com.ftlabs.fisa.calc
Class SteppedCouponCalculator

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

All Implemented Interfaces:

Calculator, YieldConvergable, java.io.Serializable

Direct Known Subclasses:

CDSteppedCouponCalculator, SteppedCouponCompoundingCalculator

public abstract class SteppedCouponCalculator
extends MultiplePeriodCalculator

See Also:

Serialized Form

Field Summary

protected double[]	interestRates
protected double	interestTaxRate
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	SteppedCouponCalculator()
protected	SteppedCouponCalculator(FISADate settlementDate, Redemption redemption, double parValue, InterestRateSchedule interestRateSchedule, DayCountBasis dayCountBasis, int interestFrequency, boolean eomAdjust, FISADate datedDate, FISADate firstInterestDate)

Method Summary

Analytics	calculate(AnalyticValueType givenType, double givenValue) Calculate an Analytics object using the provided AnalyticValueType and value.
double	calculateCurrentYield(double price) Calculate current yield for the given price.
double	calculatePeriodicYield(double price) Calculate a periodic discounted cash flow yield for use with convexity/duration methods.
double	calculateYield(double price) Calculate yield for the given price.
int	getCashFlowCount() Get the number of cashflows within the supported settlement to Redemption period.
protected void	setValues(FISADate settlementDate, Redemption redemption, double parValue, InterestRateSchedule interestRateSchedule, DayCountBasis dayCountBasis, int interestFrequency, boolean eomAdjust, FISADate datedDate, FISADate firstInterestDate)

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

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

calculateAccruedInterest, calculateEstimatedConvexity, calculatePrice, calculatePriceValue1BP, getInterest

Field Detail

interestRates

protected double[] interestRates

interestTaxRate

protected double interestTaxRate

taxAdjustedRedemptionValue

protected double taxAdjustedRedemptionValue

Constructor Detail

SteppedCouponCalculator

protected SteppedCouponCalculator()

SteppedCouponCalculator

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

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.

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

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