com::ftlabs::fisa::calc::DefaultAnalytics Class Reference

An implementation of Analytics that attempts to balance memory and CPU usage by caching only the values with more complex formulas, and values that are needed for multiple methods. More...

#include <DefaultAnalytics.h>

Inheritance diagram for com::ftlabs::fisa::calc::DefaultAnalytics:

List of all members.

Public Member Functions
	DefaultAnalytics (const Calculator *calculator, double price)
	DefaultAnalytics (const Calculator *calculator, double price, double yield)
	DefaultAnalytics (const DefaultAnalytics &analytics)
	~DefaultAnalytics (void)
DefaultAnalytics &	operator= (const DefaultAnalytics &analytics)
const Redemption &	getRedemption (void)
double	getPrice (void) throw ( com::ftlabs::fisa::calc::CalculationException )
double	getYield (void) throw ( com::ftlabs::fisa::calc::CalculationException )
double	getTrueYield (void) throw ( com::ftlabs::fisa::calc::CalculationException )
double	getMacaulayDuration (void) throw ( com::ftlabs::fisa::calc::CalculationException )
double	getModifiedDuration (void) throw ( com::ftlabs::fisa::calc::CalculationException )
double	getConvexity (void) throw ( com::ftlabs::fisa::calc::CalculationException )
double	getPriceValue1BP (void) throw ( com::ftlabs::fisa::calc::CalculationException )
double	getYieldValue1_32 (void) throw ( com::ftlabs::fisa::calc::CalculationException )
double	getEstimatedMacaulayDuration (void) throw ( com::ftlabs::fisa::calc::CalculationException )
double	getEstimatedModifiedDuration (void) throw ( com::ftlabs::fisa::calc::CalculationException )
double	getEstimatedConvexity (void) throw ( com::ftlabs::fisa::calc::CalculationException )
double	getAccruedInterest (void) throw ( com::ftlabs::fisa::calc::CalculationException )
virtual double	getTotalInterestFlows (void) throw ( com::ftlabs::fisa::calc::CalculationException )
	Get the total interest flows.
virtual double	getInterestOnInterest (void) throw ( com::ftlabs::fisa::calc::CalculationException )
	Get interest on interest using an assumed reinvestment yield that is equal to yield.
virtual double	getInterestOnInterest (double reinvestmentYield) throw ( com::ftlabs::fisa::calc::CalculationException )
	Get interest on interest.
Private Member Functions
double	getPeriodicYield (void) throw ( com::ftlabs::fisa::calc::CalculationException )
Private Attributes
const Calculator *	calculator
double	price
double	yield
double	priceValue1bp
double	macaulayDuration
double	convexity
double	periodicYield
double	totalInterestFlows
double	intOnInt

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Detailed Description

An implementation of Analytics that attempts to balance memory and CPU usage by caching only the values with more complex formulas, and values that are needed for multiple methods.

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Constructor & Destructor Documentation

com::ftlabs::fisa::calc::DefaultAnalytics::DefaultAnalytics	(	const Calculator *	calculator,
		double	price
	)

com::ftlabs::fisa::calc::DefaultAnalytics::DefaultAnalytics	(	const Calculator *	calculator,
		double	price,
		double	yield
	)

com::ftlabs::fisa::calc::DefaultAnalytics::DefaultAnalytics

(

const DefaultAnalytics &

analytics

)

com::ftlabs::fisa::calc::DefaultAnalytics::~DefaultAnalytics

(

void

)

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Member Function Documentation

DefaultAnalytics& com::ftlabs::fisa::calc::DefaultAnalytics::operator=

(

const DefaultAnalytics &

analytics

)

const Redemption& com::ftlabs::fisa::calc::DefaultAnalytics::getRedemption

(

void

)

[virtual]

Implements com::ftlabs::fisa::calc::Analytics.

double com::ftlabs::fisa::calc::DefaultAnalytics::getPrice

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Implements com::ftlabs::fisa::calc::Analytics.

double com::ftlabs::fisa::calc::DefaultAnalytics::getYield

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Implements com::ftlabs::fisa::calc::Analytics.

double com::ftlabs::fisa::calc::DefaultAnalytics::getTrueYield

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Implements com::ftlabs::fisa::calc::Analytics.

double com::ftlabs::fisa::calc::DefaultAnalytics::getMacaulayDuration

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Implements com::ftlabs::fisa::calc::Analytics.

double com::ftlabs::fisa::calc::DefaultAnalytics::getModifiedDuration

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Implements com::ftlabs::fisa::calc::Analytics.

double com::ftlabs::fisa::calc::DefaultAnalytics::getConvexity

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Implements com::ftlabs::fisa::calc::Analytics.

double com::ftlabs::fisa::calc::DefaultAnalytics::getPriceValue1BP

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Implements com::ftlabs::fisa::calc::Analytics.

double com::ftlabs::fisa::calc::DefaultAnalytics::getYieldValue1_32

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Implements com::ftlabs::fisa::calc::Analytics.

double com::ftlabs::fisa::calc::DefaultAnalytics::getEstimatedMacaulayDuration

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Implements com::ftlabs::fisa::calc::Analytics.

double com::ftlabs::fisa::calc::DefaultAnalytics::getEstimatedModifiedDuration

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Implements com::ftlabs::fisa::calc::Analytics.

double com::ftlabs::fisa::calc::DefaultAnalytics::getEstimatedConvexity

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Implements com::ftlabs::fisa::calc::Analytics.

double com::ftlabs::fisa::calc::DefaultAnalytics::getAccruedInterest

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Implements com::ftlabs::fisa::calc::Analytics.

virtual double com::ftlabs::fisa::calc::DefaultAnalytics::getTotalInterestFlows

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Get the total interest flows.

Returns:

the total interest flows.

Implements com::ftlabs::fisa::calc::Analytics.

virtual double com::ftlabs::fisa::calc::DefaultAnalytics::getInterestOnInterest

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Get interest on interest using an assumed reinvestment yield that is equal to yield.

Returns:

interest on interest

Implements com::ftlabs::fisa::calc::Analytics.

virtual double com::ftlabs::fisa::calc::DefaultAnalytics::getInterestOnInterest

(

double

reinvestmentYield

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [virtual]

Get interest on interest.

Parameters:

reinvestmentYield

Returns:

interest on interest

Implements com::ftlabs::fisa::calc::Analytics.

double com::ftlabs::fisa::calc::DefaultAnalytics::getPeriodicYield

(

void

)

throw ( com::ftlabs::fisa::calc::CalculationException ) [private]

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Member Data Documentation

const Calculator* com::ftlabs::fisa::calc::DefaultAnalytics::calculator [private]

double com::ftlabs::fisa::calc::DefaultAnalytics::price [private]

double com::ftlabs::fisa::calc::DefaultAnalytics::yield [private]

double com::ftlabs::fisa::calc::DefaultAnalytics::priceValue1bp [private]

double com::ftlabs::fisa::calc::DefaultAnalytics::macaulayDuration [private]

double com::ftlabs::fisa::calc::DefaultAnalytics::convexity [private]

double com::ftlabs::fisa::calc::DefaultAnalytics::periodicYield [private]

double com::ftlabs::fisa::calc::DefaultAnalytics::totalInterestFlows [private]

double com::ftlabs::fisa::calc::DefaultAnalytics::intOnInt [private]

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The documentation for this class was generated from the following file:

• C:/Development/FTL/c++/FISA/FISA/DefaultAnalytics.h

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