com.ftlabs.fisa.calc
Class MultipleCashFlowCalculator

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

All Implemented Interfaces:

Calculator, YieldConvergable, java.io.Serializable

Direct Known Subclasses:

MultiplePeriodCalculator

public abstract class MultipleCashFlowCalculator
extends AbstractCalculator

See Also:

Serialized Form

Field Summary

protected boolean	eomAdjust
protected int	interestFrequency
protected FISADate	nextCouponDate
protected double	parValue
protected Redemption	redemption
protected FISADate	settlementDate

Constructor Summary

protected	MultipleCashFlowCalculator()
protected	MultipleCashFlowCalculator(FISADate settlementDate, Redemption redemption, double parValue, int interestFrequency, boolean eomAdjust, FISADate firstInterestDate)

Method Summary

double	calculateConvexity(double periodicYield) Calculate the actual convexity.
double	calculateEstimatedMacaulayDuration(double pv1b, double price, double yield) Calculate the estimated Macaulay duration.
double	calculateEstimatedModifiedDuration(double duration, double yield) Calculate the estimated modified duration.
double	calculateEstimatedModifiedDuration(double pv1b, double price, double yield) Calculate the estimated modified duration.
double	calculateInterestOnInterest(double reinvestmentYield) Calculate the interest earned on reinvested interest cashflows using the provided reinvestmentYield.
double	calculateMacaulayDuration(double periodicYield) Calculate the actual Macaulay duration.
double	calculateModifiedDuration(double periodicYield) Calculate the actual modified duration.
double	calculateModifiedDuration(double macaulayDuration, double periodicYield) Calculate the actual modified duration using an already calculated Macaulay Duration.
double	calculateYieldValue1_32(double pv1b) Calculate the average yield value obtained by varying the price up and down 1/32.
FISADate	getCashFlowDate(int cashFlowIndex) Get a cash flow date for a particular cashflow, as specified by the provided cashFlowIndex.
void	getCashFlowDate(int cashFlowIndex, FISADate date) Set the provided FISADate to the cash flow date of a particular cashflow, as specified by the provided cashFlowIndex.
double	getPrincipal(int cashFlowIndex) Get the principal to be paid for a particular cashflow, as specified by cashFlowIndex.
Redemption	getRedemption() Get the Redemption to which this Calculator is bound.
FISADate	getSettlementDate() Get the settlement date to which this Calculator is bound.
double	getTotalCashFlow(int cashFlowIndex) Get the principal and interest to be paid for a particular cashflow, as specified by cashFlowIndex.
protected void	setValues(FISADate settlementDate, Redemption redemption, double parValue, int interestFrequency, boolean eomAdjust, FISADate firstInterestDate)

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

Methods inherited from interface com.ftlabs.fisa.calc.Calculator

calculate, calculateAccruedInterest, calculateCurrentYield, calculateEstimatedConvexity, calculatePeriodicYield, calculatePrice, calculatePriceValue1BP, calculateYield, getCashFlowCount, getInterest, getPeriodicTimeToFlow, getTimeToFlow

Field Detail

settlementDate

protected FISADate settlementDate

redemption

protected Redemption redemption

parValue

protected double parValue

interestFrequency

protected int interestFrequency

eomAdjust

protected boolean eomAdjust

nextCouponDate

protected FISADate nextCouponDate

Constructor Detail

MultipleCashFlowCalculator

protected MultipleCashFlowCalculator()

MultipleCashFlowCalculator

protected MultipleCashFlowCalculator(FISADate settlementDate,
                                     Redemption redemption,
                                     double parValue,
                                     int interestFrequency,
                                     boolean eomAdjust,
                                     FISADate firstInterestDate)

Method Detail

setValues

protected void setValues(FISADate settlementDate,
                         Redemption redemption,
                         double parValue,
                         int interestFrequency,
                         boolean eomAdjust,
                         FISADate firstInterestDate)

getSettlementDate

public FISADate getSettlementDate()

Description copied from interface: Calculator

Get the settlement date to which this Calculator is bound.

Returns:

Settlement date.

getRedemption

public Redemption getRedemption()

Description copied from interface: Calculator

Get the Redemption to which this Calculator is bound.

Returns:

Redemption.

getPrincipal

public double getPrincipal(int cashFlowIndex)

Description copied from interface: Calculator

Get the principal 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 to be paid for the specified cashflow.

getTotalCashFlow

public double getTotalCashFlow(int cashFlowIndex)

Description copied from interface: Calculator

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.

getCashFlowDate

public FISADate getCashFlowDate(int cashFlowIndex)

Description copied from interface: Calculator

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.

getCashFlowDate

public void getCashFlowDate(int cashFlowIndex,
                            FISADate date)

Description copied from interface: Calculator

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 FISADate to be set to the specified cash flow date.

calculateMacaulayDuration

public double calculateMacaulayDuration(double periodicYield)
                                 throws CalculationException

Description copied from interface: Calculator

Calculate the actual Macaulay duration.

Parameters:

periodicYield - The periodicYield as returned from the calculatePeriodicYield method.

Returns:

Macaulay duration.

Throws:

CalculationException

calculateModifiedDuration

public double calculateModifiedDuration(double periodicYield)
                                 throws CalculationException

Description copied from interface: Calculator

Calculate the actual modified duration. If Macaulay Duration has already been 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:

modified duration.

Throws:

CalculationException

calculateModifiedDuration

public double calculateModifiedDuration(double macaulayDuration,
                                        double periodicYield)
                                 throws CalculationException

Description copied from interface: Calculator

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:

modified duration.

Throws:

CalculationException

calculateConvexity

public double calculateConvexity(double periodicYield)
                          throws CalculationException

Description copied from interface: Calculator

Calculate the actual convexity.

Parameters:

periodicYield - The periodicYield as returned from the calculatePeriodicYield method.

Returns:

convexity.

Throws:

CalculationException

calculateYieldValue1_32

public double calculateYieldValue1_32(double pv1b)
                               throws CalculationException

Description copied from interface: Calculator

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

Parameters:

pv1b - The average price value obtained by varying the yield up and down one basis point, as returned by the calculatePriceValue1BP method.

Returns:

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

Throws:

CalculationException

calculateEstimatedMacaulayDuration

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

Description copied from interface: Calculator

Calculate the estimated Macaulay duration.

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 Macaulay duration.

Throws:

CalculationException

calculateEstimatedModifiedDuration

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

Description copied from interface: Calculator

Calculate the estimated modified duration.

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 modified duration.

Throws:

CalculationException

calculateEstimatedModifiedDuration

public double calculateEstimatedModifiedDuration(double duration,
                                                 double yield)
                                          throws CalculationException

Description copied from interface: Calculator

Calculate the estimated modified duration.

Parameters:

duration - the estimated Macaulay Duration.

yield - the yield.

Returns:

estimated modified duration.

Throws:

CalculationException

calculateInterestOnInterest

public double calculateInterestOnInterest(double reinvestmentYield)
                                   throws CalculationException

Description copied from interface: Calculator

Calculate the interest earned on reinvested interest cashflows using the provided reinvestmentYield.

Parameters:

reinvestmentYield - The assumed yield of the reinvested interest cashflows.

Returns:

The interest earned on reinvested interest cashflows.

Throws:

CalculationException