#include <CDLastPeriodCalculator.h>
Inheritance diagram for com::ftlabs::fisa::calc::CDLastPeriodCalculator:
Public Member Functions | |
| CDLastPeriodCalculator (const CDLastPeriodCalculator &calculator) | |
| CDLastPeriodCalculator (const FISADate &settlementDate, const Redemption &redemption, const double parValue, const double interestRate, const DayCountBasis &dayCountBasis, const int interestFrequency, const bool eomAdjust, const HolidaySchedule *holidaySchedule) throw ( CalculationException ) | |
| ~CDLastPeriodCalculator (void) | |
| CDLastPeriodCalculator & | operator= (const CDLastPeriodCalculator &calculator) |
| void | setValues (const FISADate &settlementDate, const Redemption &redemption, const double parValue, const double interestRate, const DayCountBasis &dayCountBasis, const int interestFrequency, const bool eomAdjust, const HolidaySchedule *holidaySchedule) throw ( CalculationException ) |
| double | calculateCurrentYield (double price) const throw ( CalculationException ) |
| Calculate current yield for the given price. | |
| double | calculateYield (double price) const throw ( CalculationException ) |
| Calculate yield for the given price. | |
| double | calculatePrice (double yield) const throw ( CalculationException ) |
| Calculate price for the given yield. | |
| double | calculateAccruedInterest () const throw ( CalculationException ) |
| Calculate the accrued interest to the settlement date. | |
| double | getInterest (int cashFlowIndex) const |
| Get the interest to be paid for a particular cashflow, as specified by cashFlowIndex. | |
| double | calculateTrueYield (double price) const throw ( CalculationException ) |
| Calculate a True Yield, using adjusting cashflows that fall on business days. | |
| virtual Calculator * | clone (void) const |
Protected Member Functions | |
| CDLastPeriodCalculator (void) | |
Private Attributes | |
| double | interestRate |
| double | yearFraction |
| double | taxAdjustedInterestRate |
| double | taxAdjustedRedemptionValue |
| com::ftlabs::fisa::calc::CDLastPeriodCalculator::CDLastPeriodCalculator | ( | void | ) | [protected] |
| com::ftlabs::fisa::calc::CDLastPeriodCalculator::CDLastPeriodCalculator | ( | const CDLastPeriodCalculator & | calculator | ) |
| com::ftlabs::fisa::calc::CDLastPeriodCalculator::CDLastPeriodCalculator | ( | const FISADate & | settlementDate, | |
| const Redemption & | redemption, | |||
| const double | parValue, | |||
| const double | interestRate, | |||
| const DayCountBasis & | dayCountBasis, | |||
| const int | interestFrequency, | |||
| const bool | eomAdjust, | |||
| const HolidaySchedule * | holidaySchedule | |||
| ) | throw ( CalculationException ) |
| com::ftlabs::fisa::calc::CDLastPeriodCalculator::~CDLastPeriodCalculator | ( | void | ) |
| CDLastPeriodCalculator& com::ftlabs::fisa::calc::CDLastPeriodCalculator::operator= | ( | const CDLastPeriodCalculator & | calculator | ) |
| void com::ftlabs::fisa::calc::CDLastPeriodCalculator::setValues | ( | const FISADate & | settlementDate, | |
| const Redemption & | redemption, | |||
| const double | parValue, | |||
| const double | interestRate, | |||
| const DayCountBasis & | dayCountBasis, | |||
| const int | interestFrequency, | |||
| const bool | eomAdjust, | |||
| const HolidaySchedule * | holidaySchedule | |||
| ) | throw ( CalculationException ) |
| double com::ftlabs::fisa::calc::CDLastPeriodCalculator::calculateCurrentYield | ( | double | price | ) | const throw ( CalculationException ) [virtual] |
Calculate current yield for the given price.
| price | a price |
Implements com::ftlabs::fisa::calc::Calculator.
| double com::ftlabs::fisa::calc::CDLastPeriodCalculator::calculateYield | ( | double | price | ) | const throw ( CalculationException ) [virtual] |
Calculate yield for the given price.
| price | a price |
Implements com::ftlabs::fisa::calc::Calculator.
| double com::ftlabs::fisa::calc::CDLastPeriodCalculator::calculatePrice | ( | double | yield | ) | const throw ( CalculationException ) [virtual] |
Calculate price for the given yield.
| yield | a yield |
Implements com::ftlabs::fisa::calc::Calculator.
| double com::ftlabs::fisa::calc::CDLastPeriodCalculator::calculateAccruedInterest | ( | ) | const throw ( CalculationException ) [virtual] |
Calculate the accrued interest to the settlement date.
Implements com::ftlabs::fisa::calc::Calculator.
| double com::ftlabs::fisa::calc::CDLastPeriodCalculator::getInterest | ( | int | cashFlowIndex | ) | const [virtual] |
Get the interest to be paid for a particular cashflow, as specified by cashFlowIndex.
| cashFlowIndex | The cashflow index. cashFlowIndex is zero based and must be a number from 0 to getCashFlowCount() - 1. |
Implements com::ftlabs::fisa::calc::Calculator.
| double com::ftlabs::fisa::calc::CDLastPeriodCalculator::calculateTrueYield | ( | double | price | ) | const throw ( CalculationException ) [virtual] |
Calculate a True Yield, using adjusting cashflows that fall on business days.
Cashflow dates are adjusted according to a provided HolidaySchedule and/or weekend days.
| price | the clean price. |
Reimplemented from com::ftlabs::fisa::calc::OneCashFlowCalculator.
| virtual Calculator* com::ftlabs::fisa::calc::CDLastPeriodCalculator::clone | ( | void | ) | const [virtual] |
Implements com::ftlabs::fisa::calc::Calculator.
double com::ftlabs::fisa::calc::CDLastPeriodCalculator::interestRate [private] |
Reimplemented from com::ftlabs::fisa::calc::LastPeriodCalculator.
double com::ftlabs::fisa::calc::CDLastPeriodCalculator::yearFraction [private] |
1.5.2