com.ftlabs.fisa.calc
Class DefaultAnalytics

java.lang.Object
  com.ftlabs.fisa.calc.DefaultAnalytics

All Implemented Interfaces:

Analytics, java.io.Serializable

public class DefaultAnalytics
extends java.lang.Object
implements Analytics

An implementation of Analytics that attempts to balance memory and CPU usage by caching only the values with more complex formulas, and values that are needed for multiple methods.

See Also:

Serialized Form

Field Summary

protected double	intOnInt
protected double	totalInterestFlows

Constructor Summary

DefaultAnalytics(Calculator calculator, double price)

DefaultAnalytics(Calculator calculator, double price, double 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 is 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.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

totalInterestFlows

protected double totalInterestFlows

intOnInt

protected double intOnInt

Constructor Detail

DefaultAnalytics

public DefaultAnalytics(Calculator calculator,
                        double price)

DefaultAnalytics

public DefaultAnalytics(Calculator calculator,
                        double price,
                        double yield)

Method Detail

getRedemption

public Redemption getRedemption()

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

Specified by:

getRedemption in interface Analytics

Returns:

the Redemption object to which this Analytics object is calculated.

getCalculator

public Calculator getCalculator()

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

Specified by:

getCalculator in interface Analytics

Returns:

the calculator that was used to create this Analtyics object.

getPrice

public double getPrice()
                throws CalculationException

Get the price.

Specified by:

getPrice in interface Analytics

Returns:

price.

Throws:

CalculationException

getYield

public double getYield()
                throws CalculationException

Get the yield.

Specified by:

getYield in interface Analytics

Returns:

yield.

Throws:

CalculationException

getAnalyticValue

public double getAnalyticValue(AnalyticValueType type)
                        throws CalculationException

Get an analytic value of the provided AnalyticValueType.

Specified by:

getAnalyticValue in interface Analytics

Parameters:

type - the type of analytic value to get

Returns:

yield.

Throws:

CalculationException

getMacaulayDuration

public double getMacaulayDuration()
                           throws CalculationException

Get the Macaulay duration

Specified by:

getMacaulayDuration in interface Analytics

Returns:

Macaulay duration.

Throws:

CalculationException

getModifiedDuration

public double getModifiedDuration()
                           throws CalculationException

Get the modified duration

Specified by:

getModifiedDuration in interface Analytics

Returns:

modified duration.

Throws:

CalculationException

getConvexity

public double getConvexity()
                    throws CalculationException

Get the convexity.

Specified by:

getConvexity in interface Analytics

Returns:

convexity.

Throws:

CalculationException

getPriceValue1BP

public double getPriceValue1BP()
                        throws CalculationException

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

Specified by:

getPriceValue1BP in interface Analytics

Returns:

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

Throws:

CalculationException

getYieldValue1_32

public double getYieldValue1_32()
                         throws CalculationException

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

Specified by:

getYieldValue1_32 in interface Analytics

Returns:

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

Throws:

CalculationException

getEstimatedMacaulayDuration

public double getEstimatedMacaulayDuration()
                                    throws CalculationException

Get the estimated Macaulay duration.

Specified by:

getEstimatedMacaulayDuration in interface Analytics

Returns:

estimated Macaulay duration.

Throws:

CalculationException

getEstimatedModifiedDuration

public double getEstimatedModifiedDuration()
                                    throws CalculationException

Get the estimated modified duration.

Specified by:

getEstimatedModifiedDuration in interface Analytics

Returns:

estimated modified duration.

Throws:

CalculationException

getEstimatedConvexity

public double getEstimatedConvexity()
                             throws CalculationException

Get the estimated convexity.

Specified by:

getEstimatedConvexity in interface Analytics

Returns:

estimated convexity.

Throws:

CalculationException

getTotalInterestFlows

public double getTotalInterestFlows()
                             throws CalculationException

Get the total interest flows.

Specified by:

getTotalInterestFlows in interface Analytics

Returns:

the total interest flows.

Throws:

CalculationException

getInterestOnInterest

public double getInterestOnInterest()
                             throws CalculationException

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

Specified by:

getInterestOnInterest in interface Analytics

Returns:

interest on interest

Throws:

CalculationException

getInterestOnInterest

public double getInterestOnInterest(double reinvestmentYield)
                             throws CalculationException

Get interest on interest.

Specified by:

getInterestOnInterest in interface Analytics

Parameters:

reinvestmentYield -

Returns:

interest on interest

Throws:

CalculationException

getAccruedInterest

public double getAccruedInterest()
                          throws CalculationException

Get the accrued interest.

Specified by:

getAccruedInterest in interface Analytics

Returns:

accrued interest.

Throws:

CalculationException