Package org.jquantlib.termstructures

Examples of org.jquantlib.termstructures.InterestRate.rate()

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                    faceAmount, cashflows.last().date(),
                    new Date(1,Month.January,2007), cashflows);

          final double cachedPrice = prices[bondIndex];

          final double price = faceAmount*bond.dirtyPrice(yield.rate(),
                                                       yield.dayCounter(),
                                                       yield.compounding(),
                                                       yield.frequency(),
                                                       today)/100;
          if (Math.abs(price-cachedPrice) > tolerance) {
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    }

    private double /*@Rate*/  riskFreeRate()  {
        final InterestRate rate =  this.process.riskFreeRate().currentLink().zeroRate(residualTime(), Compounding.Continuous,
                Frequency.NoFrequency, false);
        return rate.rate();
    }

    private double /*@DiscountFactor*/  riskFreeDiscount()  {
        return this.process.riskFreeRate().currentLink().discount(residualTime());
    }
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    }

    private double /*@Rate*/  dividendYield()  {
        final InterestRate yield = this.process.dividendYield().currentLink().zeroRate(
                residualTime(), Compounding.Continuous, Frequency.NoFrequency, false);
        return yield.rate();
    }

    private double /*@DiscountFactor*/  dividendDiscount()  {
        return this.process.dividendYield().currentLink().discount(residualTime());
    }
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    protected void initializeStepCondition() {
        final double residualTime = getResidualTime();
        final InterestRate riskFreeRate = process.riskFreeRate().currentLink().zeroRate(
                residualTime, Compounding.Continuous, Frequency.Annual, false);

        stepCondition = new ShoutCondition(intrinsicValues.values(), residualTime, riskFreeRate.rate());
    }

}
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    }

    private double /*@Rate*/  riskFreeRate()  {
        final InterestRate rate =  this.process.riskFreeRate().currentLink().zeroRate(residualTime(), Compounding.Continuous,
                Frequency.NoFrequency, false);
        return rate.rate();
    }

    private double /*@DiscountFactor*/  riskFreeDiscount()  {
        return this.process.riskFreeRate().currentLink().discount(residualTime());
    }
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    }

    private double /*@Rate*/  dividendYield()  {
        final InterestRate yield = this.process.dividendYield().currentLink().zeroRate(
                residualTime(), Compounding.Continuous, Frequency.NoFrequency, false);
        return yield.rate();
    }

    private double /*@DiscountFactor*/  dividendDiscount()  {
        return this.process.dividendYield().currentLink().discount(residualTime());
    }
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    protected void initializeStepCondition() {
        final double residualTime = getResidualTime();
        final InterestRate riskFreeRate = process.riskFreeRate().currentLink().zeroRate(
                residualTime, Compounding.Continuous, Frequency.Annual, false);

        stepCondition = new ShoutCondition(intrinsicValues.values(), residualTime, riskFreeRate.rate());
    }

}
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                    faceAmount, cashflows.last().date(),
                    new Date(1,Month.January,2007), cashflows);

          final double cachedPrice = prices[bondIndex];

          final double price = faceAmount*bond.dirtyPrice(yield.rate(),
                                                       yield.dayCounter(),
                                                       yield.compounding(),
                                                       yield.frequency(),
                                                       today)/100;
          if (Math.abs(price-cachedPrice) > tolerance) {
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