public decimal YTM(List <PayAction> actions)
{
decimal x = 0, eps = (decimal)0.01;
FCalc fCalc = (_actions, _x) =>
{
decimal sum = 0;
foreach (PayAction i in actions)
{
sum += i.Sum / (decimal)Math.Pow(1 + (double)x,
(double)(((decimal)(i.Date - actions[0].Date).Days) / 365));
}
return(sum);
};
DerCalc derCalc = (__actions, __x) =>
{
decimal sum = 0;
foreach (PayAction i in actions)
{
sum -= (decimal)((i.Date - actions[0].Date).Days) / 365 * i.Sum / (decimal)(Math.Pow((double)(1 + x), (double)((decimal)((i.Date - actions[0].Date).Days) + 365) / 365));
}
return(sum);
};
decimal f = fCalc(actions, x);
while (Math.Abs(f) >= eps)
{
x -= f / derCalc(actions, x);
f = fCalc(actions, x);
}
return(x);
}
public decimal YTM(List <PayAction> actions)
{
decimal x = 0, eps = (decimal)0.01, a = x, b = x;
FCalc fCalc = (_actions, _x) =>
{
decimal sum = 0;
foreach (PayAction i in actions)
{
sum += i.Sum / (decimal)Math.Pow(1 + (double)x,
(double)((decimal)((i.Date - actions[0].Date).Days) / 365));
}
return(sum);
};
decimal f = fCalc(actions, x);
if (f > 0)
{
while (f > 0 && Math.Abs(f) >= eps)
{
a = b++;
x = b;
f = fCalc(actions, x);
}
}
else
{
while (f < 0 && Math.Abs(f) >= eps)
{
b = a--;
x = a;
f = fCalc(actions, x);
}
}
while (Math.Abs(f) >= eps)
{
x = (a + b) / 2;
f = fCalc(actions, x);
if (f > 0)
{
a = x;
}
else
{
b = x;
}
}
return(x);
}
