Package org.jquantlib.indexes

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


        // check deposits
        for (int i=0; i<vars.deposits; i++) {
            final Euribor index = new Euribor(new Period(depositData[i].n, depositData[i].units), curveHandle);
            /*@Rate*/ final double expectedRate  = depositData[i].rate/100;
            /*@Rate*/ final double estimatedRate = index.fixing(vars.today);
            if (Math.abs(expectedRate-estimatedRate) > tolerance) {
              throw new RuntimeException(
                  String.format("%d %s %s %s %f %s %f",
                      depositData[i].n,
                      depositData[i].units == TimeUnit.Weeks ? "week(s)" : "month(s)",
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