frgomes / jquantlib

JQuantLib is a library for Quantitative Finance written in 100% Java

JQuantLib is a free, open-source, comprehensive framework for quantitative finance, written in 100% Java. It provides "quants" and Java application developers several mathematical and statistical tools needed for the valuation of shares, options, futures, swaps, and other financial instruments.

JQuantLib is based on QuantLib, which is written in C++, aiming to be a complete rewrite of QuantLib, offering features Java developers expect to find. JQuantLib aims to be fast, correct, strongly typed, well-documented, and user-friendly.

JQuantLib does its best efforts to mimic as close as possible the API exposed by QuantLib, offering a smooth transition path for developers and organizations willing to employ financial applications written in Java whilst keeping commitment to high performance and low latency.

More info: http://www.jquantlib.org

Quick guide for the impatient

On a Unix-like console

# branch from Github with git
git clone http://github.com/frgomes/jquantlib

# run demo number 9 (EquityOptions)
cd jquantlib
./sbt clean samples/run     # or simply `sbt clean samples/run` if you have SBT installed

For impatient developers

More info: http://www.jquantlib.org/en/latest/developersguide.html

Modules

Main modules

• jquantlib -- main module, which resembles QuantLib/C++
• jquantlib-helpers -- helper classes
• jquantlib-contrib -- 3rd party contributions
• jquantlib-samples -- sample code

Related software

• jquantlib-ooplugin -- OpenOffice Calc plugin (outdated, not maintained)

-- Richard Gomes

jquantlib's Issues

FixedRateBondHelper issue

I have a problem with FixedRateBondHelper . The following lines of code are almost the same as the ones at which I am making reference, but adapted for a single bond case. The code breaks with the error

"Exception in thread "main" java.lang.UnsupportedOperationException: Work in progress
at org.jquantlib.QL.validateExperimentalMode(QL.java:391)
at org.jquantlib.termstructures.yieldcurves.FixedRateBondHelper.(FixedRateBondHelper.java:104)".

Furthermore, I have tried the entire code (allowing for multiple bonds) but the exception arises at the same way.

Thanks in advance

	Date settlementDate = new Date(14, 5, 2018);
	new Settings().setEvaluationDate(settlementDate);

	double redemption = 100;
	final double zc3mQuote = 0.0096;
	final double zc6mQuote = 0.0145;
	final double zc1yQuote = 0.0194;

	final Quote zc3mRate = new SimpleQuote(zc3mQuote);
	final Quote zc6mRate = new SimpleQuote(zc6mQuote);
	final Quote zc1yRate = new SimpleQuote(zc1yQuote);

	final DayCounter zcBondsDayCounter = new Actual365Fixed();

	final int fixingDays = 3;
	final int settlementDays = 3;
	final Calendar calendar = new Target();

	final RateHelper zc3m = new DepositRateHelper(new Handle<Quote>(zc3mRate), new Period(3, TimeUnit.Months),
			fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, zcBondsDayCounter);
	final RateHelper zc6m = new DepositRateHelper(new Handle<Quote>(zc6mRate), new Period(6, TimeUnit.Months),
			fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, zcBondsDayCounter);
	final RateHelper zc1y = new DepositRateHelper(new Handle<Quote>(zc1yRate), new Period(1, TimeUnit.Years),
			fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, zcBondsDayCounter);

	final Date issueDate = new Date(15, Month.March, 2018);
	final Date maturity = new Date(15, Month.March, 2020);

	final double couponRate = 0.02;
	final double marketQuote = 106.21875;

	final List<SimpleQuote> quote = new ArrayList<SimpleQuote>();
	final List<RelinkableHandle<Quote>> quoteHandle = new ArrayList<RelinkableHandle<Quote>>();
	final SimpleQuote sq = new SimpleQuote(marketQuote);
	final RelinkableHandle<Quote> handle = new RelinkableHandle<Quote>(sq);
	quote.add(sq);
	quoteHandle.add(handle);
	System.out.println(quoteHandle.get(0));

	final Schedule schedule = new Schedule(issueDate, maturity, new Period(Frequency.Semiannual),
			new UnitedStates(UnitedStates.Market.GOVERNMENTBOND), BusinessDayConvention.Unadjusted,
			BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
	

	final FixedRateBondHelper bondHelper = new FixedRateBondHelper(quoteHandle.get(0), settlementDays, 100.0,
			schedule, new double[] { couponRate }, new ActualActual(ActualActual.Convention.Bond),
			BusinessDayConvention.Unadjusted, redemption, issueDate);

Integrate France.java from getnpk/jquantlib

MehdiRadhouani/jquantlib@019818a

Review the website

1. focusing on making it more straight to the point and relevant.
2. Priority to deleting content, instead of modifying or inserting content.

http://jquantlib.org

Migrate issues from Launchpad to Github

Add comments to this issue as we go along moving issue from Launchpad to GitHub.

Get rid of the Developer's Guide

The Developer's Guide is completely misleading as it is still pointing to Launchpad.

We can simply remove the Developer's Guide at this point.

http://www.jquantlib.org/en/latest/developersguide.html

Use Case Example

Hello,

Thank you for all the effort that you are making in creating a Java Quantlib library. I'm trying to use your library for options pricing and I don't find any example that could help me!
May you please publish some use cases that could be useful for anyone willing to use your library!

Best regards,
Ramzi Chaaben.

Integrate new currency contributed by getnpk/jquantlib

getnpk/jquantlib@076b398