#include <MultipleCashFlowCalculator.h>
Inheritance diagram for com::ftlabs::fisa::calc::MultipleCashFlowCalculator:
Public Member Functions | |
| virtual | ~MultipleCashFlowCalculator (void) |
| double | calculateMacaulayDuration (double periodicYield) const throw ( CalculationException ) |
| Calculate the actual Macaulay duration. | |
| double | calculateModifiedDuration (double periodicYield) const 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. | |
| double | calculateModifiedDuration (double macaulayDuration, double periodicYield) const throw ( CalculationException ) |
| Calculate the actual modified duration using an already calculated Macaulay Duration. | |
| double | calculateConvexity (double periodicYield) const throw ( CalculationException ) |
| Calculate the actual convexity. | |
| virtual double | calculateTrueYield (double price) const throw ( CalculationException ) |
| Calculate a True Yield, using adjusting cashflows that fall on business days. | |
| virtual double | calculateAccruedIncome (void) const throw ( CalculationException ) |
| Calculates the accrued interest income to Redemption. | |
Protected Member Functions | |
| MultipleCashFlowCalculator (void) | |
| MultipleCashFlowCalculator (int interestFrequency) | |
| MultipleCashFlowCalculator (const MultipleCashFlowCalculator &calculator) | |
| MultipleCashFlowCalculator & | operator= (const MultipleCashFlowCalculator &calculator) |
| void | setInterestFrequency (int interestFrequency) |
Protected Attributes | |
| int | interestFrequency |
| com::ftlabs::fisa::calc::MultipleCashFlowCalculator::MultipleCashFlowCalculator | ( | void | ) | [protected] |
| com::ftlabs::fisa::calc::MultipleCashFlowCalculator::MultipleCashFlowCalculator | ( | int | interestFrequency | ) | [protected] |
| com::ftlabs::fisa::calc::MultipleCashFlowCalculator::MultipleCashFlowCalculator | ( | const MultipleCashFlowCalculator & | calculator | ) | [protected] |
| virtual com::ftlabs::fisa::calc::MultipleCashFlowCalculator::~MultipleCashFlowCalculator | ( | void | ) | [virtual] |
| MultipleCashFlowCalculator& com::ftlabs::fisa::calc::MultipleCashFlowCalculator::operator= | ( | const MultipleCashFlowCalculator & | calculator | ) | [protected] |
| void com::ftlabs::fisa::calc::MultipleCashFlowCalculator::setInterestFrequency | ( | int | interestFrequency | ) | [protected] |
| double com::ftlabs::fisa::calc::MultipleCashFlowCalculator::calculateMacaulayDuration | ( | double | periodicYield | ) | const throw ( CalculationException ) [virtual] |
Calculate the actual Macaulay duration.
| periodicYield | The periodicYield as returned from the calculatePeriodicYield method. |
Implements com::ftlabs::fisa::calc::Calculator.
| double com::ftlabs::fisa::calc::MultipleCashFlowCalculator::calculateModifiedDuration | ( | double | periodicYield | ) | const throw ( CalculationException ) [virtual] |
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.
| periodicYield | The periodicYield as returned from the calculatePeriodicYield method. |
Implements com::ftlabs::fisa::calc::Calculator.
| double com::ftlabs::fisa::calc::MultipleCashFlowCalculator::calculateModifiedDuration | ( | double | macaulayDuration, | |
| double | periodicYield | |||
| ) | const throw ( CalculationException ) [virtual] |
Calculate the actual modified duration using an already calculated Macaulay Duration.
| macaulayDuration | The Macaulay Duration as calculated by the calculateMacaulayDuration method. | |
| periodicYield | The periodicYield as returned from the calculatePeriodicYield method. |
Implements com::ftlabs::fisa::calc::Calculator.
| double com::ftlabs::fisa::calc::MultipleCashFlowCalculator::calculateConvexity | ( | double | periodicYield | ) | const throw ( CalculationException ) [virtual] |
Calculate the actual convexity.
| periodicYield | The periodicYield as returned from the calculatePeriodicYield method. |
Implements com::ftlabs::fisa::calc::Calculator.
| virtual double com::ftlabs::fisa::calc::MultipleCashFlowCalculator::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. |
Implements com::ftlabs::fisa::calc::Calculator.
Reimplemented in com::ftlabs::fisa::calc::CDFixedInterestRateCalculator, com::ftlabs::fisa::calc::CDSteppedCouponCalculator, com::ftlabs::fisa::calc::FixedInterestRateCalculator, com::ftlabs::fisa::calc::JapaneseCalculator, and com::ftlabs::fisa::calc::SteppedCouponCompoundingCalculator.
| virtual double com::ftlabs::fisa::calc::MultipleCashFlowCalculator::calculateAccruedIncome | ( | void | ) | const throw ( CalculationException ) [virtual] |
Calculates the accrued interest income to Redemption.
Implements com::ftlabs::fisa::calc::Calculator.
1.5.2