public static AmortizingFixedRateBond makeAmortizingFixedBond(Date startDate,
Period bondLength,
DayCounter dCounter,
Frequency payFrequency,
double amount,
double rate,
Calendar calendar)
{
AmortizingFixedRateBond bond;
Date endDate = calendar.advance(startDate, bondLength);
Schedule schedule = new Schedule(startDate, endDate, bondLength, calendar, BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
bond = new AmortizingFixedRateBond(0, calendar, amount, startDate, bondLength, payFrequency, rate, dCounter);
return(bond);
}
public static AmortizingFixedRateBond makeAmortizingFixedBond( Date startDate,
Period bondLength,
DayCounter dCounter,
Frequency payFrequency,
double amount,
double rate,
Calendar calendar)
{
AmortizingFixedRateBond bond;
Date endDate = calendar.advance(startDate,bondLength);
Schedule schedule = new Schedule(startDate,endDate,bondLength,calendar,BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,DateGeneration.Rule.Backward,false);
bond = new AmortizingFixedRateBond(0, calendar, amount, startDate, bondLength, payFrequency, rate, dCounter);
return bond;
}
public void testAmortizingFixedRateBond()
{
// Testing amortizing fixed rate bond
/*
* Following data is generated from Excel using function pmt with Nper = 360, PV = 100.0
*/
double[] rates = { 0.0, 0.01, 0.02, 0.03, 0.04, 0.05, 0.06, 0.07, 0.08, 0.09, 0.10, 0.11, 0.12 };
double[] amounts = {0.277777778, 0.321639520, 0.369619473, 0.421604034,
0.477415295, 0.536821623, 0.599550525,
0.665302495, 0.733764574, 0.804622617,
0.877571570, 0.952323396, 1.028612597};
Frequency freq = Frequency.Monthly;
Date refDate = Date.Today;
double tolerance = 1.0e-6;
for (int i = 0; i < rates.Length; ++i)
{
AmortizingFixedRateBond myBond = new AmortizingFixedRateBond(0,
new NullCalendar(), 100.0, refDate, new Period(30, TimeUnit.Years), freq, rates[i], new ActualActual(ActualActual.Convention.ISMA));
List<CashFlow> cashflows = myBond.cashflows();
List<double> notionals = myBond.notionals();
for (int k = 0; k < cashflows.Count / 2; ++k)
{
double coupon = cashflows[2 * k].amount();
double principal = cashflows[2 * k + 1].amount();
double totalAmount = coupon + principal;
// Check the amount is same as pmt returned
double error = Math.Abs(totalAmount - amounts[i]);
if (error > tolerance)
{
Assert.Fail(" Rate: " + rates[i] +
" " + k + "th cash flow " +
" Failed!" +
" Expected Amount: " + amounts[i] +
" Calculated Amount: " + totalAmount);
}
// Check the coupon result
double expectedCoupon = notionals[k] * rates[i] / (int)freq;
error = Math.Abs(coupon - expectedCoupon);
if (error > tolerance)
{
Assert.Fail(" Rate: " + rates[i] +
" " + k + "th cash flow " +
" Failed!" +
" Expected Coupon: " + expectedCoupon +
" Calculated Coupon: " + coupon);
}
}
}
}
