FTLabs FISA (c++): com::ftlabs::fisa::calc::Calculator Class Reference

com::ftlabs::fisa::calc::Calculator::Calculator ( void ) [inline, protected]

virtual com::ftlabs::fisa::calc::Calculator::~Calculator ( void ) [inline, virtual]

virtual const com::ftlabs::fisa::FISADate& com::ftlabs::fisa::calc::Calculator::getSettlementDate ( void ) const [pure virtual]

Get the settlement date to which this Calculator is bound.

Returns:: Settlement date.

Implemented in com::ftlabs::fisa::calc::DelegatingCalculator, com::ftlabs::fisa::calc::MultiplePeriodCalculator, and com::ftlabs::fisa::calc::OneCashFlowCalculator.

virtual const com::ftlabs::fisa::Redemption& com::ftlabs::fisa::calc::Calculator::getRedemption ( void ) const [pure virtual]

Get the Redemption to which this Calculator is bound.

Returns:: Redemption.

Implemented in com::ftlabs::fisa::calc::DelegatingCalculator, com::ftlabs::fisa::calc::MultiplePeriodCalculator, and com::ftlabs::fisa::calc::OneCashFlowCalculator.

virtual const com::ftlabs::fisa::FISADate* com::ftlabs::fisa::calc::Calculator::getInterestAccrualDate ( void ) const [pure virtual]

Get the date on which interest begins to accrue for this settlement to redemption period.

This method will return dated date if the settlement date is before the first interest date, the coupon date just prior to the settlement date, or the settlement date if it falls on a coupon payment date. This method may not be applicable to all implementations, in which case a 0 should be returned.

Returns:: The date on which interest begins to accrue.

Implemented in com::ftlabs::fisa::calc::DelegatingCalculator, com::ftlabs::fisa::calc::LastPeriodCalculator, com::ftlabs::fisa::calc::MultiplePeriodCalculator, and com::ftlabs::fisa::calc::OneCashFlowCalculator.

virtual double com::ftlabs::fisa::calc::Calculator::calculateYield ( double price ) const throw ( CalculationException ) [pure virtual]

Calculate yield for the given price.

Parameters:

price

a price

Returns:: yield as calculated for the given price.

Exceptions:

