com.ftlabs.fisa.calc
Class FixedInterestRateCalculator

java.lang.Object
  com.ftlabs.fisa.calc.AbstractCalculator
      com.ftlabs.fisa.calc.MultipleCashFlowCalculator
          com.ftlabs.fisa.calc.MultiplePeriodCalculator
              com.ftlabs.fisa.calc.FixedInterestRateCalculator

All Implemented Interfaces:

Calculator, YieldConvergable, java.io.Serializable

Direct Known Subclasses:

InflationIndexedMultiplePeriodCalculator, MSRBFixedInterestRateCalculator, SimpleYTRFixedInterestRateCalculator

public class FixedInterestRateCalculator
extends MultiplePeriodCalculator

See Also:

Serialized Form

Field Summary

protected int	cashFlowCount
protected double	interestRate
protected double	taxAdjustedInterestRate
protected double	taxAdjustedRedemptionValue

Fields inherited from class com.ftlabs.fisa.calc.MultiplePeriodCalculator

act_df, act_ldf, aif, df, fcf, lcf, ldf

Fields inherited from class com.ftlabs.fisa.calc.MultipleCashFlowCalculator

eomAdjust, interestFrequency, nextCouponDate, parValue, redemption, settlementDate

Constructor Summary

protected	FixedInterestRateCalculator()
	FixedInterestRateCalculator(FISADate settlementDate, Redemption redemption, double parValue, double interestRate, DayCountBasis dayCountBasis, int interestFrequency, boolean eomAdjust, FISADate datedDate, FISADate firstInterestDate)
	FixedInterestRateCalculator(FISADate settlementDate, Redemption redemption, double parValue, double interestRate, DayCountBasis dayCountBasis, int interestFrequency, boolean eomAdjust, FISADate datedDate, FISADate firstInterestDate, boolean useFullPrice)

Method Summary

Analytics	calculate(AnalyticValueType givenType, double givenValue) Calculate an Analytics object using the provided AnalyticValueType and value.
double	calculateAccruedInterest() Calculate the accrued interest to the settlement date.
double	calculateCurrentYield(double price) Calculate current yield for the given price.
double	calculateEstimatedConvexity(double pv1b, double price, double yield) Calculate the estimated convexity.
double	calculatePeriodicYield(double price) Calculate a periodic discounted cash flow yield for use with convexity/duration methods.
double	calculatePrice(double yield) Calculate price for the given yield.
double	calculatePriceValue1BP(double price, double yield) Calculate the average price value obtained by varying the yield up and down one basis point.
double	calculateYield(double price) Calculate yield for the given price.
int	getCashFlowCount() Get the number of cashflows within the supported settlement to Redemption period.
double	getInterest(int cashFlowIndex) Get the interest to be paid for a particular cashflow, as specified by cashFlowIndex.
void	setValues(FISADate settlementDate, Redemption redemption, double parValue, double interestRate, DayCountBasis dayCountBasis, int interestFrequency, boolean eomAdjust, FISADate datedDate, FISADate firstInterestDate)
void	setValues(FISADate settlementDate, Redemption redemption, double parValue, double interestRate, DayCountBasis dayCountBasis, int interestFrequency, boolean eomAdjust, FISADate datedDate, FISADate firstInterestDate, boolean useFullPrice)

Methods inherited from class com.ftlabs.fisa.calc.MultiplePeriodCalculator

getPeriodicTimeToFlow, getTimeToFlow, setValues

Methods inherited from class com.ftlabs.fisa.calc.MultipleCashFlowCalculator

calculateConvexity, calculateEstimatedMacaulayDuration, calculateEstimatedModifiedDuration, calculateEstimatedModifiedDuration, calculateInterestOnInterest, calculateMacaulayDuration, calculateModifiedDuration, calculateModifiedDuration, calculateYieldValue1_32, getCashFlowDate, getCashFlowDate, getPrincipal, getRedemption, getSettlementDate, getTotalCashFlow, setValues

Methods inherited from class com.ftlabs.fisa.calc.AbstractCalculator

calculateApproximateYield, calculateMPCIPrice, calculateSPSIPrice, calculateSPSIYield, calculateTotalInterestFlows

