| com.nodelab.interest | |
com.nodelab.0.10177
Instance of Type
Inheriting from Calculator
| Type data | Value |
| org.uninode.Type.displayPattern | a {att:org.uninode.Node.type} |
| org.uninode.Resource.resourceType | |
| org.uninode.Resource.label | |
| org.uninode.Resource.resourceOf | List{} |
| org.uninode.Listable.resources | Reference[org.uninode.Listable.resources] of com.nodelab.interest.CalcStripYield |
| Attribute summary | Defined in | Uninode® Id | Properties | Default | |
| Reference[org.uninode.Listable.resources] | resources | Listable | org.uninode.0.2001 | type | |
| String | toString This is the display string. | Node | org.uninode.0.102 | ||
| Type | type The type of an object determines the behaviour and attributes of the object. | Node | org.uninode.0.101 | ||
| String | uri | Node | org.uninode.0.103 | ||
| String | label | Resource | org.uninode.0.2041 | type | |
| List[Type] | resourceOf | Resource | org.uninode.0.2042 | type | |
| Signature | resourceType This defines the type of resource. It can be 'view', 'adapter' or 'action' | Resource | org.uninode.0.2043 | type | |
| Script summary |
com.nodelab.0.10382/*
BaliCalculator subclass: #BaliCalcStripYield
instanceVariableNames: 'couponTable couponList coupon editMaturity bid editBid resultBid sourceName rateChoices interest yield yieldName yieldBid settlementText settlement sumYieldPrice sumNewPrice fetchedValues breakEvenDiff breakEven fixedRow '
classVariableNames: ''
poolDictionaries: ''
category: 'Bali'!
!BaliCalcStripYield methodsFor: 'aspects'!
bid
bid isNil ifTrue: [(self source isKindOf: BaliSecBond)
ifTrue: [
bid := (self source dataEnvironment: self display envDimensions) bid asDouble asValue]
ifFalse: [bid := nil asValue]].
^bid!
breakEven
"This method was generated by UIDefiner. Any edits made here
may be lost whenever methods are automatically defined. The
initialization provided below may have been preempted by an
initialize method."
^breakEven isNil
ifTrue:
[breakEven := 0 asValue]
ifFalse:
[breakEven]!
breakEvenDiff
"This method was generated by UIDefiner. Any edits made here
may be lost whenever methods are automatically defined. The
initialization provided below may have been preempted by an
initialize method."
^breakEvenDiff isNil
ifTrue:
[breakEvenDiff := 0 asValue]
ifFalse:
[breakEvenDiff]!
coupon
coupon isNil ifTrue: [
(self source isKindOf: BaliSecInterest)
ifTrue: [coupon := (self source dataEnvironment: self display envDimensions) coupon asDouble asValue]
ifFalse: [coupon := 0 asValue]].
^coupon.!
couponList
| date aList yieldVal |
couponList isNil ifTrue: [
date := self maturity.
date isNil ifTrue: [^List new].
date type: #day.
aList := List new.
[date > (self settlementDate addYears: 1)] whileTrue: [date := date addYears: -1].
[date <= self maturity] whileTrue: [
date type: #day.
aList addLast: date.
yieldVal := nil.
self source isNil ifFalse: [
(self source isKindOf: BaliYield) ifTrue: [
yieldVal := self source
valueTime: self date
maturity: (self display dimMaturity
maturityYearsFrom: self date to: date) - self source maturityOffset]].
yieldVal isNil
ifTrue: [aList addLast: 0]
ifFalse: [aList addLast: yieldVal asDouble].
aList addLast: aList last.
aList addLast: ''.
aList addLast: ''.
aList addLast: ''.
aList addLast: ''.
aList addLast: ''.
date := date addYears: 1].
aList addLast: (date addYears: -1).
aList addLast: (aList at: aList size - 7).
aList addLast: aList last.
aList addLast: ''.
aList addLast: ''.
aList addLast: ''.
aList addLast: ''.
aList addLast: ''.
couponList := TwoDList on: aList columns: 8].
^couponList.!
couponList: aList
couponList := aList!
couponTable
^couponTable isNil
ifTrue:
[couponTable := TableInterface new selectionInTable:
(SelectionInTable with: self couponList)]
ifFalse:
[couponTable]!
couponTableSelection
^couponTableSelection isNil
ifTrue:
[couponTableSelection := SelectionInTable new
tableHolder: (ValueHolder with: (TwoDList on: List new columns: 3));
selectionIndexHolder: (ValueHolder with: 1@1)]
ifFalse:
[couponTableSelection]!
date
^self display dimHistory focus!
date: aBaliTime
self display dimHistory focus: aBaliTime.!
dateText
^self display dimHistory focusHolder!
editBid
^editBid isNil
ifTrue:
[editBid := 0 asValue]
ifFalse:
[editBid]!
editMaturity
^editMaturity isNil
ifTrue:
[editMaturity := String new asValue]
ifFalse:
[editMaturity]!
fetchedValues
fetchedValues isNil ifTrue: [fetchedValues := false].
^fetchedValues!
fetchedValues: aBoolean
fetchedValues := aBoolean!
fixedRow
"This method was generated by UIDefiner. Any edits made here
may be lost whenever methods are automatically defined. The
initialization provided below may have been preempted by an
initialize method."
^fixedRow isNil
ifTrue:
[fixedRow := false asValue]
ifFalse:
[fixedRow]!
interest
^interest!
interest: aBaliInterest
interest := aBaliInterest.
aBaliInterest isNil
ifFalse: [self sourceName value: aBaliInterest name]
ifTrue: [self sourceName value: ''].!
maturity
^self display dimMaturity focusDate!
maturity: aBaliTime
self display dimMaturity focusDate: aBaliTime.!
maturityText
^self display dimMaturity focusHolder!
modifiedTime
^self date addYears: self firstSource maturityOffset.!
resultBid
^resultBid isNil
ifTrue:
[resultBid := 0 asValue]
ifFalse:
[resultBid]!
settlement
settlement isNil ifTrue: [^settlement := 3].
^settlement!
settlement: aNumber
settlement := aNumber.
self settlementText value:
(self settlementDate printType: #day) ,
' (' , self settlement printString , ')'.
self redrawComplete.!
settlementDate
^(self date addYears: self source maturityOffset) settlement: self settlement!
settlementText
settlementText isNil ifTrue: [
settlementText := '' asValue.
self settlement: self settlement].
^settlementText!
source
^self firstSource!
sourceName
^sourceName isNil
ifTrue:
[self curves isEmpty
ifTrue: [sourceName := String new asValue]
ifFalse: [sourceName := self source printString asValue]]
ifFalse:
[sourceName]!
sumNewPrice
"This method was generated by UIDefiner. Any edits made here
may be lost whenever methods are automatically defined. The
initialization provided below may have been preempted by an
initialize method."
^sumNewPrice isNil
ifTrue:
[sumNewPrice := 0 asValue]
ifFalse:
[sumNewPrice]!
sumYieldPrice
"This method was generated by UIDefiner. Any edits made here
may be lost whenever methods are automatically defined. The
initialization provided below may have been preempted by an
initialize method."
^sumYieldPrice isNil
ifTrue:
[sumYieldPrice := 0 asValue]
ifFalse:
[sumYieldPrice]!
yield
^yield!
yield: aBaliYield
yield := aBaliYield.
aBaliYield isNil
ifFalse: [self yieldName value: aBaliYield name]
ifTrue: [self yieldName value: ''].!
yieldBid
^yieldBid isNil
ifTrue:
[yieldBid := 0 asValue]
ifFalse:
[yieldBid]!
yieldName
^yieldName isNil
ifTrue:
[yieldName := String new asValue]
ifFalse:
[yieldName]! !
!BaliCalcStripYield methodsFor: 'actions'!
calculate
| t x0 x1 x2 yieldRate newRate yieldPrice newPrice rows totalYieldPrice totalNewPrice env |
self fetchedValues ifFalse: [
(self source isKindOf: BaliSecInterest) ifTrue: [
env := self display envDimensions.
self bid value: (self source dataEnvironment: env) bid asDouble.
self coupon value: (self source dataEnvironment: env) coupon asDouble.
self display dimMaturity focusDate: (self source dataEnvironment: env) maturity].
self updateTable.
self fetchedValues: true].
rows := self couponList rowSize.
t := ((self couponList at: 1@1) subtractDate: (self date settlement: self settlement)) / 365.
t < 0 ifTrue: [^nil].
yieldRate := self couponList at: 2@1.
newRate := self couponList at: 3@1.
yieldPrice := self coupon value / (1 + (t * yieldRate / 100)).
newPrice := self coupon value / (1 + (t * newRate / 100)).
totalYieldPrice := yieldPrice asDouble.
totalNewPrice := newPrice asDouble.
interest := BaliSecBond new.
interest settlementDays: self settlement.
self couponList at: 4@1 put: yieldPrice asDouble.
self couponList at: 5@1 put: newPrice asDouble.
self couponList at: 6@1 put: (interest
deltaAt: self date
maturity: (self couponList at: 1@1)
rate: yieldRate
coupon: 0).
self couponList at: 7@1 put: (interest
durationAt: self date
maturity: (self couponList at: 1@1)
rate: yieldRate
coupon: 0).
