com::ftlabs::fisa::calc::LastPeriodCalculator

com::ftlabs::fisa::calc::LastPeriodCalculator Class Reference

#include <LastPeriodCalculator.h>

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


Public Member Functions
const FISADate *	getInterestAccrualDate (void) const
	Get the date on which interest begins to accrue for this settlement to redemption period.
double	getPrincipal (int cashFlowIndex) const
	Get the principal to be paid for a particular cashflow, as specified by cashFlowIndex.
double	getTimeToFlow (int cashFlowIndex) const
	Get the time to flow for a particular cashflow, as specified by cashFlowIndex.
double	getPeriodicTimeToFlow (int cashFlowIndex) const
	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 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.
double	calculateYieldValue1_32 (double pv1b) const 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 throw ( CalculationException )
	Calculate an estimated Macaulay duration.
double	calculateEstimatedModifiedDuration (double pv1b, double price, double yield) const throw ( CalculationException )
	Calculate an estimated modified duration.
virtual double	calculateEstimatedModifiedDuration (double duration, double yield) const throw ( CalculationException )
	Calculate the estimated modified duration.
virtual double	calculateEstimatedConvexity (double pv1b, double price, double yield) const throw ( CalculationException )
	Calculate an estimated convexity.
double	calculateAccruedIncome (const FISADate &salesDate) const throw ( CalculationException )
	Calculates the accrued interest income to the supplied salesDate.
Protected Member Functions
	LastPeriodCalculator (void)
	LastPeriodCalculator (const LastPeriodCalculator &calculator)
	LastPeriodCalculator (const FISADate &settlementDate, const FISADate exDividendDate, const Redemption &redemption, double parValue, double interestRate, const DayCountBasis &dayCountBasis, int interestFrequency, bool eomAdjust, const HolidaySchedule holidaySchedule) throw ( CalculationException )
LastPeriodCalculator &	operator= (const LastPeriodCalculator &calculator)
virtual	~LastPeriodCalculator (void)
void	setValues (const FISADate &settlementDate, const FISADate exDividendDate, const Redemption &redemption, double parValue, double interestRate, const DayCountBasis &dayCountBasis, int interestFrequency, bool eomAdjust, const HolidaySchedule holidaySchedule) throw ( CalculationException )
Protected Attributes
double	aif
double	df
double	lcf
double	act_df
double	ty_df
const DayCountBasis *	dayCountBasis
double	interestRate
bool	eomAdjust
FISADate	interestAccrualDate

Constructor & Destructor Documentation

com::ftlabs::fisa::calc::LastPeriodCalculator::LastPeriodCalculator ( void ) [protected]

com::ftlabs::fisa::calc::LastPeriodCalculator::LastPeriodCalculator ( const LastPeriodCalculator & calculator ) [protected]

com::ftlabs::fisa::calc::LastPeriodCalculator::LastPeriodCalculator	(	const FISADate &	settlementDate,
		const FISADate *	exDividendDate,
		const Redemption &	redemption,
		double	parValue,
		double	interestRate,
		const DayCountBasis &	dayCountBasis,
		int	interestFrequency,
		bool	eomAdjust,
		const HolidaySchedule *	holidaySchedule
	)			throw ( CalculationException ) `[protected]`

virtual com::ftlabs::fisa::calc::LastPeriodCalculator::~LastPeriodCalculator ( void ) [protected, virtual]

Member Function Documentation

LastPeriodCalculator& com::ftlabs::fisa::calc::LastPeriodCalculator::operator= ( const LastPeriodCalculator & calculator ) [protected]

void com::ftlabs::fisa::calc::LastPeriodCalculator::setValues	(	const FISADate &	settlementDate,
		const FISADate *	exDividendDate,
		const Redemption &	redemption,
		double	parValue,
		double	interestRate,
		const DayCountBasis &	dayCountBasis,
		int	interestFrequency,
		bool	eomAdjust,
		const HolidaySchedule *	holidaySchedule
	)			throw ( CalculationException ) `[protected]`

Reimplemented in com::ftlabs::fisa::calc::LastPeriodCompoundInterestCalculator, and com::ftlabs::fisa::calc::LastPeriodSimpleInterestCalculator.

const FISADate* com::ftlabs::fisa::calc::LastPeriodCalculator::getInterestAccrualDate ( void ) const [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.

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

double com::ftlabs::fisa::calc::LastPeriodCalculator::getPrincipal ( int cashFlowIndex ) const [virtual]

Get the principal 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 principal to be paid for the specified cashflow.

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

double com::ftlabs::fisa::calc::LastPeriodCalculator::getTimeToFlow ( int cashFlowIndex ) const [virtual]

Get the time to flow 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 time to flow for the specified cashflow.

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

double com::ftlabs::fisa::calc::LastPeriodCalculator::getPeriodicTimeToFlow ( int cashFlowIndex ) const [virtual]

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.

Parameters:

cashFlowIndex

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

Returns:: The periodic time to flow as calculated with an actual day count method for the specified cashflow.

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

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

Reimplemented in com::ftlabs::fisa::calc::LastPeriodCompoundInterestCalculator.

double com::ftlabs::fisa::calc::LastPeriodCalculator::calculateYieldValue1_32 ( double pv1b ) const throw ( CalculationException ) [virtual]

Calculate the average yield value obtained by varying the price up and down 1/32.

Parameters:

pv1b

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

Returns:: the average yield value obtained by varying the price up and down 1/32.

Exceptions:

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

CalculationException

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

virtual double com::ftlabs::fisa::calc::LastPeriodCalculator::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

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

Reimplemented in com::ftlabs::fisa::calc::LastPeriodCompoundInterestCalculator.

double com::ftlabs::fisa::calc::LastPeriodCalculator::calculateEstimatedModifiedDuration	(	double	pv1b,
		double	price,
		double	yield
	)			const throw ( CalculationException ) `[virtual]`

Calculate an estimated modified duration.

This is usually faster than the actual modified 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 modified duration.

Exceptions:

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

CalculationException

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

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

Calculate the estimated modified duration.

Parameters:

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

Returns:: estimated modified duration.

Exceptions:

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

CalculationException

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

Reimplemented in com::ftlabs::fisa::calc::LastPeriodCompoundInterestCalculator.

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

Reimplemented in com::ftlabs::fisa::calc::LastPeriodCompoundInterestCalculator.

double com::ftlabs::fisa::calc::LastPeriodCalculator::calculateAccruedIncome ( const FISADate & salesDate ) const throw ( CalculationException ) [virtual]