com::ftlabs::fisa::calc::CalculationException


Public Member Functions
virtual	~Calculator (void)
virtual const com::ftlabs::fisa::FISADate &	getSettlementDate (void) const =0
	Get the settlement date to which this Calculator is bound.
virtual const com::ftlabs::fisa::Redemption &	getRedemption (void) const =0
	Get the Redemption to which this Calculator is bound.
virtual const com::ftlabs::fisa::FISADate *	getInterestAccrualDate (void) const =0
	Get the date on which interest begins to accrue for this settlement to redemption period.
virtual double	calculateYield (double price) const=0 throw ( CalculationException )
	Calculate yield for the given price.
virtual double	calculateCurrentYield (double price) const=0 throw ( CalculationException )
	Calculate current yield for the given price.
virtual double	calculatePrice (double yield) const=0 throw ( CalculationException )
	Calculate price for the given yield.
virtual double	calculateAccruedInterest () const=0 throw ( CalculationException )
	Calculate the accrued interest to the settlement date.
virtual int	getCashFlowCount () const=0
	Get the number of cashflows within the bounding settlement to Redemption period.
virtual double	getInterest (int cashFlowIndex) const =0
	Get the interest to be paid for a particular cashflow, as specified by cashFlowIndex.
virtual double	getPrincipal (int cashFlowIndex) const =0
	Get the principal to be paid for a particular cashflow, as specified by cashFlowIndex.
virtual double	getTotalCashFlow (int cashFlowIndex) const =0
	Get the principal and interest to be paid for a particular cashflow, as specified by cashFlowIndex.
virtual double	getTimeToFlow (int cashFlowIndex) const =0
	Get the time to flow for a particular cashflow, as specified by cashFlowIndex.
virtual double	getPeriodicTimeToFlow (int cashFlowIndex) const =0
	Get the periodic time to flow as calculated with an actual day count method for a particular cashflow, as specified by cashFlowIndex. This value is generally used in actual convexity and duration methods.
virtual FISADate	getCashFlowDate (int cashFlowIndex) const =0
	Get a cash flow date for a particular cashflow, as specified by the provided cashFlowIndex.
virtual void	getCashFlowDate (int cashFlowIndex, FISADate &date) const =0
	Set the provided FISADate to the cash flow date of a particular cashflow, as specified by the provided cashFlowIndex.
virtual double	calculatePeriodicYield (double price) const=0 throw ( CalculationException )
	Calculate a periodic discounted cash flow yield for use with convexity/duration methods.
virtual double	calculateMacaulayDuration (double periodicYield) const =0 throw ( CalculationException )
	Calculate the actual Macaulay duration.
virtual double	calculateModifiedDuration (double periodicYield) const =0 throw ( CalculationException )
	Calculate the actual modified duration. If Macaulay Duration has already been or will be calculated, then it is more efficient to use the overloaded calculateModifiedDuration method that accepts the Macaulay Duration.
virtual double	calculateModifiedDuration (double macaulayDuration, double periodicYield) const =0 throw ( CalculationException )
	Calculate the actual modified duration using an already calculated Macaulay Duration.
virtual double	calculateConvexity (double periodicYield) const =0 throw ( CalculationException )
	Calculate the actual convexity.
virtual double	calculatePriceValue1BP (double price, double yield) const =0 throw ( CalculationException )
	Calculate the average price value obtained by varying the yield up and down one basis point.
virtual double	calculateYieldValue1_32 (double pv1b) const=0 throw ( CalculationException )
	Calculate the average yield value obtained by varying the price up and down 1/32.
virtual double	calculateEstimatedMacaulayDuration (double pv1b, double price, double yield) const =0 throw ( CalculationException )
	Calculate an estimated Macaulay duration.
virtual double	calculateEstimatedModifiedDuration (double pv1b, double price, double yield) const =0 throw ( CalculationException )
	Calculate an estimated modified duration.
virtual double	calculateEstimatedModifiedDuration (double duration, double yield) const =0 throw ( CalculationException )
	Calculate the estimated modified duration.
virtual double	calculateEstimatedConvexity (double pv1b, double price, double yield) const =0 throw ( CalculationException )
	Calculate an estimated convexity.
virtual double	calculateTrueYield (double price) const=0 throw ( CalculationException )
	Calculate a True Yield, using adjusting cashflows that fall on business days.
virtual double	calculateAccruedIncome (void) const =0 throw ( CalculationException )
	Calculates the accrued interest income to Redemption.
virtual double	calculateAccruedIncome (const FISADate &salesDate) const =0 throw ( CalculationException )
	Calculates the accrued interest income to the supplied salesDate.
virtual double	calculateTotalInterestFlows (void) const =0 throw ( CalculationException )
	A convenience method to total all interest cashflows between the settlement to redemption period.
virtual double	calculateInterestOnInterest (double reinvestmentYield) const =0 throw ( CalculationException )
	Calculate the interest earned on reinvested interest cashflows using the provided reinvestmentYield.
virtual Calculator *	clone (void) const =0
Protected Member Functions
	Calculator (void)

virtual void com::ftlabs::fisa::calc::Calculator::getCashFlowDate	(	int	cashFlowIndex,
		FISADate &	date
	)			const `[pure virtual]`

	cashFlowIndex	The cashflow index. cashFlowIndex is zero based and must be a number from 0 to getCashFlowCount() - 1.
	date	A reference to a FISADate to be set to the specified cash flow date.

virtual double com::ftlabs::fisa::calc::Calculator::calculateModifiedDuration	(	double	macaulayDuration,
		double	periodicYield
	)			const throw ( CalculationException ) `[pure virtual]`

	macaulayDuration	The Macaulay Duration as calculated by the calculateMacaulayDuration method.
	periodicYield	The periodicYield as returned from the calculatePeriodicYield method.

virtual double com::ftlabs::fisa::calc::Calculator::calculatePriceValue1BP	(	double	price,
		double	yield
	)			const throw ( CalculationException ) `[pure virtual]`

virtual double com::ftlabs::fisa::calc::Calculator::calculateEstimatedMacaulayDuration	(	double	pv1b,
		double	price,
		double	yield
	)			const throw ( CalculationException ) `[pure virtual]`

	pv1b	The average price value obtained by varying the yield up and down one basis point, as returned by the calculatePriceValue1BP method.
	price	the price.
	yield	the yield.

virtual double com::ftlabs::fisa::calc::Calculator::calculateEstimatedModifiedDuration	(	double	duration,
		double	yield
	)			const throw ( CalculationException ) `[pure virtual]`

	duration	an estimated Macaulay Duration as returned from calculateEstimatedMacaulayDuration.
	yield	the yield.

com::ftlabs::fisa::calc::Calculator Class Reference

Public Member Functions

Protected Member Functions

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation