Calculator Interface

This interface provides calculation methods that are tuned specifically for the implemented security and for a particular settlement to Redemption period.

Definition

Namespace: com.ftlabs.fisa.calc
Assembly: FISA.NET (in FISA.NET.dll) Version: 1.16.0.13 (1.16.0.13)
C#
public interface Calculator : YieldConvergable, 
	CashFlowSchedule
Implements
CashFlowSchedule, YieldConvergable

Methods

calculateAccruedIncome Calculates the accrued interest income to Redemption.
calculateAccruedIncome(FISADate) Calculates the accrued interest income to the supplied salesDate.
calculateAccruedInterest Calculate the accrued interest to the settlement date.
calculateConvexityCalculate the actual convexity.
calculateCurrentYieldCalculate current yield for the given price.
calculateEstimatedConvexity Calculate an estimated convexity.
calculateEstimatedMacaulayDuration Calculate an estimated Macaulay duration.
calculateEstimatedModifiedDuration(Double, Double) Calculate the estimated modified duration.
calculateEstimatedModifiedDuration(Double, Double, Double) Calculate an estimated modified duration.
calculateInterestOnInterest Calculate the interest earned on reinvested interest cashflows using the provided reinvestmentYield.
calculateMacaulayDuration Calculate the actual Macaulay duration.
calculateModifiedDuration(Double) Calculate the actual modified duration. If Macaulay Duration has already been or will be calculated, then it is more efficient to use the overloaded calculateModifiedDuration method that accepts the Macaulay Duration.
calculateModifiedDuration(Double, Double) Calculate the actual modified duration using an already calculated Macaulay Duration.
calculatePeriodicYield Calculate a periodic discounted cash flow yield for use with convexity/duration methods.
calculatePriceCalculate price for the given yield.
calculatePriceValue1BP Calculate the average price value obtained by varying the yield up and down one basis point.
calculateTotalInterestFlows A convenience method to total all interest cashflows between the settlement to redemption period.
calculateTrueYield Calculate a True Yield, using adjusting cashflows that fall on business days.
calculateYieldCalculate yield for the given price.
calculateYieldValue1_32 Calculate the average yield value obtained by varying the price up and down 1/32.
getCashFlowCount Get the number of cashflows within the bounding settlement to Redemption period.
getCashFlowDate(Int32) Get a cash flow date for a particular cashflow, as specified by the provided cashFlowIndex.
getCashFlowDate(Int32, FISADate) Set the provided FISADate to the cash flow date of a particular cashflow, as specified by the provided cashFlowIndex.
getDaysAccrued Get the number of days accrued since the interest acccrual date to the settlement date.
getInterest Get the interest to be paid for a particular cashflow, as specified by cashFlowIndex.
getInterestAccrualDate Get the date on which interest begins to accrue for this settlement to redemption period.
getPeriodicTimeToFlow 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.
getPrincipal Get the principal to be paid for a particular cashflow, as specified by cashFlowIndex.
getRedemption Get the Redemption to which this Calculator is bound.
getSettlementDate Get the settlement date to which this Calculator is bound.
getTimeToFlow Get the time to flow for a particular cashflow, as specified by cashFlowIndex.
getTotalCashFlow Get the principal and interest to be paid for a particular cashflow, as specified by cashFlowIndex.

See Also