com.syndloanhub.loansum.product.facility

Interface Accrual

All Superinterfaces:

Proratable<ProratedAccrual>

All Known Implementing Classes:

FixedRateAccrual, FloatingRateAccrual

public interface Accrual
extends Proratable<ProratedAccrual>

Interface that all accrual (fixed and floating) classes implement to support pricing.

Method Summary

Modifier and Type	Method and Description
com.opengamma.strata.basics.currency.CurrencyAmount	getAccrualAmount()
double	getAllInRate()
com.opengamma.strata.basics.date.DayCount	getDayCount()
java.time.LocalDate	getEndDate()
Optional<java.time.LocalDate>	getPaymentDate()
com.opengamma.strata.basics.schedule.Frequency	getPaymentFrequency()
com.opengamma.strata.basics.currency.CurrencyAmount	getPaymentProjection()
com.opengamma.strata.basics.currency.CurrencyAmount	getPikProjection()
double	getPikSpread()
java.time.LocalDate	getStartDate()
Accrual	rebuild(java.time.LocalDate startDate, java.time.LocalDate endDate, com.opengamma.strata.basics.currency.CurrencyAmount accrualAmount, java.time.LocalDate paymentDate) The rebuild function is used to construct sub-accruals across a complex contract with inter-contract repayments.
com.opengamma.strata.collect.tuple.Pair<Accrual,Accrual>	split() Split cash and PIK since ultimate sub-accruals may have different periods since PIK capitalizations always occur on a full-period basis "travel for free".

Methods inherited from interface com.syndloanhub.loansum.product.facility.Proratable

prorate

Method Detail

getStartDate

java.time.LocalDate getStartDate()

Returns:

accrual period start date

getEndDate

java.time.LocalDate getEndDate()

Returns:

accrual period end date which may or may not coincide with payment date

getPaymentDate

Optional<java.time.LocalDate> getPaymentDate()

Returns:

optional payment date, for implementing interest-on-paydown sub-accrual exception

getAllInRate

double getAllInRate()

Returns:

total annual cash interest rate, this DOES NOT include the PIK spread

getPikSpread

double getPikSpread()

Returns:

total annual pay-in-kind interest rate

getAccrualAmount

com.opengamma.strata.basics.currency.CurrencyAmount getAccrualAmount()

Returns:

accrual amount in specified currency

getDayCount

com.opengamma.strata.basics.date.DayCount getDayCount()

Returns:

day count basis to be used for calculations

getPaymentFrequency

com.opengamma.strata.basics.schedule.Frequency getPaymentFrequency()

Returns:

accrual payment frequency

getPaymentProjection

com.opengamma.strata.basics.currency.CurrencyAmount getPaymentProjection()

Returns:

calculated projected cash payment amount

getPikProjection

com.opengamma.strata.basics.currency.CurrencyAmount getPikProjection()

Returns:

calculated projected PIK capitalization amount

split

com.opengamma.strata.collect.tuple.Pair<Accrual,Accrual> split()

Split cash and PIK since ultimate sub-accruals may have different periods since PIK capitalizations always occur on a full-period basis "travel for free".

Returns:

pair of accruals: cash first, PIK second

rebuild

Accrual rebuild(java.time.LocalDate startDate,
                java.time.LocalDate endDate,
                com.opengamma.strata.basics.currency.CurrencyAmount accrualAmount,
                java.time.LocalDate paymentDate)

The rebuild function is used to construct sub-accruals across a complex contract with inter-contract repayments. For example, we have a 10MM contract with a 1MM repayment mid-way through the contract, then the contract accrual is split into a 10MM accrual up to the repayment and a 9MM accrual from the repayment until the end of the contract.

Parameters:

startDate - revised start date

endDate - revised end date

accrualAmount - revised accrual amount

paymentDate - revised payment date, may be null

Returns:

accrual with revised period and amount