Examples of FloatingRateCoupon

Examples of org.jquantlib.cashflow.FloatingRateCoupon

203
204
205
206
207
208
209
210
211
212
213
        // Usually...
        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);
        }
    }
View Full Code Here

Examples of org.jquantlib.cashflow.FloatingRateCoupon

189
190
191
192
193
194
195
196
        return CashFlows.getInstance().maturityDate(floatingLeg_);
    }

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

Examples of org.jquantlib.cashflow.FloatingRateCoupon

188
189
190
191
192
193
194
195
        return CashFlows.getInstance().maturityDate(floatingLeg_);
    }

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

Examples of org.jquantlib.cashflow.FloatingRateCoupon

271
272
273
274
275
276
277
278
279
280
281
        // Usually...
        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);
        }
    }
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.