com.ftlabs.fisa.calc
Interface Analytics

All Superinterfaces:

java.io.Serializable

All Known Implementing Classes:

DefaultAnalytics, QuoteAnalytics

public interface Analytics
extends java.io.Serializable

An interface that represents all available analytics as calculated for a particular Price/Yield.

Method Summary

double	getAccruedInterest() Get the accrued interest.
double	getAnalyticValue(AnalyticValueType type) Get an analytic value of the provided AnalyticValueType.
Calculator	getCalculator() Get the calculator that was used to create this Analytics object.
double	getConvexity() Get the convexity.
double	getEstimatedConvexity() Get the estimated convexity.
double	getEstimatedMacaulayDuration() Get the estimated Macaulay duration.
double	getEstimatedModifiedDuration() Get the estimated modified duration.
double	getInterestOnInterest() Get interest on interest using an assumed reinvestment yield that is equal to yield.
double	getInterestOnInterest(double reinvestmentYield) Get interest on interest.
double	getMacaulayDuration() Get the Macaulay duration
double	getModifiedDuration() Get the modified duration
double	getPrice() Get the price.
double	getPriceValue1BP() Get the average price value obtained by varying the yield up and down by one basis point.
Redemption	getRedemption() Get the Redemption object to which this Analytics object was calculated.
double	getTotalInterestFlows() Get the total interest flows.
double	getYield() Get the yield.
double	getYieldValue1_32() Get the average yield value obtained by varying the price up and down by 1/32.

Method Detail

getRedemption

Redemption getRedemption()

Get the Redemption object to which this Analytics object was calculated.

Returns:

the Redemption object to which this Analytics object is calculated.

getCalculator

Calculator getCalculator()

Get the calculator that was used to create this Analytics object.

Returns:

the calculator that was used to create this Analtyics object.

getPrice

double getPrice()
                throws CalculationException

Get the price.

Returns:

price.

Throws:

CalculationException

getYield

double getYield()
                throws CalculationException

Get the yield.

Returns:

yield.

Throws:

CalculationException

getAnalyticValue

double getAnalyticValue(AnalyticValueType type)
                        throws CalculationException

Get an analytic value of the provided AnalyticValueType.

Parameters:

type - the type of analytic value to get

Returns:

yield.

Throws:

CalculationException

getMacaulayDuration

double getMacaulayDuration()
                           throws CalculationException

Get the Macaulay duration

Returns:

Macaulay duration.

Throws:

CalculationException

getModifiedDuration

double getModifiedDuration()
                           throws CalculationException

Get the modified duration

Returns:

modified duration.

Throws:

CalculationException

getConvexity

double getConvexity()
                    throws CalculationException

Get the convexity.

Returns:

convexity.

Throws:

CalculationException

getPriceValue1BP

double getPriceValue1BP()
                        throws CalculationException

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

Returns:

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

Throws:

CalculationException

getYieldValue1_32

double getYieldValue1_32()
                         throws CalculationException

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

Returns:

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

Throws:

CalculationException

getEstimatedMacaulayDuration

double getEstimatedMacaulayDuration()
                                    throws CalculationException

Get the estimated Macaulay duration.

Returns:

estimated Macaulay duration.

Throws:

CalculationException

getEstimatedModifiedDuration

double getEstimatedModifiedDuration()
                                    throws CalculationException

Get the estimated modified duration.

Returns:

estimated modified duration.

Throws:

CalculationException

getEstimatedConvexity

double getEstimatedConvexity()
                             throws CalculationException

Get the estimated convexity.

Returns:

estimated convexity.

Throws:

CalculationException

getTotalInterestFlows

double getTotalInterestFlows()
                             throws CalculationException

Get the total interest flows.

Returns:

the total interest flows.

Throws:

CalculationException

getInterestOnInterest

double getInterestOnInterest()
                             throws CalculationException

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

Returns:

interest on interest

Throws:

CalculationException

getInterestOnInterest

double getInterestOnInterest(double reinvestmentYield)
                             throws CalculationException

Get interest on interest.

Parameters:

reinvestmentYield -

Returns:

interest on interest

Throws:

CalculationException

getAccruedInterest

double getAccruedInterest()
                          throws CalculationException

Get the accrued interest.

Returns:

accrued interest.

Throws:

CalculationException