com.ftlabs.fisa.calc
Class MultiplePeriodCalculator

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

All Implemented Interfaces:

Calculator, YieldConvergable, java.io.Serializable

Direct Known Subclasses:

CDFixedInterestRateCalculator, FixedInterestRateCalculator, SteppedCouponCalculator

public abstract class MultiplePeriodCalculator
extends MultipleCashFlowCalculator

See Also:

Serialized Form

Field Summary

protected double	act_df
protected double	act_ldf
protected double	aif
protected double	df
protected double	fcf
protected double	lcf
protected double	ldf

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

eomAdjust, interestFrequency, nextCouponDate, parValue, redemption, settlementDate

Constructor Summary

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

Method Summary

double	getPeriodicTimeToFlow(int cashFlowIndex) Get the periodic time to flow as calculated with an actual day count method for a particular cashflow, as specified by cashFlowIndex.
double	getTimeToFlow(int cashFlowIndex) Get the time to flow for a particular cashflow, as specified by cashFlowIndex.
protected void	setValues(FISADate settlementDate, Redemption redemption, double parValue, DayCountBasis dayCountBasis, int interestFrequency, boolean eomAdjust, FISADate datedDate, FISADate firstInterestDate)

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

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

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

Field Detail

aif

protected double aif

fcf

protected double fcf

df

protected double df

lcf

protected double lcf

ldf

protected double ldf

act_df

protected double act_df

act_ldf

protected double act_ldf

Constructor Detail

MultiplePeriodCalculator

protected MultiplePeriodCalculator()

MultiplePeriodCalculator

protected MultiplePeriodCalculator(FISADate settlementDate,
                                   Redemption redemption,
                                   double parValue,
                                   DayCountBasis dayCountBasis,
                                   int interestFrequency,
                                   boolean eomAdjust,
                                   FISADate datedDate,
                                   FISADate firstInterestDate)
                            throws CalculationException

Throws:

CalculationException

Method Detail

setValues

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

Throws:

CalculationException

getTimeToFlow

public double getTimeToFlow(int cashFlowIndex)

Description copied from interface: Calculator

Get the time to flow 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 time to flow for the specified cashflow.

getPeriodicTimeToFlow

public double getPeriodicTimeToFlow(int cashFlowIndex)

Description copied from interface: Calculator

Get the periodic time to flow as calculated with an actual day count method for a particular cashflow, as specified by cashFlowIndex. This value is generally used in actual convexity and duration methods.

Parameters:

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

Returns:

The periodic time to flow as calculated with an actual day count method for the specified cashflow.