Examples of FixedRateBond

      final Schedule sch = new Schedule(new Date(30,Month.November,2004),
                   new Date(30,Month.November,2008), new Period(Frequency.Semiannual),
                   new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
                   BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);


      final FixedRateBond bond1 = new FixedRateBond(settlementDays, faceAmount, sch,
                          new double [] { 0.02875 },
                          new ActualActual(ActualActual.Convention.ISMA),
                          BusinessDayConvention.ModifiedFollowing,
                          100.0, new Date(30,Month.November,2004));


      final PricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
      bond1.setPricingEngine(bondEngine);


      final double cachedPrice1 = 99.298100;


      double price = bond1.cleanPrice();
      if (Math.abs(price-cachedPrice1) > tolerance) {
          fail("failed to reproduce cached price:\n"
                     + "    calculated: " + price + "\n"
                     + "    expected:   " + cachedPrice1 + "\n"
                     + "    error:      " + (price-cachedPrice1));
      }


      // varying coupons


      final double [] couponRates = new double[] { 0.02875, 0.03, 0.03125, 0.0325 };


      final FixedRateBond bond2 = new FixedRateBond(settlementDays, faceAmount, sch,
                            couponRates,
                            new ActualActual(ActualActual.Convention.ISMA),
                            BusinessDayConvention.ModifiedFollowing,
                            100.0, new Date(30,Month.November,2004));


      bond2.setPricingEngine(bondEngine);


      final double cachedPrice2 = 100.334149;


      price = bond2.cleanPrice();
      if (Math.abs(price-cachedPrice2) > tolerance) {
          fail("failed to reproduce cached price:\n"
                     + "    calculated: " + price + "\n"
                     + "    expected:   " + cachedPrice2 + "\n"
                     + "    error:      " + (price-cachedPrice2));
      }


      // stub date


      final Schedule sch3 = new Schedule(new Date(30,Month.November,2004),
                    new Date(30,Month.March,2009), new Period(Frequency.Semiannual),
                    new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
                    BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                    DateGeneration.Rule.Backward, false,
                    new Date(), new Date(30,Month.November,2008));


      final FixedRateBond bond3 = new FixedRateBond(settlementDays, faceAmount, sch3,
                            couponRates, new ActualActual(ActualActual.Convention.ISMA),
                            BusinessDayConvention.ModifiedFollowing,
                            100.0, new Date(30,Month.November,2004));


      bond3.setPricingEngine(bondEngine);


      final double cachedPrice3 = 100.382794;


      price = bond3.cleanPrice();
      if (Math.abs(price-cachedPrice3) > tolerance) {
          fail("failed to reproduce cached price:\n"
                     + "    calculated: " + price + "\n"
                     + "    expected:   " + cachedPrice3 + "\n"
                     + "    error:      " + (price-cachedPrice3));

        vars.no_callability, vars.creditSpread, vars.issueDate,
        vars.settlementDays, coupons, vars.dayCounter, schedule,
        vars.redemption);
    amFixed.setPricingEngine(engine);


    final FixedRateBond fixed = new FixedRateBond(vars.settlementDays,
        vars.faceAmount, schedule, coupons, vars.dayCounter,
        BusinessDayConvention.Following, vars.redemption,
        vars.issueDate);


    fixed.setPricingEngine(bondEngine);


    tolerance = 2.0e-2 * (vars.faceAmount / 100.0);


    error = Math.abs(euFixed.NPV() - fixed.settlementValue());
    if (error > tolerance) {
      fail("failed to reproduce fixed-coupon bond price:"
          + "\n    calculated: " + euFixed.NPV()
          + "\n    expected:   " + fixed.settlementValue()
          + "\n    error:      " + error);
    }


    error = Math.abs(amFixed.NPV() - fixed.settlementValue());
    if (error > tolerance) {
      fail("failed to reproduce fixed-coupon bond price:"
          + "\n    calculated: " + amFixed.NPV()
          + "\n    expected:   " + fixed.settlementValue()
          + "\n    error:      " + error);
    }


    // floating-rate

Examples of FixedRateBond

Examples of org.jquantlib.instruments.bonds.FixedRateBond

Examples of org.jquantlib.instruments.bonds.FixedRateBond