// Add fixed coupon bond to the dictionary
string ICalculator.LoadBondFixedCouponSerialLoadBondFixedCoupon(string idCode, double Today, double StartDateBond, double EndDateBond, double Coupon, string BondFixedCouponType, string FileFullPath)
{
// for details of inputs refer to comments on BondDBR,BondBTAN,BondBTP classes
// as example, I decide to use only 3 type of bond DBR,BTAN,BTP (arbitrary strings)
BaseBond bond = null;
if (BondFixedCouponType == "DBR") // BondDBR
{
bond = new BondDBR(new Date(Today), new Date(StartDateBond), new Date(EndDateBond), Coupon);
}
else if (BondFixedCouponType == "BTAN") // BondBTAN
{
bond = new BondBTAN(new Date(Today), new Date(StartDateBond), new Date(EndDateBond), Coupon);
}
else if (BondFixedCouponType == "BTP") // BondBTP
{
bond = new BondBTP(new Date(Today), new Date(StartDateBond), new Date(EndDateBond), Coupon);
}
else if (BondFixedCouponType == "BOT") // BondBOT
{
bond = new BondBOT(new Date(Today), new Date(StartDateBond), new Date(EndDateBond));
}
else
{
return("Bond not recognized"); // if not managed
}
try
{
if (BondDictionarySerial.ContainsKey(idCode) == true) // check if idCode is in dictionary
{
BondDictionarySerial[idCode] = bond; // if true, updates it
}
else
{
BondDictionarySerial.Add(idCode, bond); // if false, adds it
}
return("Loaded @ " + DateTime.Now.ToString()); // return time of last load
}
catch (Exception e)
{
return((string)e.ToString());
}
}
// will return yield on BondBTP according to given Freq, DayCount, compounding
double ICalculator.BondBTPYield(double Today, double StartDateBond, double EndDateBond, double Coupon, double CleanPrice, int Freq, string DayCount, string Compounding)
{
// Freq, DayCount, compounding refer to yield calculation
// make it volatile
if (m_xlApp != null)
{
m_xlApp.Volatile(true);
}
// initialise the bond
BondBTP b = new BondBTP(new Date(Today), new Date(StartDateBond), new Date(EndDateBond), Coupon);
// Parse enum Type
Dc dc = (Dc)Enum.Parse(typeof(Dc), DayCount);
Compounding comp = (Compounding)Enum.Parse(typeof(Compounding), Compounding);
// return the yield
return(b.Yield(CleanPrice, Freq, dc, comp));
}
// will return some descriptive data on BondBTP as example
double[,] ICalculator.BondBTPData(double Today, double StartDateBond, double EndDateBond, double Coupon, double CleanPrice)
{
// make it volatile
if (m_xlApp != null)
{
m_xlApp.Volatile(true);
}
// initialise the bond
BondBTP b = new BondBTP(new Date(Today), new Date(StartDateBond), new Date(EndDateBond), Coupon);
// will return column with 6 element
double[,] outPut = new double[6, 1];
outPut[0, 0] = b.GetSettlementDate().SerialValue; // settlement date of the bond
outPut[1, 0] = b.GetLastCouponDate().SerialValue; // last coupon date of the bond
outPut[2, 0] = b.GetNextCouponDate().SerialValue; // next coupon date of the bond
outPut[3, 0] = b.GetCurrentCoupon(); // current coupon rate
outPut[4, 0] = b.DirtyPrice(CleanPrice); // dirty price of the bond
outPut[5, 0] = b.AccruedInterest(); // accrued interest of the bond as amount
return(outPut); // here output
}
