PreferredCalculator

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com.ftlabs.fisa.calc
Class PreferredCalculator

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

All Implemented Interfaces:: Calculator, YieldConvergable, java.io.Serializable

Direct Known Subclasses:: PerpetualPreferredCalculator, PreferredFixedInterestRateCalculator

public class PreferredCalculator
extends java.lang.Object
extends java.lang.Object

An abstract calculator implementation that includes calculation methods that are specific to Preferred securities.

See Also:: Serialized Form

Constructor Summary
`protected`	`PreferredCalculator()` Creates a new PreferredCalculator.
`protected`	`PreferredCalculator(FISADate tradeDate, double parValue, double interestRate, InterestFrequency interestFrequency, DayCountBasis dayCountBasis, boolean eomAdjust, FISADate datedDate, FISADate exDividendDate)` Creates a new PreferredCalculator.

Method Summary
`Analytics`	`calculate(AnalyticValueType givenType, double givenValue)` Calculate an `Analytics` object using the provided `AnalyticValueType` and value.
`double`	`calculateAccruedDividend()` Calculates the accrued dividend.
`double`	`calculateAccruedInterest()` Always returns 0.0 for Preferred securites.
`double`	`calculateAnnualDividend()` Calculates the annual dividend.
`double`	`calculateConvexity(double periodicYield)` Calculate the actual convexity.
`double`	`calculateCurrentYield(double price)` Calculate current yield for the given price.
`double`	`calculateEstimatedConvexity(double pv1b, double price, double yield)` Calculate the estimated 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`	`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`	`calculateStripPrice(double price)` Calculates the strip price given the calculated "dirty" price.
`double`	`calculateStripYield(double price)` Calculates the strip yield given the calculated "dirty" price.
`double`	`calculateTotalInterestFlows()` A convenience method to total all interest cashflows between the settlement to redemption period.
`double`	`calculateYield(double price)` Calculate yield for the given price.
`double`	`calculateYieldValue1_32(double price)` Calculate the average yield value obtained by varying the price up and down 1/32.
`int`	`getCashFlowCount()` Get the number of cashflows within the supported settlement to `Redemption` period.
`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.
`protected Calculator`	`getDelegate()`
`double`	`getInterest(int cashFlowIndex)` Get the interest to be paid for a particular cashflow, as specified by cashFlowIndex.
`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`	`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`	`getTimeToFlow(int cashFlowIndex)` Get the time to flow for a particular cashflow, as specified by cashFlowIndex.
`double`	`getTotalCashFlow(int cashFlowIndex)` Get the principal and interest to be paid for a particular cashflow, as specified by cashFlowIndex.
`protected void`	`setDelegate(Calculator _delegate)`
`protected void`	`setValues(FISADate tradeDate, double parValue, double interestRate, InterestFrequency interestFrequency, DayCountBasis dayCountBasis, boolean eomAdjust, FISADate datedDate, FISADate exDividendDate)`

Methods inherited from class java.lang.Object
`clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait`

Constructor Detail

PreferredCalculator

protected PreferredCalculator()

Creates a new PreferredCalculator.

PreferredCalculator

protected PreferredCalculator(FISADate tradeDate,
                              double parValue,
                              double interestRate,
                              InterestFrequency interestFrequency,
                              DayCountBasis dayCountBasis,
                              boolean eomAdjust,
                              FISADate datedDate,
                              FISADate exDividendDate)
                       throws CalculationException

Creates a new PreferredCalculator.

Throws:: CalculationException

Method Detail

setValues

protected void setValues(FISADate tradeDate,
                         double parValue,
                         double interestRate,
                         InterestFrequency interestFrequency,
                         DayCountBasis dayCountBasis,
                         boolean eomAdjust,
                         FISADate datedDate,
                         FISADate exDividendDate)
                  throws CalculationException

Throws:: CalculationException

calculateAccruedDividend

public double calculateAccruedDividend()
                                throws CalculationException

Calculates the accrued dividend.

Returns:: accrued dividend
Throws:: CalculationException

calculateStripPrice

public double calculateStripPrice(double price)
                           throws CalculationException

Calculates the strip price given the calculated "dirty" price.

Parameters:: price - The calculated "dirty" price.
Returns:: strip price
Throws:: CalculationException

calculateStripYield

public double calculateStripYield(double price)
                           throws CalculationException

Calculates the strip yield given the calculated "dirty" price.

Parameters:: price - The calculated "dirty" price.
Returns:: strip yield
Throws:: CalculationException

calculateAnnualDividend

public double calculateAnnualDividend()
                               throws CalculationException

Calculates the annual dividend.

Returns:: annual dividend.
Throws:: CalculationException

calculateAccruedInterest

public double calculateAccruedInterest()

Always returns 0.0 for Preferred securites. If you need the accrued dividend please use calculateAccruedDividend.

Specified by:: calculateAccruedInterest in interface Calculator

Returns:: Always returns 0.0.

setDelegate

protected void setDelegate(Calculator _delegate)