Examples of businessDayConvention()

Examples of org.jquantlib.indexes.Euribor.businessDayConvention()

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            for (int i=0; i<deposits; i++) {
                final Handle<Quote> r = new Handle<Quote>(rates[i]);
                instruments[i] = new
                    DepositRateHelper(r, new Period(depositData[i].n,depositData[i].units),
                                      euribor6m.fixingDays(), calendar,
                                      euribor6m.businessDayConvention(),
                                      euribor6m.endOfMonth(),
                                      euribor6m.dayCounter());
            }

            for (int i=0; i<swaps; i++) {
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Examples of org.jquantlib.indexes.Euribor.businessDayConvention()

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                final Handle<Quote> r = new Handle<Quote>(fraRates[i]);
                fraHelpers[i] = new
                    FraRateHelper(r, fraData[i].n, fraData[i].n + 3,
                                  euribor3m.fixingDays(),
                                  euribor3m.fixingCalendar(),
                                  euribor3m.businessDayConvention(),
                                  euribor3m.endOfMonth(),
                                  euribor3m.dayCounter());
            }

            for (int i=0; i<bonds; i++) {
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Examples of org.jquantlib.indexes.Euribor3M.businessDayConvention()

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        final IborIndex euribor3m = new Euribor3M(curveHandle);
        for (int i=0; i<vars.fras; i++) {
            final Date start = vars.calendar.advance(vars.settlement,
                                           fraData[i].n,
                                           fraData[i].units,
                                           euribor3m.businessDayConvention(),
                                           euribor3m.endOfMonth());
            final Date end = vars.calendar.advance(start, 3, TimeUnit.Months,
                                             euribor3m.businessDayConvention(),
                                             euribor3m.endOfMonth());
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Examples of org.jquantlib.indexes.Euribor3M.businessDayConvention()

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                                           fraData[i].n,
                                           fraData[i].units,
                                           euribor3m.businessDayConvention(),
                                           euribor3m.endOfMonth());
            final Date end = vars.calendar.advance(start, 3, TimeUnit.Months,
                                             euribor3m.businessDayConvention(),
                                             euribor3m.endOfMonth());

            final ForwardRateAgreement fra = new ForwardRateAgreement(start, end, Position.Long,
                                      fraData[i].rate/100, 100.0,
                                      euribor3m, curveHandle);
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Examples of org.jquantlib.indexes.IborIndex.businessDayConvention()

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        final IborIndex euribor3m = new Euribor3M(curveHandle);
        for (int i=0; i<vars.fras; i++) {
            final Date start = vars.calendar.advance(vars.settlement,
                                           fraData[i].n,
                                           fraData[i].units,
                                           euribor3m.businessDayConvention(),
                                           euribor3m.endOfMonth());
            final Date end = vars.calendar.advance(start, 3, TimeUnit.Months,
                                             euribor3m.businessDayConvention(),
                                             euribor3m.endOfMonth());
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Examples of org.jquantlib.indexes.IborIndex.businessDayConvention()

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                                           fraData[i].n,
                                           fraData[i].units,
                                           euribor3m.businessDayConvention(),
                                           euribor3m.endOfMonth());
            final Date end = vars.calendar.advance(start, 3, TimeUnit.Months,
                                             euribor3m.businessDayConvention(),
                                             euribor3m.endOfMonth());

            final ForwardRateAgreement fra = new ForwardRateAgreement(start, end, Position.Long,
                                      fraData[i].rate/100, 100.0,
                                      euribor3m, curveHandle);
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Examples of org.jquantlib.indexes.IborIndex.businessDayConvention()

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                                    .schedule();
            final Schedule liborSchedule = new MakeSchedule(vars.settlement,
                                                      vars.settlement.add(tenor),
                                                      libor3m.tenor(),
                                                      libor3m.fixingCalendar(),
                                                      libor3m.businessDayConvention())
                                      .endOfMonth(libor3m.endOfMonth())
                                      .backwards()
                                      .schedule();

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Examples of org.jquantlib.indexes.IborIndex.businessDayConvention()

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            for (int i=0; i<deposits; i++) {
                final Handle<Quote> r = new Handle<Quote>(rates[i]);
                instruments[i] = new
                    DepositRateHelper(r, new Period(depositData[i].n,depositData[i].units),
                                      euribor6m.fixingDays(), calendar,
                                      euribor6m.businessDayConvention(),
                                      euribor6m.endOfMonth(),
                                      euribor6m.dayCounter());
            }

            for (int i=0; i<swaps; i++) {
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Examples of org.jquantlib.indexes.ibor.USDLibor.businessDayConvention()

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                                    .schedule();
            final Schedule liborSchedule = new MakeSchedule(vars.settlement,
                                                      vars.settlement.add(tenor),
                                                      libor3m.tenor(),
                                                      libor3m.fixingCalendar(),
                                                      libor3m.businessDayConvention())
                                      .endOfMonth(libor3m.endOfMonth())
                                      .backwards()
                                      .schedule();

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