List of parRate() Examples

Examples of parRate()

org.jquantlib.termstructures.YieldTermStructure.parRate()
Returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date. @category par rates @note though somewhat related to a swap rate, this method is not to be used for the fair rate of a real swap, since it doesnot take into account all the market conventions' details. The correct way to evaluate such rate is to instantiate a SimpleSwap with the correct conventions, pass it the term structure and call the swap's fairRate() method.
org.jquantlib.termstructures.yieldcurves.FlatForward.parRate()
org.jquantlib.termstructures.yieldcurves.ForwardRateStructure.parRate()
org.jquantlib.termstructures.yieldcurves.ForwardSpreadedTermStructure.parRate()

Examples of org.jquantlib.termstructures.YieldTermStructure.parRate()

        //Calculating forward rate
        System.out.println("The forward rate between the date 30 days from today to 50 days from today is = "+flatforward.forwardRate(date30.clone(), date50.clone(), new Actual365Fixed(), Compounding.Continuous).rate());


        //Calculating parRate for the dates as shown below-
        final Date[] dates = { date10.clone(), date20.clone(), date30.clone(), date40.clone(), date50.clone() };
        System.out.println("The par rate for the bond having coupon dates as shown above is = "+flatforward.parRate(dates, Frequency.Semiannual, false));


        //Calculating zero rate
        System.out.println("The zero rate for the bond having coupon date as 10 days from today = "+flatforward.zeroRate(date10.clone(), new Actual365Fixed(), Compounding.Continuous).rate());


        System.out.println("//==========================================ForwardSpreadedTermStructure==================");

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Examples of org.jquantlib.termstructures.yieldcurves.FlatForward.parRate()

        //Calculating forward rate
        System.out.println("The forward rate between the date 30 days from today to 50 days from today is = "+flatforward.forwardRate(date30.clone(), date50.clone(), new Actual365Fixed(), Compounding.Continuous).rate());


        //Calculating parRate for the dates as shown below-
        final Date[] dates = { date10.clone(), date20.clone(), date30.clone(), date40.clone(), date50.clone() };
        System.out.println("The par rate for the bond having coupon dates as shown above is = "+flatforward.parRate(dates, Frequency.Semiannual, false));


        //Calculating zero rate
        System.out.println("The zero rate for the bond having coupon date as 10 days from today = "+flatforward.zeroRate(date10.clone(), new Actual365Fixed(), Compounding.Continuous).rate());


        System.out.println("//==========================================ForwardSpreadedTermStructure==================");

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Examples of org.jquantlib.termstructures.yieldcurves.ForwardRateStructure.parRate()


        //Calculating forward rate.This termstructure adds the spread as specified by the spread quote and then calculates the discount.
        System.out.println("The forward rate between the date 30 days from today to 50 days from today is = "+forwardSpreadedTermStructure.forwardRate(date30.clone(), date50.clone(), new Actual365Fixed(), Compounding.Continuous).rate());


        //Calculating parRate for the dates(as used in the FlatForward case) as shown below-
        System.out.println("The par rate for the bond having coupon dates as shown above is = "+forwardSpreadedTermStructure.parRate(dates, Frequency.Semiannual, false));


        //Calculating zero rate.This termstructure adds the spread as specified by the spread quote and then calculates the discount.
        System.out.println("The zero rate for the bond having coupon date as 10 days from today = "+forwardSpreadedTermStructure.zeroRate(date10.clone(), new Actual365Fixed(), Compounding.Continuous).rate());


        //===========================================ImpliedTermStructure============================

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Examples of org.jquantlib.termstructures.yieldcurves.ForwardSpreadedTermStructure.parRate()


        //Calculating forward rate.This termstructure adds the spread as specified by the spread quote and then calculates the discount.
        System.out.println("The forward rate between the date 30 days from today to 50 days from today is = "+forwardSpreadedTermStructure.forwardRate(date30.clone(), date50.clone(), new Actual365Fixed(), Compounding.Continuous).rate());


        //Calculating parRate for the dates(as used in the FlatForward case) as shown below-
        System.out.println("The par rate for the bond having coupon dates as shown above is = "+forwardSpreadedTermStructure.parRate(dates, Frequency.Semiannual, false));


        //Calculating zero rate.This termstructure adds the spread as specified by the spread quote and then calculates the discount.
        System.out.println("The zero rate for the bond having coupon date as 10 days from today = "+forwardSpreadedTermStructure.zeroRate(date10.clone(), new Actual365Fixed(), Compounding.Continuous).rate());


        //===========================================ImpliedTermStructure============================

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