set(i, coupon.accrualPeriod());
                a.floatingSpreads.set(i, coupon.spread());

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Examples of org.jquantlib.cashflow.IborCoupon.accrualStartDate()

            initialValues_.set(i, coupon.rate());
            accrualPeriod_.set(i, coupon.accrualPeriod());


            fixingDates_.set(i, coupon.fixingDate());
            fixingTimes_.set(i, dayCounter.yearFraction(startDate, coupon.fixingDate()));
            accrualStartTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualStartDate()));
            accrualEndTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualEndDate()));
        }
    }

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Examples of org.jquantlib.cashflow.IborCoupon.accrualStartDate()

            a.floatingSpreads = new ArrayList</*@Spread*/ Double>(floatingCoupons.size());
            a.floatingCoupons = new ArrayList</*@Real*/ Double>(floatingCoupons.size());
            for (int i=0; i<floatingCoupons.size(); ++i) {
                final IborCoupon coupon = (IborCoupon) floatingCoupons.get(i);


                a.floatingResetDates.set(i, coupon.accrualStartDate());
                a.floatingPayDates.set(i, coupon.date());


                a.floatingFixingDates.set(i, coupon.fixingDate());
                a.floatingAccrualTimes.set(i, coupon.accrualPeriod());
                a.floatingSpreads.set(i, coupon.spread());

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