2 to: rows - 1 do: [:r |
t := ((self couponList at: 1@r) subtractDate360: self settlementDate) / 360.
yieldRate := self couponList at: 2@r.
newRate := self couponList at: 3@r.
yieldPrice := self coupon value / (self raise: (1 + (yieldRate / 100)) to: t).
newPrice := self coupon value / (self raise: (1 + (newRate / 100)) to: t).
totalYieldPrice := totalYieldPrice + yieldPrice.
totalNewPrice := totalNewPrice + newPrice.
self couponList at: 4@r put: yieldPrice asDouble.
self couponList at: 5@r put: newPrice asDouble.
self couponList at: 6@r put: (interest
deltaAt: self date
maturity: (self couponList at: 1@r)
rate: yieldRate
coupon: 0).
self couponList at: 7@r put: (interest
durationAt: self date
maturity: (self couponList at: 1@r)
rate: yieldRate
coupon: 0).
].
"totalYieldPrice := totalYieldPrice - yieldPrice."
"totalNewPrice := totalNewPrice - newPrice."
yieldRate := self couponList at: 2@rows.
newRate := self couponList at: 3@rows.
yieldPrice := 100 / (self raise: (1 + (yieldRate / 100)) to: t).
newPrice := 100 / (self raise: (1 + (newRate / 100)) to: t).
totalYieldPrice := totalYieldPrice + yieldPrice.
totalNewPrice := totalNewPrice + newPrice.
self couponList at: 4@rows put: yieldPrice asDouble.
self couponList at: 5@rows put: newPrice asDouble.
self sumYieldPrice value: totalYieldPrice.
self sumNewPrice value: totalNewPrice.
x0 := self couponList at: 2@1.
x1 := x0 * 3/2 + 1.
x2 := self
optimize: [:rate | interest
dirtyPriceAt: self date
maturity: self maturity
rate: rate
coupon: self coupon value asDouble]
final: totalYieldPrice
lowStart: x0
highStart: x1
maxDiff: 0.00001.
x2 isNil ifTrue: [^self resultBid value: nil].
x2 > 0
ifTrue: [self yieldBid value: x2 asDouble]
ifFalse: [self yieldBid value: nil].
x0 := self couponList at: 3@1.
x1 := x0 * 3/2 + 1.
x2 := self
optimize: [:rate | interest
dirtyPriceAt: self date
maturity: self maturity
rate: rate
coupon: self coupon value asDouble]
final: totalNewPrice
lowStart: x0
highStart: x1
maxDiff: 0.00001.
self resultBid value: (x2 max: 0) asDouble.!
changeBid
| row |
row := self couponTable selectionInTable selectionIndexHolder value y.
row = 0 ifTrue: [^nil].
self couponList at: 3@row put: self editBid value.
self calculate.
row < self couponList rowSize ifTrue: [
couponTable selectionInTable selectionIndexHolder value: 1@(row + 1)].
self changeTable.!
changeBreakEven
| final |
self coupon value = 0 ifTrue: [^Dialog warn: 'You must select a coupon'].
final := BaliSecBond
dirtyPriceAtSettlement: (self date settlement: self settlement value)
maturity: self maturity
rate: self breakEven value
coupon: self coupon value.
GotheObject
optimize: [:d | self setDiff: d]
final: final
lowStart: -0.1
highStart: 0.1
maxDiff: 0.0000001
" GotheObject
optimize: [:d | self setDiff: d]
final: self breakEven value
lowStart: 90
highStart: 110
maxDiff: 0.0001"!
changeDate
self display dimHistory realtime value: false.
self date: (BaliTime fromString: self dateText value string).
self reset.!
changeFixedRow
| row |
row := self couponTable selectionInTable selectionIndexHolder value y.
row = 0 ifTrue: [^nil].
self fixedRow value
ifTrue: [self couponList at: 8@row put: 'Fixed']
ifFalse: [self couponList at: 8@row put: ''].!
changeMaturity
self maturity: (BaliTime fromString: self maturityText value).
self updateTable.
self calculate.!
changeTable
| row |
row := couponTable selectionInTable selectionIndexHolder value y.
