1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
|
package examples;
import org.quantlib.Actual360;
import org.quantlib.Date;
import org.quantlib.DayCounter;
import org.quantlib.FlatForward;
import org.quantlib.Month;
import org.quantlib.Settings;
import org.quantlib.YieldTermStructureHandle;
import org.quantlib.ForwardRateAgreement;
import org.quantlib.Position;
import org.quantlib.IborIndex;
import org.quantlib.Euribor3M;
public class FRA {
public static void main(String[] args) throws Exception {
Date todaysDate = new Date(23, Month.May, 2006);
Settings.instance().setEvaluationDate(todaysDate);
Date startDate = new Date(23, Month.August, 2006);
Position.Type type = Position.Type.Long;
double strike = 0.02;
double notional = 100.0;
double riskFreeRate = 0.06;
DayCounter dayCounter = new Actual360();
// define the underlying asset and the yield/dividend/volatility curves
YieldTermStructureHandle flatTermStructure =
new YieldTermStructureHandle(new FlatForward(todaysDate, riskFreeRate, dayCounter));
IborIndex euribor3m = new Euribor3M(flatTermStructure);
ForwardRateAgreement myFra =
new ForwardRateAgreement(euribor3m, startDate, type, strike, notional, flatTermStructure);
System.out.println(myFra.amount());
System.out.println(myFra.NPV());
}
}
|
