com.github.vonrosen.quantlib

Class FixedRateBondForward

java.lang.Object

com.github.vonrosen.quantlib.Instrument

com.github.vonrosen.quantlib.Forward

com.github.vonrosen.quantlib.FixedRateBondForward

public class FixedRateBondForward
extends Forward

Field Summary

Fields inherited from class com.github.vonrosen.quantlib.Instrument

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	FixedRateBondForward(Date valueDate, Date maturityDate, Position.Type type, double strike, long settlementDays, DayCounter dayCounter, Calendar calendar, BusinessDayConvention businessDayConvention, FixedRateBond fixedBond)
	FixedRateBondForward(Date valueDate, Date maturityDate, Position.Type type, double strike, long settlementDays, DayCounter dayCounter, Calendar calendar, BusinessDayConvention businessDayConvention, FixedRateBond fixedBond, YieldTermStructureHandle discountCurve)
	FixedRateBondForward(Date valueDate, Date maturityDate, Position.Type type, double strike, long settlementDays, DayCounter dayCounter, Calendar calendar, BusinessDayConvention businessDayConvention, FixedRateBond fixedBond, YieldTermStructureHandle discountCurve, YieldTermStructureHandle incomeDiscountCurve)
protected	FixedRateBondForward(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
double	cleanForwardPrice()
void	delete()
protected void	finalize()
double	forwardPrice()
protected static long	getCPtr(FixedRateBondForward obj)
double	spotIncome(YieldTermStructureHandle incomeDiscountCurve)
double	spotValue()

Methods inherited from class com.github.vonrosen.quantlib.Forward

forwardValue, getCPtr, impliedYield

Methods inherited from class com.github.vonrosen.quantlib.Instrument

__deref__, asObservable, errorEstimate, freeze, getCPtr, isExpired, isNull, NPV, recalculate, setPricingEngine, unfreeze

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

FixedRateBondForward

protected FixedRateBondForward(long cPtr,
                               boolean cMemoryOwn)

FixedRateBondForward

public FixedRateBondForward(Date valueDate,
                            Date maturityDate,
                            Position.Type type,
                            double strike,
                            long settlementDays,
                            DayCounter dayCounter,
                            Calendar calendar,
                            BusinessDayConvention businessDayConvention,
                            FixedRateBond fixedBond,
                            YieldTermStructureHandle discountCurve,
                            YieldTermStructureHandle incomeDiscountCurve)

FixedRateBondForward

public FixedRateBondForward(Date valueDate,
                            Date maturityDate,
                            Position.Type type,
                            double strike,
                            long settlementDays,
                            DayCounter dayCounter,
                            Calendar calendar,
                            BusinessDayConvention businessDayConvention,
                            FixedRateBond fixedBond,
                            YieldTermStructureHandle discountCurve)

FixedRateBondForward

public FixedRateBondForward(Date valueDate,
                            Date maturityDate,
                            Position.Type type,
                            double strike,
                            long settlementDays,
                            DayCounter dayCounter,
                            Calendar calendar,
                            BusinessDayConvention businessDayConvention,
                            FixedRateBond fixedBond)

Method Detail

getCPtr

protected static long getCPtr(FixedRateBondForward obj)

finalize

protected void finalize()

Overrides:

finalize in class Forward

delete

public void delete()

Overrides:

delete in class Forward

forwardPrice

public double forwardPrice()

cleanForwardPrice

public double cleanForwardPrice()

spotIncome

public double spotIncome(YieldTermStructureHandle incomeDiscountCurve)

spotValue

public double spotValue()