private double calculateYield()
{
// We create a bond cashflow from issue to maturity just
// to calculate effective rate ( the rate that discount _marketValue )
Schedule schedule = new Schedule(_issueDate, _maturityDate, new Period(_payFrequency),
_calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List <CashFlow> cashflows = new FixedRateLeg(schedule)
.withCouponRates(_couponRate, _dCounter)
.withPaymentCalendar(_calendar)
.withNotionals(_faceValue)
.withPaymentAdjustment(BusinessDayConvention.Unadjusted);
// Add single redemption for yield calculation
Redemption r = new Redemption(_faceValue, _maturityDate);
cashflows.Add(r);
// Calculate Amortizing Yield ( Effective Rate )
Date testDate = CashFlows.previousCashFlowDate(cashflows, false, _tradeDate);
return(CashFlows.yield(cashflows, _marketValue, _dCounter, Compounding.Simple, _payFrequency,
false, testDate));
}
// converts the yield volatility into a forward price volatility
private double forwardPriceVolatility()
{
Date bondMaturity = arguments_.redemptionDate;
Date exerciseDate = arguments_.callabilityDates[0];
List <CashFlow> fixedLeg = arguments_.cashflows;
// value of bond cash flows at option maturity
double fwdNpv = CashFlows.npv(fixedLeg, discountCurve_, false, exerciseDate);
DayCounter dayCounter = arguments_.paymentDayCounter;
Frequency frequency = arguments_.frequency;
// adjust if zero coupon bond (see also bond.cpp)
if (frequency == Frequency.NoFrequency || frequency == Frequency.Once)
{
frequency = Frequency.Annual;
}
double fwdYtm = CashFlows.yield(fixedLeg,
fwdNpv,
dayCounter,
Compounding.Compounded,
frequency,
false,
exerciseDate);
InterestRate fwdRate = new InterestRate(fwdYtm, dayCounter, Compounding.Compounded, frequency);
double fwdDur = CashFlows.duration(fixedLeg,
fwdRate,
Duration.Type.Modified, false,
exerciseDate);
double cashStrike = arguments_.callabilityPrices[0];
dayCounter = volatility_.link.dayCounter();
Date referenceDate = volatility_.link.referenceDate();
double exerciseTime = dayCounter.yearFraction(referenceDate,
exerciseDate);
double maturityTime = dayCounter.yearFraction(referenceDate,
bondMaturity);
double yieldVol = volatility_.link.volatility(exerciseTime,
maturityTime - exerciseTime,
cashStrike);
double fwdPriceVol = yieldVol * fwdDur * fwdYtm;
return(fwdPriceVol);
}
public static double yield(Bond bond, double cleanPrice, DayCounter dayCounter, Compounding compounding, Frequency frequency,
Date settlementDate = null, double accuracy = 1.0e-10, int maxIterations = 100, double guess = 0.05)
{
if (settlementDate == null)
{
settlementDate = bond.settlementDate();
}
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, settlementDate), () =>
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")",
QLNetExceptionEnum.NotTradableException);
double dirtyPrice = cleanPrice + bond.accruedAmount(settlementDate);
dirtyPrice /= 100.0 / bond.notional(settlementDate);
return(CashFlows.yield(bond.cashflows(), dirtyPrice,
dayCounter, compounding, frequency,
false, settlementDate, settlementDate,
accuracy, maxIterations, guess));
}