(row < 1) ifTrue: [
self editMaturity value: ''.
self editBid value: 0.
^nil].
self editMaturity value: (self couponList at: 1@row).
self editBid value: (self couponList at: 3@row).
self fixedRow value: (self couponList at: 8@row) = 'Fixed'.!
nextSettlement
self settlement: self settlement + 1.
self updateTable.
self calculate.!
previousSettlement
(self settlement > 1) ifTrue: [
self settlement: self settlement - 1.
self updateTable.
self calculate].!
reset
self editBid value: nil.
self editMaturity value: nil.
self settlement: self settlement.
self fetchedValues: false.
super reset.!
setDiff: diff
self breakEvenDiff value: diff.
1 to: self couponList rowSize do: [:r |
(self couponList at: 8@r) = 'Fixed'
ifFalse: [self couponList at: 3@r put: (self couponList at: 2@r) + diff]].
self calculate.
^self sumNewPrice value.!
updateTable
couponList := nil.
self couponTable selectionInTable tableHolder value: self couponList.! !
"-- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- "!
BaliCalcStripYield class
instanceVariableNames: ''!
!BaliCalcStripYield class methodsFor: 'interface specs'!
windowSpec
"UIPainter new openOnClass: self andSelector: #windowSpec"
^#(#FullSpec
#window:
#(#WindowSpec
#label: 'Strip Calculator'
#min: #(#Point 263 240 )
#max: #(#Point 737 480 )
#bounds: #(#Rectangle 126 408 863 746 )
#flags: 4
#menu: #menu
#colors:
#(#LookPreferences
#setForegroundColor: #(#ColorValue #black )
#setBackgroundColor: #(#ColorValue 6143 7167 8191 )
#setSelectionForegroundColor: #(#ColorValue #black )
#setSelectionBackgroundColor: #(#ColorValue 4915 4915 4915 )
#setBorderColor: #(#ColorValue #black ) )
#isEventDriven: true )
#component:
#(#SpecCollection
#collection: #(
#(#TableViewSpec
#layout: #(#LayoutFrame 1 0 94 0 730 0 -69 1 )
#flags: 13
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue 7700 7700 7700 ) )
#model: #couponTable
#callbacksSpec:
#(#UIEventCallbackSubSpec
#valueChangeSelector: #changeTable )
#tabable: false
#selectionStyle: #row )
#(#InputFieldSpec
#layout: #(#LayoutFrame 4 0 1 0 -4 1 24 0 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue 7167 7679 8191 ) )
#model: #sourceName
#tabable: false
#alignment: #center
#isReadOnly: true )
#(#InputFieldSpec
#layout: #(#Rectangle 50 53 114 77 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue #white ) )
#model: #coupon
#callbacksSpec:
#(#UIEventCallbackSubSpec
#valueChangeSelector: #calculate )
#tabable: false
#isReadOnly: false
#type: #number )
#(#InputFieldSpec
#layout: #(#Rectangle 171 53 261 76 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue #white ) )
#model: #maturityText
#callbacksSpec:
#(#UIEventCallbackSubSpec
#valueChangeSelector: #changeMaturity )
#tabable: false
#isReadOnly: false )
#(#InputFieldSpec
#layout: #(#LayoutFrame 4 0 -25 1 69 0 -3 1 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue 7700 7700 7700 ) )
#model: #bid
#tabable: false
#isReadOnly: true
#type: #number )
#(#InputFieldSpec
#layout: #(#LayoutFrame 4 0 -67 1 79 0 -46 1 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue 7700 7700 7700 ) )
#model: #editMaturity
#tabable: false
#isReadOnly: true )
#(#InputFieldSpec
#layout: #(#LayoutFrame 169 0 -67 1 246 0 -46 1 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue #white ) )
#model: #editBid
#callbacksSpec:
#(#UIEventCallbackSubSpec
#valueChangeSelector: #changeBid )
#tabable: false
#isReadOnly: false
#type: #number )
#(#InputFieldSpec
