Package org.jquantlib.daycounters

Examples of org.jquantlib.daycounters.Actual365Fixed

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     * This is the <i>Case 3</i> described on the top of this class.
     *
     * @see TermStructure documentation for more details about constructors.
     */
    public AbstractTermStructure() {
        this(new Actual365Fixed());
    }
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     * This is the <i>Case 1</i> described on the top of this class.
     *
     * @see TermStructure documentation for more details about constructors.
     */
    public AbstractTermStructure(final Date referenceDate, final Calendar calendar) {
        this(referenceDate, calendar, new Actual365Fixed());
    }
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     * This is the <i>Case 2</i> described on the top of this class.
     *
     * @see TermStructure documentation for more details about constructors.
     */
    public AbstractTermStructure(final int settlementDays, final Calendar calendar) {
        this(settlementDays, calendar, new Actual365Fixed());
    }
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        Date settlementDate = new Date(settlementDay, settlementMonth, settlementYear);
        Date maturityDate   = new Date(maturityDay, maturityMonth, maturityYear);
        Configuration.getSystemConfiguration(null).getGlobalSettings().setEvaluationDate(settlementDate);
        DayCounter dayCounter = new Actual365Fixed();
        //let's find the option type
        Option.Type type;

        if(optionType.equalsIgnoreCase("call") || optionType.equalsIgnoreCase("c")){
            type = Option.Type.Call;
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import org.jquantlib.time.calendars.NullCalendar;

public abstract class CapVolatilityStructure extends AbstractTermStructure {

    public CapVolatilityStructure(final DayCounter dc) {
        super(dc == null ? new Actual365Fixed() : dc);
    }
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    public CapVolatilityStructure(final DayCounter dc) {
        super(dc == null ? new Actual365Fixed() : dc);
    }

    public CapVolatilityStructure(final Date referenceDate, final Calendar cal, final DayCounter dc) {
        super(referenceDate, cal == null ? new NullCalendar() : cal, dc == null ? new Actual365Fixed() : dc);
    }
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    public CapVolatilityStructure(final Date referenceDate, final Calendar cal, final DayCounter dc) {
        super(referenceDate, cal == null ? new NullCalendar() : cal, dc == null ? new Actual365Fixed() : dc);
    }

    public CapVolatilityStructure(final int settlementDays, final Calendar cal, final DayCounter dc) {
        super(settlementDays, cal == null ? new NullCalendar() : cal, dc == null ? new Actual365Fixed() : dc);
    }
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        final DayCounter business252China = new Business252(new China(China.Market.SSE));
        final DayCounter simpleDayCounter = new SimpleDayCounter();     
        final DayCounter actual360 = new Actual360();       
        final DayCounter actual365Fixed = new Actual365Fixed();       
        final DayCounter actualActual = new ActualActual();       
        final DayCounter thirty360 = new Thirty360();       
        final DayCounter thirty360_2 = new Thirty360();
       
        assertFalse(thirty360.equals(null));
        assertEquals(thirty360, thirty360);
        assertEquals(thirty360, thirty360_2);
       
        assertFalse(simpleDayCounter.equals(business252Brazil));
        assertFalse(business252Brazil.equals(simpleDayCounter));
        assertFalse(actual360.equals(actual365Fixed));
        assertFalse(actual365Fixed.equals(actual360));
        assertFalse(actualActual.equals(thirty360));
        assertFalse(thirty360.equals(actualActual));
        assertFalse(business252Brazil.equals(business252China));
        assertFalse(business252China.equals(business252Brazil));
        assertTrue(business252Brazil.equals(business252Brazil1));
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        this.riskFreeRate = 0.06;
        this.volatility = 0.2;
        this.dividendYield = 0.00;

        this.maturityDate = new Date(17, Month.May, 1999);
        this.dc = new Actual365Fixed();

        this.divDates = new ArrayList<Date>();
        this.divAmounts = new ArrayList<Double>();
        for (int i=1; i<=3; i++) {
            final Date divDate = today.add(new Period(i*3, TimeUnit.Months)).add(new Period(15, TimeUnit.Days));
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        this.riskFreeRate = 0.06;
        this.volatility = 0.2;
        this.dividendYield = 0.00;

        this.maturityDate = new Date(17, Month.May, 1999);
        this.dc = new Actual365Fixed();

        this.divDates = new ArrayList<Date>();
        this.divAmounts = new ArrayList<Double>();
        for (int i=1; i<=3; i++) {
            final Date divDate = today.add(new Period(i*3, TimeUnit.Months)).add(new Period(15, TimeUnit.Days));
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Related Classes of org.jquantlib.daycounters.Actual365Fixed

  • org.jquantlib.indexes.DailyTenorEuribor365
  • org.jquantlib.indexes.Euribor365
  • org.jquantlib.indexes.GbpLiborSwapIsdaFix
  • org.jquantlib.indexes.ibor.DailyTenorGBPLibor
  • org.jquantlib.indexes.ibor.GBPLibor
  • org.jquantlib.indexes.ibor.Jibar
  • org.jquantlib.indexes.ibor.Tibor
  • org.jquantlib.ooimpl.OptionHelper
  • org.jquantlib.samples.Bonds
  • org.jquantlib.samples.ConvertibleBonds
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