Examples of termStructure()

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

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            final BMASwap swap = new BMASwap(BMASwap.Type.Payer, 100.0,
                               liborSchedule, 0.75, 0.0,
                               libor3m, libor3m.dayCounter(),
                               bmaSchedule, bma, vars.bmaDayCounter);
            swap.setPricingEngine(new DiscountingSwapEngine(libor3m.termStructure()));

            /*@Real*/ final double expectedFraction = bmaData[i].rate/100;
            /*@Real*/ final double estimatedFraction = swap.fairLiborFraction();
            /*@Real*/ final double error = Math.abs(expectedFraction-estimatedFraction);
            if (error > tolerance) {
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Examples of org.jquantlib.indexes.InterestRateIndex.termStructure()

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        coupon_ =  (IborCoupon)coupon;
        gearing_ = coupon_.gearing();
        spread_ = coupon_.spread();
        final Date paymentDate = coupon_.date();
        final InterestRateIndex index = coupon_.index();
        final Handle<YieldTermStructure> rateCurve = index.termStructure();

        final Date today = new Settings().evaluationDate();

        if(paymentDate.gt(today))
            discount_ = rateCurve.currentLink().discount(paymentDate);
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Examples of org.jquantlib.indexes.InterestRateIndex.termStructure()

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        coupon_ =  (IborCoupon)coupon;
        gearing_ = coupon_.gearing();
        spread_ = coupon_.spread();
        final Date paymentDate = coupon_.date();
        final InterestRateIndex index = coupon_.index();
        final Handle<YieldTermStructure> rateCurve = index.termStructure();

        final Date today = new Settings().evaluationDate();

        if(paymentDate.gt(today))
            discount_ = rateCurve.currentLink().discount(paymentDate);
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Examples of org.jquantlib.indexes.ibor.USDLibor.termStructure()

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            final BMASwap swap = new BMASwap(BMASwap.Type.Payer, 100.0,
                               liborSchedule, 0.75, 0.0,
                               libor3m, libor3m.dayCounter(),
                               bmaSchedule, bma, vars.bmaDayCounter);
            swap.setPricingEngine(new DiscountingSwapEngine(libor3m.termStructure()));

            /*@Real*/ final double expectedFraction = bmaData[i].rate/100;
            /*@Real*/ final double estimatedFraction = swap.fairLiborFraction();
            /*@Real*/ final double error = Math.abs(expectedFraction-estimatedFraction);
            if (error > tolerance) {
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