Examples of fairRate()

Examples of org.jquantlib.instruments.VanillaSwap.fairRate()

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                .withFixedLegConvention(vars.fixedLegConvention)
                .withFixedLegTerminationDateConvention(vars.fixedLegConvention)
                .value();

            /*@Rate*/ final double expectedRate  = swapData[i].rate/100;
            /*@Rate*/ final double estimatedRate = swap.fairRate();
            /*@Spread*/ final double error = Math.abs(expectedRate-estimatedRate);
            if (error > tolerance) {
              throw new RuntimeException(
              String.format("%d %s %s %f %s %f %s %f %s %f",
                      swapData[i].n, " year(s) swap:\n",
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Examples of org.jquantlib.instruments.VanillaSwap.fairRate()

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              .withFixedLegConvention(vars.fixedLegConvention)
              .withFixedLegTerminationDateConvention(vars.fixedLegConvention)
                  .value();

          /*@Rate*/ final double expectedRate  = swapData[i].rate/100;
          /*@Rate*/ final double estimatedRate = swap.fairRate();
          /*@Real*/ final double tolerance = 1.0e-9;
          if (Math.abs(expectedRate-estimatedRate) > tolerance) {
            throw new RuntimeException(
                String.format("%s %d %s %s %f %s %s %f",
                  "before LIBOR fixing:\n",
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Examples of org.jquantlib.instruments.VanillaSwap.fairRate()

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              .withFixedLegConvention(vars.fixedLegConvention)
              .withFixedLegTerminationDateConvention(vars.fixedLegConvention)
                  .value();

          /*@Rate*/ final double expectedRate  = swapData[i].rate/100;
          /*@Rate*/ final double estimatedRate = swap.fairRate();
          /*@Real*/ final double tolerance = 1.0e-9;
          if (Math.abs(expectedRate-estimatedRate) > tolerance) {
            throw new RuntimeException(
                String.format("%s %d %s %s %f %s %s %f",
                          "after LIBOR fixing:\n",
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Examples of org.jquantlib.instruments.VanillaSwap.fairRate()

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              .withFixedLegCalendar(vars.calendar)
              .withFloatingLegCalendar(vars.calendar)
                  .value();

          /*@Rate*/ final double expectedRate  = swapData[i].rate/100;
          /*@Rate*/ final double estimatedRate = swap.fairRate();
          /*@Spread*/ final double error = Math.abs(expectedRate-estimatedRate);
          /*@Real*/ final double tolerance = 1.0e-9;

         
          if (error > tolerance) {
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