com.ftlabs.fisa.calc.msrb
Class MSRBSteppedCouponCalculator

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
                      com.ftlabs.fisa.calc.msrb.MSRBSteppedCouponCalculator

All Implemented Interfaces:

Calculator, YieldConvergable, java.io.Serializable

public class MSRBSteppedCouponCalculator
extends SteppedCouponCompoundingCalculator

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

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

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

calculateAccruedInterest, calculateEstimatedConvexity, calculatePriceValue1BP, getInterest, main

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

MSRBSteppedCouponCalculator

public MSRBSteppedCouponCalculator(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 SteppedCouponCompoundingCalculator

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 SteppedCouponCompoundingCalculator

Parameters:

yield - yield

Returns:

price as calculated for the given yield.

Throws:

CalculationException