com.ftlabs.fisa.calc
Class ZeroCouponCalculator

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

All Implemented Interfaces:

Calculator, YieldConvergable, java.io.Serializable

public class ZeroCouponCalculator
extends AbstractCalculator

See Also:

Serialized Form

Field Summary

protected int	interestFrequency
protected double	parValue
protected Redemption	redemption
protected FISADate	settlementDate

Constructor Summary

ZeroCouponCalculator(FISADate settlementDate, Redemption redemption, double parValue, DayCountBasis dayCountBasis, int interestFrequency, boolean eomAdjust)

Method Summary

Analytics	calculate(AnalyticValueType givenType, double givenValue) Calculate an Analytics object using the provided AnalyticValueType and value.
double	calculateAccruedInterest() Calculate the accrued interest to the settlement date.
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, given the 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	calculateYield(double price) Calculate yield for the given price.
double	calculateYieldValue1_32(double pv1b) 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.
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.
void	setValues(FISADate settlementDate, Redemption redemption, double parValue, DayCountBasis dayCountBasis, int interestFrequency, boolean eomAdjust)
protected void	setValues(FISADate settlementDate, Redemption redemption, double parValue, int interestFrequency)

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

Field Detail

settlementDate

protected FISADate settlementDate

redemption

protected Redemption redemption

parValue

protected double parValue

interestFrequency

protected int interestFrequency

Constructor Detail

ZeroCouponCalculator

public ZeroCouponCalculator(FISADate settlementDate,
                            Redemption redemption,
                            double parValue,
                            DayCountBasis dayCountBasis,
                            int interestFrequency,
                            boolean eomAdjust)
                     throws CalculationException

Throws:

CalculationException

Method Detail

setValues

public void setValues(FISADate settlementDate,
                      Redemption redemption,
                      double parValue,
                      DayCountBasis dayCountBasis,
                      int interestFrequency,
                      boolean eomAdjust)

calculateCurrentYield

public double calculateCurrentYield(double price)
                             throws CalculationException

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

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.

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.

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.

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

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

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

setValues

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

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.

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.

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.

calculatePeriodicYield

public double calculatePeriodicYield(double price)
                              throws CalculationException

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

calculateMacaulayDuration

public double calculateMacaulayDuration(double periodicYield)
                                 throws CalculationException

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

Calculate the actual modified 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

Calculate the actual modified duration, given the Macaulay Duration.

Parameters:

macaulayDuration - The macaulayDuration as returned from 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

Calculate the actual convexity.

Parameters:

periodicYield - The periodicYield as returned from the calculatePeriodicYield method.

Returns:

convexity.

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

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