Package org.jquantlib.indexes

Examples of org.jquantlib.indexes.InterestRateIndex.valueDate()

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    Date d1 = new Date(startDate.serialNumber());
    Date d2 = new Date(startDate.serialNumber());

    QL.require(fixingDates.size() > 0, "fixing date list empty");
    QL.require(index.valueDate(fixingDates.get(0)).le(startDate), "first fixing date valid after period start");
    QL.require(index.valueDate(fixingDates.get((fixingDates.size()-1))).ge(startDate), "last fixing date valid before period end");
   
    @Rate double avgBMA = 0.0;
    int days = 0;
   
    for (int i=0;i<(fixingDates.size()-1);i++) {
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    @Rate double avgBMA = 0.0;
    int days = 0;
   
    for (int i=0;i<(fixingDates.size()-1);i++) {
      Date valueDate = index.valueDate(fixingDates.get(i));
      Date nextValueDate = index.valueDate(fixingDates.get(i+1));
     
      if (fixingDates.get(i).ge(endDate) || valueDate.ge(valueDate)) {
        break;
      }
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    @Rate double avgBMA = 0.0;
    int days = 0;
   
    for (int i=0;i<(fixingDates.size()-1);i++) {
      Date valueDate = index.valueDate(fixingDates.get(i));
      Date nextValueDate = index.valueDate(fixingDates.get(i+1));
     
      if (fixingDates.get(i).ge(endDate) || valueDate.ge(valueDate)) {
        break;
      }
     
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    Date endDate = coupon.accrualEndDate().sub(cutoffDays);
    Date d1 = new Date(startDate.serialNumber());
    Date d2 = new Date(startDate.serialNumber());

    QL.require(fixingDates.size() > 0, "fixing date list empty");
    QL.require(index.valueDate(fixingDates.get(0)).le(startDate), "first fixing date valid after period start");
    QL.require(index.valueDate(fixingDates.get((fixingDates.size()-1))).ge(startDate), "last fixing date valid before period end");
   
    @Rate double avgBMA = 0.0;
    int days = 0;
   
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