com::ftlabs::fisa::calc::OneCashFlowCalculator

com::ftlabs::fisa::calc::OneCashFlowCalculator Class Reference

#include <OneCashFlowCalculator.h>

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


Public Member Functions
const FISADate &	getSettlementDate (void) const
	Get the settlement date to which this Calculator is bound.
const Redemption &	getRedemption (void) const
	Get the Redemption to which this Calculator is bound.
const FISADate *	getInterestAccrualDate (void) const
	Get the date on which interest begins to accrue for this settlement to redemption period.
int	getCashFlowCount (void) const
	Get the number of cashflows within the bounding settlement to Redemption period.
double	getTotalCashFlow (int cashFlowIndex) const
	Get the principal and interest to be paid for a particular cashflow, as specified by cashFlowIndex.
FISADate	getCashFlowDate (int cashFlowIndex) const
	Get a cash flow date for a particular cashflow, as specified by the provided cashFlowIndex.
void	getCashFlowDate (int cashFlowIndex, FISADate &date) const
	Set the provided FISADate to the cash flow date of a particular cashflow, as specified by the provided cashFlowIndex.
double	calculatePeriodicYield (double price) const throw ( CalculationException )
	Calculate a periodic discounted cash flow yield for use with convexity/duration methods.
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.
virtual double	calculateAccruedIncome (const FISADate &salesDate) const throw ( CalculationException )
	Calculates the accrued interest income to the supplied salesDate.
virtual double	calculateInterestOnInterest (double reinvestmentYield) const throw ( CalculationException )
	Calculate the interest earned on reinvested interest cashflows using the provided reinvestmentYield.
Protected Member Functions
	OneCashFlowCalculator (void)
	OneCashFlowCalculator (const FISADate &settlementDate, const Redemption &redemption, double parValue, int interestFrequency)
	OneCashFlowCalculator (const OneCashFlowCalculator &calculator)
OneCashFlowCalculator &	operator= (const OneCashFlowCalculator &calculator)
virtual	~OneCashFlowCalculator (void)
void	setValues (const FISADate &settlementDate, const Redemption &redemption, double parValue, int interestFrequency)
Protected Attributes
FISADate	settlementDate
Redemption	redemption
double	parValue
int	interestFrequency

Constructor & Destructor Documentation

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

com::ftlabs::fisa::calc::OneCashFlowCalculator::OneCashFlowCalculator	(	const FISADate &	settlementDate,
		const Redemption &	redemption,
		double	parValue,
		int	interestFrequency
	)			`[protected]`

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

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

Member Function Documentation

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

void com::ftlabs::fisa::calc::OneCashFlowCalculator::setValues	(	const FISADate &	settlementDate,
		const Redemption &	redemption,
		double	parValue,
		int	interestFrequency
	)			`[protected]`

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

Get the settlement date to which this Calculator is bound.

Returns:: Settlement date.

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

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

Get the Redemption to which this Calculator is bound.

Returns:: Redemption.

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

const FISADate* com::ftlabs::fisa::calc::OneCashFlowCalculator::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.

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

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

int com::ftlabs::fisa::calc::OneCashFlowCalculator::getCashFlowCount ( void ) 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.

double com::ftlabs::fisa::calc::OneCashFlowCalculator::getTotalCashFlow ( int cashFlowIndex ) const [virtual]

Get the principal and 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 principal + interest to be paid for the specified cashflow.

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

FISADate com::ftlabs::fisa::calc::OneCashFlowCalculator::getCashFlowDate ( int cashFlowIndex ) const [virtual]

Get a cash flow date for a particular cashflow, as specified by the provided cashFlowIndex.

Parameters:

cashFlowIndex

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

Returns:: The cash flow date for the provided cash flow index.

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

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

Set the provided FISADate to the cash flow date of a particular cashflow, as specified by the provided cashFlowIndex.

Parameters:

	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.

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

double com::ftlabs::fisa::calc::OneCashFlowCalculator::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.

double com::ftlabs::fisa::calc::OneCashFlowCalculator::calculateMacaulayDuration ( double periodicYield ) const throw ( CalculationException ) [virtual]

Calculate the actual Macaulay duration.

Parameters:

periodicYield

The periodicYield as returned from the calculatePeriodicYield method.

Returns:: the Macaulay duration.

Exceptions:

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

CalculationException

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

double com::ftlabs::fisa::calc::OneCashFlowCalculator::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.

Parameters:

periodicYield

The periodicYield as returned from the calculatePeriodicYield method.

Returns:: the modified duration.

Exceptions:

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

CalculationException

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

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

Calculate the actual modified duration using an already calculated Macaulay Duration.

Parameters:

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

Returns:: the modified duration.

Exceptions:

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

CalculationException

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

double com::ftlabs::fisa::calc::OneCashFlowCalculator::calculateConvexity ( double periodicYield ) const throw ( CalculationException ) [virtual]

Calculate the actual convexity.

Parameters:

periodicYield

The periodicYield as returned from the calculatePeriodicYield method.

Returns:: the convexity.

Exceptions:

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

CalculationException

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

virtual double com::ftlabs::fisa::calc::OneCashFlowCalculator::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

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

Reimplemented in com::ftlabs::fisa::calc::CDLastPeriodCalculator, com::ftlabs::fisa::calc::DiscountCalculator, com::ftlabs::fisa::calc::InterestAtMaturityCalculator, com::ftlabs::fisa::calc::LastPeriodCompoundInterestCalculator, com::ftlabs::fisa::calc::LastPeriodSimpleInterestCalculator, and com::ftlabs::fisa::calc::ZeroCouponCalculator.

virtual double com::ftlabs::fisa::calc::OneCashFlowCalculator::calculateAccruedIncome ( void ) const throw ( CalculationException ) [virtual]

Calculates the accrued interest income to Redemption.

Returns:: The accrued interest income to redemption.

Exceptions:

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

CalculationException

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

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

Calculates the accrued interest income to the supplied salesDate.

Parameters:

salesDate

The projected or actual sales date.

Returns:: The accrued interest income to the supplied salesDate.

Exceptions:

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

CalculationException

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

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

virtual double com::ftlabs::fisa::calc::OneCashFlowCalculator::calculateInterestOnInterest ( double reinvestmentYield ) const throw ( CalculationException ) [virtual]