List of fixingDate() Examples

Examples of fixingDate()

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

                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());
                try {
                    a.floatingCoupons.set(i, coupon.amount());
                } catch (final Exception e) {

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

                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());
                try {
                    a.floatingCoupons.set(i, coupon.amount());
                } catch (final Exception e) {

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Examples of org.jquantlib.cashflow.FloatingRateCoupon.fixingDate()

        this.latestDate = swap.maturityDate();


        // ...but due to adjustments, the last floating coupon might need a later date for fixing
        if (new Settings().isUseIndexedCoupon()) {
            final FloatingRateCoupon lastFloating = (FloatingRateCoupon) swap.floatingLeg().last();
            final Date fixingValueDate = iborIndex.valueDate(lastFloating.fixingDate());
            final Date endValueDate = iborIndex.maturityDate(fixingValueDate);
            latestDate = Date.max(latestDate, endValueDate);
        }
    }

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Examples of org.jquantlib.cashflow.FloatingRateCoupon.fixingDate()

    }


    public Date lastFixingDate() {
        final CashFlow lastCoupon = floatingLeg_.get(floatingLeg_.size() - 1); // no linkedlist :-(
        final FloatingRateCoupon lastFloatingCoupon = (FloatingRateCoupon) lastCoupon;
        return lastFloatingCoupon.fixingDate();
    }


    //    public void setupArguments
    //TODO: inner class arguments
    //void void setupArguments(/*PricingEngine.arguments* args*/Arguments args)  {

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Examples of org.jquantlib.cashflow.FloatingRateCoupon.fixingDate()

    }


    public Date lastFixingDate() {
        final CashFlow lastCoupon = floatingLeg_.get(floatingLeg_.size() - 1); // no linkedlist :-(
        final FloatingRateCoupon lastFloatingCoupon = (FloatingRateCoupon) lastCoupon;
        return lastFloatingCoupon.fixingDate();
    }


    //    public void setupArguments
    //TODO: inner class arguments
    //void void setupArguments(/*PricingEngine.arguments* args*/Arguments args)  {

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Examples of org.jquantlib.cashflow.FloatingRateCoupon.fixingDate()

        this.latestDate = swap.maturityDate();


        // ...but due to adjustments, the last floating coupon might need a later date for fixing
        if (new Settings().isUseIndexedCoupon()) {
            final FloatingRateCoupon lastFloating = (FloatingRateCoupon) this.swap.floatingLeg().last();
            final Date fixingValueDate = this.iborIndex.valueDate(lastFloating.fixingDate());
            final Date endValueDate = this.iborIndex.maturityDate(fixingValueDate);
            this.latestDate = Date.max(latestDate, endValueDate);
        }
    }

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

            QL.require(coupon.date().eq(coupon.accrualEndDate()) , irregular_coupon_types); // QA:[RG]::verified // TODO: message


            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.fixingDate()


            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.fixingDate()

                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());
                try {
                    a.floatingCoupons.set(i, coupon.amount());
                } catch (final Exception e) {

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

            QL.require(coupon.date().eq(coupon.accrualEndDate()) , irregular_coupon_types); // TODO: message


            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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