com.ftlabs.fisa.calc.jp
Class SimpleYTRFixedInterestRateCalculator

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.jp.SimpleYTRFixedInterestRateCalculator

All Implemented Interfaces:

Calculator, YieldConvergable, java.io.Serializable

public class SimpleYTRFixedInterestRateCalculator
extends FixedInterestRateCalculator

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

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

Method Summary

double	calculatePrice(double yield) Calculate price for the given yield.
double	calculateYield(double price) Calculate yield for the given price.
void	setValues(FISADate settlementDate, Redemption redemption, double parValue, double interestRate, DayCountBasis dayCountBasis, int interestFrequency, boolean eomAdjust, FISADate datedDate, FISADate firstInterestDate)

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

calculate, calculateAccruedInterest, calculateCurrentYield, calculateEstimatedConvexity, calculatePeriodicYield, calculatePriceValue1BP, getCashFlowCount, getInterest, 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

Constructor Detail

SimpleYTRFixedInterestRateCalculator

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

Overrides:

setValues in class FixedInterestRateCalculator

Throws:

CalculationException

calculateYield

public double calculateYield(double price)
                      throws CalculationException

Description copied from interface: Calculator

Calculate yield for the given price.

Specified by:

calculateYield in interface Calculator

Overrides:

calculateYield in class FixedInterestRateCalculator

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.

Specified by:

calculatePrice in interface Calculator

Specified by:

calculatePrice in interface YieldConvergable

Overrides:

calculatePrice in class FixedInterestRateCalculator

Parameters:

yield - yield

Returns:

price as calculated for the given yield.

Throws:

CalculationException