com::ftlabs::fisa::calc::JapaneseCalculator

com::ftlabs::fisa::calc::JapaneseCalculator Class Reference

This is an implemenation of Calculator for Japanese Government securities. More...

#include <JapaneseCalculator.h>

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

com::ftlabs::fisa::calc::MultiplePeriodCalculator com::ftlabs::fisa::calc::MultipleCashFlowCalculator com::ftlabs::fisa::calc::AbstractCalculator com::ftlabs::fisa::calc::Calculator com::ftlabs::fisa::calc::YieldConvergable List of all members.

Public Member Functions

 JapaneseCalculator (const com::ftlabs::fisa::FISADate &settlementDate, const Redemption &redemption, double parValue, double interestRate, const DayCountBasis &dayCountBasis, int interestFrequency, bool eomAdjust, const com::ftlabs::fisa::FISADate *datedDate, const com::ftlabs::fisa::FISADate *firstInterestDate, const HolidaySchedule *holidaySchedule) throw ( CalculationException )
 JapaneseCalculator (const JapaneseCalculator &calculator)
JapaneseCalculator & operator= (const JapaneseCalculator &calculator)
virtual ~JapaneseCalculator (void)
void setValues (const com::ftlabs::fisa::FISADate &settlementDate, const Redemption &redemption, double parValue, double interestRate, const DayCountBasis &dayCountBasis, int interestFrequency, bool eomAdjust, const com::ftlabs::fisa::FISADate *datedDate, const com::ftlabs::fisa::FISADate *firstInterestDate, const HolidaySchedule *holidaySchedule) throw ( CalculationException )
virtual double calculateYield (double price) const throw ( CalculationException )
 Calculate simple yield to redemption for the given price.
virtual double calculateCurrentYield (double price) const throw ( CalculationException )
 Calculate current yield for the given price.
virtual double calculatePrice (double yield) const throw ( CalculationException )
 Calculate price for the given simple yield to redemption.
virtual double calculateAccruedInterest () const throw ( CalculationException )
 Calculate the accrued interest to the settlement date.
virtual int getCashFlowCount () const
 Get the number of cashflows within the bounding settlement to Redemption period.
virtual double getInterest (int cashFlowIndex) const
 Get the interest to be paid for a particular cashflow, as specified by cashFlowIndex.
virtual double calculatePeriodicYield (double price) const throw ( CalculationException )
 Calculate a periodic discounted cash flow yield for use with convexity/duration methods.
virtual double calculatePriceValue1BP (double price, double yield) const throw ( CalculationException )
 Calculate the average price value obtained by varying the yield up and down one basis point.
virtual double calculateEstimatedMacaulayDuration (double pv1b, double price, double yield) const throw ( CalculationException )
 Calculate an estimated Macaulay duration.
virtual double calculateEstimatedConvexity (double pv1b, double price, double yield) const throw ( CalculationException )
 Calculate an estimated convexity.
virtual double calculateTrueYield (double price) const throw ( CalculationException )
 Calculate a True Yield, using adjusting cashflows that fall on business days.
virtual Calculator * clone (void) const

Private Attributes

double interestRate
int cashFlowCount
double ai
double firstInterest
double lastInterest
double lifeToRedemption
PeriodicYieldConvergable * periodicYieldConvergable
TrueYieldConvergable ** trueYieldConvergable
const HolidaySchedule * holidaySchedule
const DayCountBasis * dayCountBasis

Detailed Description

This is an implemenation of Calculator for Japanese Government securities.

Constructor & Destructor Documentation

com::ftlabs::fisa::calc::JapaneseCalculator::JapaneseCalculator ( const com::ftlabs::fisa::FISADate &  settlementDate,
const Redemption &  redemption,
double  parValue,
double  interestRate,
const DayCountBasis &  dayCountBasis,
int  interestFrequency,
bool  eomAdjust,
const com::ftlabs::fisa::FISADate *  datedDate,
const com::ftlabs::fisa::FISADate *  firstInterestDate,
const HolidaySchedule *  holidaySchedule 
) throw ( CalculationException )

com::ftlabs::fisa::calc::JapaneseCalculator::JapaneseCalculator ( const JapaneseCalculator &  calculator  ) 

virtual com::ftlabs::fisa::calc::JapaneseCalculator::~JapaneseCalculator ( void   )  [virtual]

Member Function Documentation

JapaneseCalculator& com::ftlabs::fisa::calc::JapaneseCalculator::operator= ( const JapaneseCalculator &  calculator  ) 

void com::ftlabs::fisa::calc::JapaneseCalculator::setValues ( const com::ftlabs::fisa::FISADate &  settlementDate,
const Redemption &  redemption,
double  parValue,
double  interestRate,
const DayCountBasis &  dayCountBasis,
int  interestFrequency,
bool  eomAdjust,
const com::ftlabs::fisa::FISADate *  datedDate,
const com::ftlabs::fisa::FISADate *  firstInterestDate,
const HolidaySchedule *  holidaySchedule 
) throw ( CalculationException )

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

Calculate simple yield to redemption for the given price.

