com.ftlabs.fisa.calc
Class SteppedCouponCompoundingCalculator

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

All Implemented Interfaces:

Calculator, YieldConvergable, java.io.Serializable

Direct Known Subclasses:

MSRBSteppedCouponCalculator

public class SteppedCouponCompoundingCalculator
extends SteppedCouponCalculator

See Also:

Serialized Form

Field Summary

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

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

Method Summary

double	calculateAccruedInterest() Calculate the accrued interest to the settlement date.
double	calculateEstimatedConvexity(double pv1b, double price, double yield) Calculate the estimated convexity.
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	getInterest(int cashFlowIndex) Get the interest to be paid for a particular cashflow, as specified by cashFlowIndex.
static void	main(java.lang.String[] args)
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.SteppedCouponCalculator

calculate, calculateCurrentYield, calculatePeriodicYield, calculateYield, getCashFlowCount

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

Constructor Detail

SteppedCouponCompoundingCalculator

protected SteppedCouponCompoundingCalculator()

SteppedCouponCompoundingCalculator

public SteppedCouponCompoundingCalculator(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

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

Overrides:

setValues in class SteppedCouponCalculator

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

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.

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

main

public static void main(java.lang.String[] args)