Package org.jquantlib.indexes

Examples of org.jquantlib.indexes.IborIndex

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     */
    @Override
    //TODO: solve macros
    protected void initializeDates() {
        // dummy ibor index with curve/swap arguments
        final IborIndex clonedIborIndex = iborIndex.clone(this.termStructureHandle);

        // do not pass the spread here, as it might be a Quote i.e. it can dinamically change
        this.swap = new MakeVanillaSwap(tenor, clonedIborIndex, 0.0, fwdStart)
        .withFixedLegDayCount(fixedDayCount)
        .withFixedLegTenor(new Period(fixedFrequency))
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        QL.require(monthsToEnd > monthsToStart , "monthsToEnd must be greater than monthsToStart"); // QA:[RG]::verified // TODO: message
        this.quote = rate;
        this.monthsToStart = monthsToStart;
        //never take fixing into account
        iborIndex = new IborIndex("no-fix",
                new Period(monthsToEnd - monthsToStart, TimeUnit.Months),
                fixingDays,
                null,
                calendar,
                convention,
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        super(rate);
        QL.validateExperimentalMode();

        QL.require(monthsToEnd > monthsToStart , "monthsToEnd must be greater than monthsToStart");
        this.monthsToStart = monthsToStart;
        iborIndex = new IborIndex(
                "no-fix", // never take fixing into account
                new Period(monthsToEnd - monthsToStart, TimeUnit.Months),
                fixingDays,
                null,
                calendar,
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        super(rate);
        QL.validateExperimentalMode();

        this.quote = rate;
        this.monthsToStart = monthsToStart;
        iborIndex = new IborIndex(
                "no-fix", // never take fixing into account
                i.tenor(), i.fixingDays(), null, i.fixingCalendar(), i.businessDayConvention(),
                i.endOfMonth(), i.dayCounter(), termStructureHandle);
        initializeDates();
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                final boolean endOfMonth,
                final DayCounter dayCounter) {
        super(rate);
        QL.validateExperimentalMode();

        this.iborIndex = new IborIndex(
                      "no-fix", // never take fixing into account
                      tenor, fixingDays,
                      new Currency(), calendar, convention,
                      endOfMonth, dayCounter, termStructureHandle);
        initializeDates();
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                final boolean endOfMonth,
                final DayCounter dayCounter) {
        super(rate);
        QL.validateExperimentalMode();

        this.iborIndex = new IborIndex(
                      "no-fix", // never take fixing into account
                      tenor, fixingDays,
                      new Currency(), calendar, convention,
                      endOfMonth, dayCounter, termStructureHandle);
        initializeDates();
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                final Handle<Quote> rate,
                final IborIndex iborIndex) {
        super(rate);
        QL.validateExperimentalMode();

        this.iborIndex = new IborIndex(
                      "no-fix", // never take fixing into account
                      iborIndex.tenor(), iborIndex.fixingDays(), new Currency(),
                      iborIndex.fixingCalendar(), iborIndex.businessDayConvention(),
                      iborIndex.endOfMonth(), iborIndex.dayCounter(), termStructureHandle);
        initializeDates();
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                /*@Rate*/ final double  rate,
                final IborIndex i) {
        super(rate);
        QL.validateExperimentalMode();

        this.iborIndex = new IborIndex(
                      "no-fix", // never take fixing into account
                      i.tenor(), i.fixingDays(), new Currency(),
                      i.fixingCalendar(), i.businessDayConvention(),
                      i.endOfMonth(), i.dayCounter(), termStructureHandle);
        initializeDates();
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                final Calendar calendar,
                final BusinessDayConvention convention,
                final boolean endOfMonth,
                final DayCounter dayCounter) {
        super(rate);
        this.iborIndex = new IborIndex(
                      "no-fix", // never take fixing into account
                      tenor, fixingDays,
                      new Currency(), calendar, convention,
                      endOfMonth, dayCounter, termStructureHandle);
        initializeDates();
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                final boolean endOfMonth,
                final DayCounter dayCounter) {
        super(rate);
        QL.validateExperimentalMode();

        this.iborIndex = new IborIndex(
                      "no-fix", // never take fixing into account
                      tenor, fixingDays,
                      new Currency(), calendar, convention,
                      endOfMonth, dayCounter, this.termStructureHandle);
        initializeDates();
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Related Classes of org.jquantlib.indexes.IborIndex

  • org.jquantlib.model.shortrate.calibrationhelpers.CapHelper
  • org.jquantlib.samples.Bonds
  • org.jquantlib.termstructures.yieldcurves.DepositRateHelper
  • org.jquantlib.termstructures.yieldcurves.FraRateHelper
  • org.jquantlib.termstructures.yieldcurves.SwapRateHelper
  • org.jquantlib.testsuite.instruments.BondTest
  • org.jquantlib.testsuite.instruments.ConvertibleBondTest
  • org.jquantlib.testsuite.termstructures.yieldcurves.PiecewiseYieldCurveTest
  • org.jquantlib.testsuite.termstructures.yieldcurves.PiecewiseYieldCurveTest$CommonVars
  • org.jquantlib.time.Date
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