public static FinanceCalcResult <double> GetPrice(FinancialDay settlement, FinancialDay maturity, double rate, double yield, double redemption, int frequency, DayCountBasis basis = DayCountBasis.US_30_360)
{
var coupDaysResult = new CoupdaysImpl(settlement, maturity, frequency, basis).GetCoupdays();
if (coupDaysResult.HasError)
{
return(coupDaysResult);
}
var coupdaysNcResult = new CoupdaysncImpl(settlement, maturity, frequency, basis).Coupdaysnc();
if (coupdaysNcResult.HasError)
{
return(coupdaysNcResult);
}
var coupnumResult = new CoupnumImpl(settlement, maturity, frequency, basis).GetCoupnum();
if (coupnumResult.HasError)
{
return(new FinanceCalcResult <double>(coupnumResult.ExcelErrorType));
}
var coupdaysbsResult = new CoupdaybsImpl(settlement, maturity, frequency, basis).Coupdaybs();
if (coupdaysbsResult.HasError)
{
return(new FinanceCalcResult <double>(coupdaysbsResult.ExcelErrorType));
}
var E = coupDaysResult.Result;
var DSC = coupdaysNcResult.Result;
var N = coupnumResult.Result;
var A = coupdaysbsResult.Result;
var retVal = -1d;
if (N > 1)
{
var part1 = redemption / System.Math.Pow(1d + (yield / frequency), N - 1d + (DSC / E));
var sum = 0d;
for (var k = 1; k <= N; k++)
{
sum += (100 * (rate / frequency)) / System.Math.Pow(1 + yield / frequency, k - 1 + DSC / E);
}
retVal = part1 + sum - (100 * (rate / frequency) * (A / E));
}
else
{
var DSR = E - A;
var T1 = 100 * (rate / frequency) + redemption;
var T2 = (yield / frequency) * (DSR / E) + 1;
var T3 = 100 * (rate / frequency) * (A / E);
retVal = T1 / T2 - T3;
}
return(new FinanceCalcResult <double>(retVal));
}
public double GetCoupdaybs(System.DateTime settlement, System.DateTime maturity, int frequency, DayCountBasis basis)
{
var func = new CoupdaybsImpl(FinancialDayFactory.Create(settlement, basis), FinancialDayFactory.Create(maturity, basis), frequency, basis);
return(func.Coupdaybs().Result);
}