#layout: #(#LayoutFrame 175 0 -25 1 261 0 -3 1 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue 7700 7700 7700 ) )
#model: #resultBid
#tabable: false
#isReadOnly: true
#type: #number
#formatString: '0.0000' )
#(#LabelSpec
#layout: #(#Point 115 55 )
#label: 'Maturity' )
#(#LabelSpec
#layout: #(#Point 2 55 )
#label: 'Coupon' )
#(#LabelSpec
#layout: #(#Point 2 27 )
#label: ' date' )
#(#InputFieldSpec
#layout: #(#Rectangle 34 26 114 49 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue #white ) )
#model: #dateText
#callbacksSpec:
#(#UIEventCallbackSubSpec
#valueChangeSelector: #changeDate )
#tabable: false
#isReadOnly: false )
#(#LabelSpec
#layout: #(#Point 3 78 )
#label: ' date' )
#(#LabelSpec
#layout: #(#Point 85 77 )
#label: 'Curve yield' )
#(#LabelSpec
#layout: #(#Point 173 78 )
#label: 'New yield' )
#(#LabelSpec
#layout: #(#LayoutOrigin 6 0 -45 1 )
#label: 'Quoted bid' )
#(#LabelSpec
#layout: #(#LayoutOrigin 196 0 -45 1 )
#label: 'New bid' )
#(#InputFieldSpec
#layout: #(#LayoutFrame 76 0 -25 1 165 0 -3 1 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue 7700 7700 7700 ) )
#model: #yieldBid
#tabable: false
#isReadOnly: true
#type: #number
#formatString: '0.0000' )
#(#LabelSpec
#layout: #(#LayoutOrigin 93 0 -45 1 )
#label: 'Curve bid' )
#(#InputFieldSpec
#layout: #(#Rectangle 171 26 261 49 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue 7700 7700 7700 ) )
#model: #settlementText
#tabable: false
#isReadOnly: true )
#(#LabelSpec
#layout: #(#Point 115 29 )
#label: 'Settl.' )
#(#ArbitraryComponentSpec
#layout: #(#LayoutFrame 114 0 -68 1 136 0 -45 1 )
#flags: 0
#component: #logotype )
#(#ActionButtonSpec
#layout: #(#Rectangle 146 25 169 37 )
#flags: 0
#model: #nextSettlement
#tabable: false
#label: '+'
#defaultable: true )
#(#ActionButtonSpec
#layout: #(#Rectangle 146 37 169 49 )
#flags: 0
#model: #previousSettlement
#tabable: false
#label: '-'
#defaultable: true )
#(#InputFieldSpec
#layout: #(#LayoutFrame 256 0 -67 1 344 0 -46 1 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue 7700 7700 7700 ) )
#model: #sumYieldPrice
#tabable: false
#isReadOnly: true
#type: #number )
#(#InputFieldSpec
#layout: #(#LayoutFrame 353 0 -67 1 439 0 -46 1 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue 7700 7700 7700 ) )
#model: #sumNewPrice
#tabable: false
#isReadOnly: true
#type: #number )
#(#LabelSpec
#layout: #(#Point 255 78 )
#label: 'Curve cash flow' )
#(#LabelSpec
#layout: #(#Point 353 78 )
#label: 'New cash flow' )
#(#InputFieldSpec
#layout: #(#LayoutFrame 269 0 -25 1 362 0 -3 1 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue #white ) )
#model: #breakEven
#callbacksSpec:
#(#UIEventCallbackSubSpec
#valueChangeSelector: #changeBreakEven )
#type: #number )
#(#LabelSpec
#layout: #(#LayoutOrigin 282 0 -45 1 )
#label: 'Break even' )
#(#InputFieldSpec
#layout: #(#LayoutFrame 370 0 -25 1 468 0 -3 1 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue 7700 7700 7700 ) )
#model: #breakEvenDiff
#tabable: false
#isReadOnly: true
#type: #number )
#(#LabelSpec
#layout: #(#LayoutOrigin 404 0 -45 1 )
#label: ' diff' )
#(#LabelSpec
#layout: #(#Point 470 79 )
#label: ' delta' )
#(#LabelSpec
#layout: #(#Point 541 78 )
#label: ' duration' )
#(#LabelSpec
#layout: #(#Point 630 78 )
#label: 'Fixed' )
#(#CheckBoxSpec
#layout: #(#LayoutOrigin 445 0 -65 1 )
#colors:
#(#LookPreferences
#setBackgroundColor: #(#ColorValue #white ) )
#model: #fixedRow
#callbacksSpec:
#(#UIEventCallbackSubSpec
#valueChangeSelector: #changeFixedRow )
#label: 'Fixed' ) ) ) )! !
*/ |