Uses of Enum Class
com.quantfinlib.rates.BusinessCalendar.Roll

Packages that use BusinessCalendar.Roll

Package

Description

com.quantfinlib.rates

Fixed income with real market conventions: YieldCurve (zero curve, discount factors, implied forwards, bootstrap from annual par swaps), BondPricer (price/yield, duration, convexity, DV01 — both whole-period and date-based with accrued interest), DayCount (ACT/360, ACT/365, 30/360, ACT/ACT ISDA), BusinessCalendar (holidays, roll conventions, T+n settlement, coupon schedules), ShortRateModels (Vasicek, CIR and curve-fitted Hull-White: closed-form zero-coupon bonds plus the simulation steps a rates-factor Monte Carlo needs) and KeyRateDurations (WHERE on the curve a bond's DV01 lives — per-node bumps whose slices sum back to the parallel move, tested).

Uses of BusinessCalendar.Roll in com.quantfinlib.rates

Subclasses with type arguments of type BusinessCalendar.Roll in com.quantfinlib.rates

Modifier and Type	Class	Description
static enum	BusinessCalendar.Roll	Date roll conventions for payment dates landing on non-business days.

Methods in com.quantfinlib.rates that return BusinessCalendar.Roll

Modifier and Type	Method	Description
static BusinessCalendar.Roll	BusinessCalendar.Roll.valueOf(String name)	Returns the enum constant of this class with the specified name.
static BusinessCalendar.Roll[]	BusinessCalendar.Roll.values()	Returns an array containing the constants of this enum class, in the order they are declared.

Methods in com.quantfinlib.rates with parameters of type BusinessCalendar.Roll

Modifier and Type	Method	Description
static double	BondPricer.cleanPrice(double face, double couponRate, int frequency, LocalDate settlement, LocalDate maturity, double yield, DayCount dayCount, BusinessCalendar calendar, BusinessCalendar.Roll roll)	Clean price = dirty price minus accrued interest.
static double	BondPricer.dirtyPrice(double face, double couponRate, int frequency, LocalDate settlement, LocalDate maturity, double yield, DayCount dayCount, BusinessCalendar calendar, BusinessCalendar.Roll roll)	Dirty price with real-world conventions: coupon dates generated from the maturity, payment dates rolled on the business calendar, accrual and discounting measured with the day-count convention.
LocalDate	BusinessCalendar.roll(LocalDate date, BusinessCalendar.Roll convention)	Applies the roll convention to a date.
List<LocalDate>	BusinessCalendar.schedule(LocalDate effectiveDate, LocalDate maturity, int paymentsPerYear, BusinessCalendar.Roll convention)	Coupon payment schedule: unadjusted dates generated backward from maturity every 12/paymentsPerYear months, then rolled.