public void TestISMADirtyPrice1_1()
{
double accrualYearFraction = 297.0 / 365.0;
int finalAccrualYearFraction = 0;
int i = 8;
double nextCoupon = 7.0;
double next2Coupon = 7.0;
double annualCoupon = 7.0;
double finalCoupon = 0.0;
int numberOfCouponPeriodsInAYear = 1;
double ytm = .06;
double discountFactorForOnePeriod = 1 / (1 + ytm / numberOfCouponPeriodsInAYear);
var result = BondAnalytics.ISMADirtyPrice(accrualYearFraction,
finalAccrualYearFraction,
i,
nextCoupon,
next2Coupon,
annualCoupon, finalCoupon, numberOfCouponPeriodsInAYear, discountFactorForOnePeriod, ytm);
Debug.WriteLine(String.Format("dirty price : {0}", result));
}
/// <summary>
/// Calculates the ISMA dirty bond price.
/// </summary>
/// <param name="accrualYearFraction">The first accrual coupon year fraction.</param>
/// <param name="finalAccrualYearFraction">The final coupon year fraction. If regular this is zero.</param>
/// <param name="numberOfFullCoupons">The number of full coupon periods remaining until redemption.
/// The number of remaining coupon periods is therefore n+1;</param>
/// <param name="nextCoupon">The next coupon payment. This may be partial or zero if the bond is trading ex div.</param>
/// <param name="next2Coupon">The next 2 coupon.</param>
/// <param name="annualCoupon">The annual coupon payment for 100 unit of face value.</param>
/// <param name="finalCoupon">The final coupon with an odd final period. This is zero for all other bonds.</param>
/// <param name="couponsPerYear">The number of coupon periods in a year.</param>
/// <param name="periodDiscountFactor">The discount factor for one period, v = 1/(1+y/h)</param>
/// <param name="annualYield">The required annual nominal redemption yield expressed as a decimal.</param>
/// <returns>Te dirty price according to ISMA convention.</returns>
public double ISMADirtyPrice(double accrualYearFraction, double finalAccrualYearFraction, int numberOfFullCoupons,
double nextCoupon, double next2Coupon, double annualCoupon, double finalCoupon, int couponsPerYear,
double periodDiscountFactor, double annualYield)
{
return(BondAnalytics.ISMADirtyPrice(accrualYearFraction, finalAccrualYearFraction, numberOfFullCoupons,
nextCoupon, next2Coupon, annualCoupon, finalCoupon, couponsPerYear, periodDiscountFactor, annualYield));
}
public void TestISMADirtyPrice0()
{
//var ytm = BondAnalytics.CalculateBondYTM(DateTime.Parse("15/05/13"), DateTime.Parse("15/11/08"),
//.065, 2, 100, 113.27); 3.75-TYM
//sorry should be around 3.7%
DateTime matDate = DateTime.Parse("15/05/13");
DateTime lastCouponDate = DateTime.Parse("15/11/08");
var couponRate = .065;
double accrualYearFraction = (DateTime.Today - lastCouponDate).TotalDays / 365;
//int finalAccrualYearFraction = 0;
double finalAccrualYearFraction = 0.5 - accrualYearFraction;
int numberOfCouponPeriodsInAYear = 2;
//int i = (int)((matDate - lastCouponDate).TotalDays / 365) * numberOfCouponPeriodsInAYear;
int i = 8;
double nextCoupon = couponRate * 100 / numberOfCouponPeriodsInAYear;
//double nextCoupon = 0;
double next2Coupon = couponRate * 100 / numberOfCouponPeriodsInAYear;
//double annualCoupon = couponRate * 100 / numberOfCouponPeriodsInAYear;
double annualCoupon = couponRate * 100;
//double finalCoupon = 0.0;
double finalCoupon = couponRate * 100 * finalAccrualYearFraction;
//double ytm = .037;
double ytm = .037;
double discountFactorForOnePeriod = 1 / (1 + ytm / numberOfCouponPeriodsInAYear);
var result = BondAnalytics.ISMADirtyPrice(accrualYearFraction,
finalAccrualYearFraction,
i,
nextCoupon,
next2Coupon,
annualCoupon, finalCoupon, numberOfCouponPeriodsInAYear, discountFactorForOnePeriod, ytm);
Debug.WriteLine(String.Format("dirty price : {0}", result));
}
public void TestISMADirtyPrice3()
{
var result = BondAnalytics.ISMADirtyPrice(2.0 / 365.0, 0, 8, 7.0, 7.0, 7.0, 0.0, 1, 1 / (1.07), .07);
Debug.WriteLine(String.Format("dirty price : {0}", result));
}
public void TestISMADirtyPrice2()//On coupon date, but ex div.
{
var result = BondAnalytics.ISMADirtyPrice(0.0, 0, 8, 0.0, 7.0, 7.0, 0.0, 1, 1 / (1.07), .07);
Debug.WriteLine(String.Format("dirty price : {0}", result));
}
public void TestISMADirtyPrice1()
{
var result = BondAnalytics.ISMADirtyPrice(297.0 / 365.0, 0, 8, 7.0, 7.0, 7.0, 0.0, 1, .9434, .06);
Debug.WriteLine(String.Format("dirty price : {0}", result));
}
