Examples of valueDate()

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

151
152
153
154
155
156
157
158
159
160
161
     
      Date d = calendar.adjust(swap.maturityDate(), BusinessDayConvention.Following);
      Weekday w = d.weekday();
      Date nextWednesday = w.value() >=4 ? d.add(11 - w.value()) :  d.add(4 - w.value());
     
      latestDate = clonedIndex.valueDate(clonedIndex.fixingCalendar().adjust(nextWednesday));
    }
   
    /**
     * Do not set the relinkable handle as an observer.
     * Force recalculation when needed
View Full Code Here

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

51
52
53
54
55
56
57
58
59
60
61
    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++) {
View Full Code Here

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

57
58
59
60
61
62
63
64
65
66
67
   
    @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;
      }
View Full Code Here

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

58
59
60
61
62
63
64
65
66
67
68
    @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;
      }
     
View Full Code Here

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

50
51
52
53
54
55
56
57
58
59
60
    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;
   
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
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.