Methods inherited from class java.lang.Object

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

Field Detail

interestRate

protected double interestRate

cashFlowCount

protected int cashFlowCount

taxAdjustedInterestRate

protected double taxAdjustedInterestRate

taxAdjustedRedemptionValue

protected double taxAdjustedRedemptionValue

Constructor Detail

FixedInterestRateCalculator

protected FixedInterestRateCalculator()

FixedInterestRateCalculator

public FixedInterestRateCalculator(FISADate settlementDate,
                                   Redemption redemption,
                                   double parValue,
                                   double interestRate,
                                   DayCountBasis dayCountBasis,
                                   int interestFrequency,
                                   boolean eomAdjust,
                                   FISADate datedDate,
                                   FISADate firstInterestDate)
                            throws CalculationException

Throws:

CalculationException

FixedInterestRateCalculator

public FixedInterestRateCalculator(FISADate settlementDate,
                                   Redemption redemption,
                                   double parValue,
                                   double interestRate,
                                   DayCountBasis dayCountBasis,
                                   int interestFrequency,
                                   boolean eomAdjust,
                                   FISADate datedDate,
                                   FISADate firstInterestDate,
                                   boolean useFullPrice)
                            throws CalculationException

Throws:

CalculationException

Method Detail

setValues

public void setValues(FISADate settlementDate,
                      Redemption redemption,
                      double parValue,
                      double interestRate,
                      DayCountBasis dayCountBasis,
                      int interestFrequency,
                      boolean eomAdjust,
                      FISADate datedDate,
                      FISADate firstInterestDate)
               throws CalculationException

Throws:

CalculationException

setValues

public void setValues(FISADate settlementDate,
                      Redemption redemption,
                      double parValue,
                      double interestRate,
                      DayCountBasis dayCountBasis,
                      int interestFrequency,
                      boolean eomAdjust,
                      FISADate datedDate,
                      FISADate firstInterestDate,
                      boolean useFullPrice)
               throws CalculationException

Throws:

CalculationException

calculateCurrentYield

public double calculateCurrentYield(double price)
                             throws CalculationException

Description copied from interface: Calculator

Calculate current yield for the given price.

Parameters:

price - price

Returns:

current yield as calculated for the given price.

Throws:

CalculationException

calculateYield

public double calculateYield(double price)
                      throws CalculationException

Description copied from interface: Calculator

Calculate yield for the given price.

Parameters:

price - price

Returns:

yield as calculated for the given price.

Throws:

CalculationException

calculatePrice

public double calculatePrice(double yield)
                      throws CalculationException

Description copied from interface: Calculator

Calculate price for the given yield.

Parameters:

yield - yield

Returns:

price as calculated for the given yield.

Throws:

CalculationException

calculateAccruedInterest

public double calculateAccruedInterest()
                                throws CalculationException

Description copied from interface: Calculator

Calculate the accrued interest to the settlement date.

Returns:

The accrued interest to the settlement date.

Throws:

CalculationException

getCashFlowCount

public int getCashFlowCount()

Description copied from interface: Calculator

Get the number of cashflows within the supported settlement to Redemption period.

Returns:

The number of cashflows within the supported settlement to Redemption period.

getInterest

public double getInterest(int cashFlowIndex)

Description copied from interface: Calculator

Get the 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 interest to be paid for the specified cashflow.

calculatePeriodicYield

public double calculatePeriodicYield(double price)
                              throws CalculationException

Description copied from interface: Calculator

Calculate a periodic discounted cash flow yield for use with convexity/duration methods.

Parameters:

price - the price.

Returns:

Periodic discounted cash flow yield.

Throws:

CalculationException

calculatePriceValue1BP

public double calculatePriceValue1BP(double price,
                                     double yield)
                              throws CalculationException

Description copied from interface: Calculator

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.

Throws:

CalculationException

calculateEstimatedConvexity

public double calculateEstimatedConvexity(double pv1b,
                                          double price,
                                          double yield)
                                   throws CalculationException

Description copied from interface: Calculator

Calculate the estimated convexity.

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:

estimated convexity.

Throws:

CalculationException

calculate

public Analytics calculate(AnalyticValueType givenType,
                           double givenValue)
                    throws CalculationException

Description copied from interface: Calculator

Calculate an Analytics object using the provided AnalyticValueType and value.

Parameters:

givenType - The AnalyticValueType of the givenValue.

givenValue - The value to calculate the Analytics from.

Throws:

CalculationException