Package org.jquantlib.cashflow

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

98
99
100
101
102
103
104
105
106
107
108
        for (int i = 0; i < size_; ++i) {
            final IborCoupon coupon = (IborCoupon) flows.get(i);
            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()));
View Full Code Here
264
265
266
267
268
269
270
271
272
273
274
                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) {
                    a.floatingCoupons.set(i, Constants.NULL_REAL);
View Full Code Here
98
99
100
101
102
103
104
105
106
107
108
        for (int i = 0; i < size_; ++i) {
            final IborCoupon coupon = (IborCoupon) flows.get(i);
            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()));
View Full Code Here
264
265
266
267
268
269
270
271
272
273
274
                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) {
                    a.floatingCoupons.set(i, Constants.NULL_REAL);
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. 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.