com.ftlabs.fisa.calc.msrb
Class MSRBFixedInterestRateCalculator

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.msrb.MSRBFixedInterestRateCalculator

All Implemented Interfaces:

Calculator, YieldConvergable, java.io.Serializable

public class MSRBFixedInterestRateCalculator
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

MSRBFixedInterestRateCalculator(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.
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, calculateYield, 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

MSRBFixedInterestRateCalculator

public MSRBFixedInterestRateCalculator(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

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