Parameters:
price a price
Returns:
Simple yield to redemption as calculated for the given price.
Exceptions:
com::ftlabs::fisa::calc::CalculationException CalculationException

Implements com::ftlabs::fisa::calc::Calculator.

virtual double com::ftlabs::fisa::calc::JapaneseCalculator::calculateCurrentYield ( double  price  )  const throw ( CalculationException ) [virtual]

Calculate current yield for the given price.

Parameters:
price a price
Returns:
current yield as calculated for the given price.
Exceptions:
com::ftlabs::fisa::calc::CalculationException CalculationException

Implements com::ftlabs::fisa::calc::Calculator.

virtual double com::ftlabs::fisa::calc::JapaneseCalculator::calculatePrice ( double  yield  )  const throw ( CalculationException ) [virtual]

Calculate price for the given simple yield to redemption.

Parameters:
yield a yield
Returns:
price as calculated for the given yield.
Exceptions:
com::ftlabs::fisa::calc::CalculationException CalculationException

Implements com::ftlabs::fisa::calc::Calculator.

virtual double com::ftlabs::fisa::calc::JapaneseCalculator::calculateAccruedInterest (  )  const throw ( CalculationException ) [virtual]

Calculate the accrued interest to the settlement date.

Returns:
The accrued interest to the settlement date.
Exceptions:
com::ftlabs::fisa::calc::CalculationException CalculationException

Implements com::ftlabs::fisa::calc::Calculator.

virtual int com::ftlabs::fisa::calc::JapaneseCalculator::getCashFlowCount (  )  const [virtual]

Get the number of cashflows within the bounding settlement to Redemption period.

Returns:
The number of cashflows within the supported settlement to Redemption period.

Implements com::ftlabs::fisa::calc::Calculator.

virtual double com::ftlabs::fisa::calc::JapaneseCalculator::getInterest ( int  cashFlowIndex  )  const [virtual]

Get the interest to be paid for a particular cashflow, as specified by cashFlowIndex.

Parameters:
cashFlowIndex The cashflow index. cashFlowIndex is zero based and must be a number from 0 to getCashFlowCount() - 1.

Returns:
The interest to be paid for the specified cashflow.

Implements com::ftlabs::fisa::calc::Calculator.

virtual double com::ftlabs::fisa::calc::JapaneseCalculator::calculatePeriodicYield ( double  price  )  const throw ( CalculationException ) [virtual]

Calculate a periodic discounted cash flow yield for use with convexity/duration methods.

Parameters:
price the price.
Returns:
Periodic discounted cash flow yield.

Implements com::ftlabs::fisa::calc::Calculator.

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

Calculate the average price value obtained by varying the yield up and down one basis point.

Returns:
the average price value obtained by varying the yield up and down one basis point.

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

Implements com::ftlabs::fisa::calc::Calculator.

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

Calculate an estimated Macaulay duration.

This is usually faster than the actual Macaulay duration method.

Parameters:
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.

Returns:
an estimated Macaulay duration.

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

Reimplemented from com::ftlabs::fisa::calc::MultiplePeriodCalculator.

virtual double com::ftlabs::fisa::calc::JapaneseCalculator::calculateEstimatedConvexity ( double  pv1b,
double  price,
double  yield 
) const throw ( CalculationException ) [virtual]

Calculate an estimated convexity.

This is usually faster than the actual convexity method.

Parameters:
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.

Returns:
an estimated convexity.

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

Implements com::ftlabs::fisa::calc::Calculator.

virtual double com::ftlabs::fisa::calc::JapaneseCalculator::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.

Parameters:
price the clean price.
Returns:
The true yield using adjusted cashflows that fall on business days.
Exceptions:
com::ftlabs::fisa::calc::CalculationException CalculationException

Reimplemented from com::ftlabs::fisa::calc::MultipleCashFlowCalculator.

virtual Calculator* com::ftlabs::fisa::calc::JapaneseCalculator::clone ( void   )  const [virtual]

Implements com::ftlabs::fisa::calc::Calculator.

Member Data Documentation

double com::ftlabs::fisa::calc::JapaneseCalculator::interestRate [private]

int com::ftlabs::fisa::calc::JapaneseCalculator::cashFlowCount [private]

double com::ftlabs::fisa::calc::JapaneseCalculator::ai [private]

double com::ftlabs::fisa::calc::JapaneseCalculator::firstInterest [private]

double com::ftlabs::fisa::calc::JapaneseCalculator::lastInterest [private]

double com::ftlabs::fisa::calc::JapaneseCalculator::lifeToRedemption [private]

PeriodicYieldConvergable* com::ftlabs::fisa::calc::JapaneseCalculator::periodicYieldConvergable [private]

TrueYieldConvergable** com::ftlabs::fisa::calc::JapaneseCalculator::trueYieldConvergable [private]

const HolidaySchedule* com::ftlabs::fisa::calc::JapaneseCalculator::holidaySchedule [private]

const DayCountBasis* com::ftlabs::fisa::calc::JapaneseCalculator::dayCountBasis [private]

Reimplemented from com::ftlabs::fisa::calc::MultiplePeriodCalculator.

The documentation for this class was generated from the following file:
Generated on Tue Feb 5 03:50:36 2008 for FTLabs FISA (c++) by  doxygen 1.5.2