com.ftlabs.fisa.calc.indexed
Class InflationIndexedMultiplePeriodCalculator

java.lang.Object
  com.ftlabs.fisa.calc.AbstractCalculator
      com.ftlabs.fisa.calc.MultipleCashFlowCalculator
          com.ftlabs.fisa.calc.MultiplePeriodCalculator
              com.ftlabs.fisa.calc.FixedInterestRateCalculator
                  com.ftlabs.fisa.calc.indexed.InflationIndexedMultiplePeriodCalculator

All Implemented Interfaces:

Calculator, InflationIndexedCalculator, YieldConvergable, java.io.Serializable

public class InflationIndexedMultiplePeriodCalculator
extends FixedInterestRateCalculator
implements InflationIndexedCalculator

Treasury-Inflation Protected Securities multiple period.

See Also:

Serialized Form

Field Summary

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

cashFlowCount, interestRate, taxAdjustedInterestRate, 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

InflationIndexedMultiplePeriodCalculator(FISADate settlementDate, Redemption redemption, double parValue, double interestRate, DayCountBasis dayCountBasis, int interestFrequency, boolean eomAdjust, FISADate datedDate, FISADate firstInterestDate, CPIFactory cpiFactory)

Method Summary

double	getAdjustedAccruedInterest()
double	getAdjustedPrice(double price) Get a price adjusted by the indexRatio.
double	getIndexRatio() Get the Index Ratio for the datedDate and settlementDate to which this calculator is bound.
void	setValues(FISADate settlementDate, Redemption redemption, double parValue, double interestRate, DayCountBasis dayCountBasis, int interestFrequency, boolean eomAdjust, FISADate datedDate, FISADate firstInterestDate, CPIFactory cpiFactory)

Methods inherited from class com.ftlabs.fisa.calc.FixedInterestRateCalculator

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

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

calculate, calculateAccruedInterest, calculateConvexity, calculateCurrentYield, calculateEstimatedConvexity, calculateEstimatedMacaulayDuration, calculateEstimatedModifiedDuration, calculateEstimatedModifiedDuration, calculateInterestOnInterest, calculateMacaulayDuration, calculateModifiedDuration, calculateModifiedDuration, calculatePeriodicYield, calculatePrice, calculatePriceValue1BP, calculateTotalInterestFlows, calculateYield, calculateYieldValue1_32, getCashFlowCount, getCashFlowDate, getCashFlowDate, getInterest, getPeriodicTimeToFlow, getPrincipal, getRedemption, getSettlementDate, getTimeToFlow, getTotalCashFlow

Constructor Detail

InflationIndexedMultiplePeriodCalculator

public InflationIndexedMultiplePeriodCalculator(FISADate settlementDate,
                                                Redemption redemption,
                                                double parValue,
                                                double interestRate,
                                                DayCountBasis dayCountBasis,
                                                int interestFrequency,
                                                boolean eomAdjust,
                                                FISADate datedDate,
                                                FISADate firstInterestDate,
                                                CPIFactory cpiFactory)
                                         throws CalculationException

Throws:

CalculationException

Method Detail

setValues

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

Throws:

CalculationException

getIndexRatio

public double getIndexRatio()
                     throws CalculationException

Get the Index Ratio for the datedDate and settlementDate to which this calculator is bound.

Specified by:

getIndexRatio in interface InflationIndexedCalculator

Returns:

The Index Ratio for the datedDate and settlementDate to which this calculator is bound.

Throws:

CalculationException

getAdjustedPrice

public double getAdjustedPrice(double price)
                        throws CalculationException

Get a price adjusted by the indexRatio.

Specified by:

getAdjustedPrice in interface InflationIndexedCalculator

Parameters:

price - A price to adjust.

Returns:

A price adjusted by the indexRatio.

Throws:

CalculationException

getAdjustedAccruedInterest

public double getAdjustedAccruedInterest()
                                  throws CalculationException

Specified by:

getAdjustedAccruedInterest in interface InflationIndexedCalculator

Returns:

The accrued interest adjusted by the indexRatio.

Throws:

CalculationException