List of rate() Examples

Examples of rate()

Examples of org.jquantlib.cashflow.IborCoupon.rate()

        final Date startDate = ((IborCoupon) flows.get(0)).fixingDate();
        for (int i = 0; i < size_; ++i) {
            final IborCoupon coupon = (IborCoupon) flows.get(i);
            QL.require(coupon.date().eq(coupon.accrualEndDate()) , irregular_coupon_types); // QA:[RG]::verified // TODO: message


            initialValues_.set(i, coupon.rate());
            accrualPeriod_.set(i, coupon.accrualPeriod());


            fixingDates_.set(i, coupon.fixingDate());
            fixingTimes_.set(i, dayCounter.yearFraction(startDate, coupon.fixingDate()));
            accrualStartTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualStartDate()));

View Full Code Here

Examples of org.jquantlib.cashflow.IborCoupon.rate()

        final Date startDate = ((IborCoupon) flows.get(0)).fixingDate();
        for (int i = 0; i < size_; ++i) {
            final IborCoupon coupon = (IborCoupon) flows.get(i);
            QL.require(coupon.date().eq(coupon.accrualEndDate()) , irregular_coupon_types); // TODO: message


            initialValues_.set(i, coupon.rate());
            accrualPeriod_.set(i, coupon.accrualPeriod());


            fixingDates_.set(i, coupon.fixingDate());
            fixingTimes_.set(i, dayCounter.yearFraction(startDate, coupon.fixingDate()));
            accrualStartTimes_.set(i, dayCounter.yearFraction(settlement, coupon.accrualStartDate()));

View Full Code Here

Examples of org.jquantlib.currencies.ExchangeRate.rate()


        QL.info("Calculated value: " + calculated3.value());




        final Rounding round = Money.baseCurrency.rounding();
        /*@Decimal*/final double x = round.operator(m1.value()*3.0/eur_gbp.rate()) + 2.5*m2.value() -
        round.operator(m3.value()/(5.0*eur_usd.rate()));
        QL.info("Expected value: " + x);


        final Money expected = new Money(x, EUR);

View Full Code Here

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

                    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) {

View Full Code Here

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

    }


    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());
    }

View Full Code Here

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

    }


    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());
    }

View Full Code Here

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

    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());
    }


}

View Full Code Here

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

    }


    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());
    }

View Full Code Here

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

    }


    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());
    }

View Full Code Here

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

    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());
    }


}

View Full Code Here

0 1 2

TOP

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.