public double FullPriceFromYield(Cashflow[] cashflows,
IDayCount dayCount,
Frequency frequency,
Date startDate,
Date valueDate,
double yield,
TradingMarket tradeingMarket,
bool irregularPayment = false)
{
var remainingCfs = cashflows.Where(x => x.PaymentDate > valueDate).ToList();
if (!remainingCfs.Any())
{
return(0.0);
}
var lastCouponPeriod = cashflows.Where(x => x.PaymentDate >= valueDate).ToList().Count == 1;
if (tradeingMarket.Equals(TradingMarket.ChinaInterBank))
{
if (lastCouponPeriod)
{
dayCount = new ModifiedAfb();
}
}
//if (remainingCfs.Count == 1)
//{
// var cf = remainingCfs.Single();
// if (cf.PaymentDate <= new Term("1Y").Next(valueDate))
// {
// return cf.PaymentAmount / (1.0 + yield * dayCount.CalcDayCountFraction(valueDate, cf.PaymentDate, cf.RefStartDate, cf.RefEndDate));
// }
// else
// {
// return cf.PaymentAmount / Math.Pow(1.0 + yield, dayCount.CalcDayCountFraction(valueDate, cf.PaymentDate, cf.RefStartDate, cf.RefEndDate));
// }
//}
var npv = 0.0;
var df = 1.0;
var freq = frequency.CountPerYear();
foreach (var remainingCf in remainingCfs)
{
var dt = dayCount.CalcDayCountFraction(valueDate, remainingCf.PaymentDate, remainingCf.RefStartDate, remainingCf.RefEndDate);
if (lastCouponPeriod)
{
df *= 1.0 / (1.0 + yield * dt);
}
else
{
df *= 1.0 / Math.Pow(1 + yield / freq, freq * dt);
}
npv += remainingCf.PaymentAmount * df;
valueDate = remainingCf.PaymentDate;
}
return(npv);
}
public double YieldFromFullPrice(Cashflow[] cashflows,
IDayCount dayCount,
Frequency frequency,
Date startDate,
Date valueDate,
double fullPrice,
TradingMarket tradingMarket,
bool irregularPayment = false)
{
var remainingCfs = cashflows.Where(x => x.PaymentDate > valueDate).ToList();
if (!remainingCfs.Any())
{
return(0.0);
}
try
{
var left = -0.999999;
if (remainingCfs.Count == 1)
{
if (tradingMarket.Equals(TradingMarket.ChinaInterBank))
{
dayCount = new ModifiedAfb();
}
var timeToMaturity = dayCount.CalcDayCountFraction(valueDate, cashflows.Last().PaymentDate,
remainingCfs.First().RefStartDate, remainingCfs.First().RefEndDate);
left = -1.0 / timeToMaturity + 1e-6;
}
else
{
left = -1.0 * frequency.CountPerYear() + 1e-6;
}
var fcn = new SolveYtm(cashflows, dayCount, frequency, startDate, valueDate, fullPrice, tradingMarket, irregularPayment, this);
//adjust left to avoid NaN
var fLeft = fcn.F(left);
var delta = 0.01;
while (double.IsNaN(fLeft))
{
var temp = fcn.F(left + delta);
if (temp < 0.0)
{
break;
}
fLeft = temp;
left += delta;
}
return(BrentZero.Solve(fcn, left, 1000000, 1e-12));
}
catch (Exception ex)
{
throw new PricingBaseException("Bond yield does not converge " + ex.GetDetail());
}
}
public double GetMacDuration(Cashflow[] cashflows,
IDayCount dayCount,
Frequency frequency,
Date startDate,
Date valueDate,
double yield,
TradingMarket tradingMarket)
{
var remainingCfs = cashflows.Where(x => x.PaymentDate > valueDate).ToList();
if (!remainingCfs.Any())
{
return(0.0);
}
if (remainingCfs.Count == 1)
{
if (tradingMarket.Equals(TradingMarket.ChinaInterBank))
{
dayCount = new ModifiedAfb();
}
return(dayCount.CalcDayCountFraction(valueDate, remainingCfs[0].PaymentDate, remainingCfs.First().RefStartDate, remainingCfs.First().RefEndDate));
}
var npv = 0.0;
var timeWeightedNpv = 0.0;
var df = 1.0;
var freq = frequency.CountPerYear();
var totalT = 0.0;
foreach (var remainingCf in remainingCfs)
{
var dt = dayCount.CalcDayCountFraction(valueDate, remainingCf.PaymentDate, remainingCf.RefStartDate, remainingCf.RefEndDate);
df *= 1.0 / Math.Pow(1 + yield / freq, freq * dt);
npv += remainingCf.PaymentAmount * df;
totalT += dt;
timeWeightedNpv += remainingCf.PaymentAmount * df * totalT;
valueDate = remainingCf.PaymentDate;
}
return(timeWeightedNpv / npv);
}
public double YieldFromFullPrice(Cashflow[] cashflows,
IDayCount dayCount,
Frequency frequency,
Date startDate,
Date valueDate,
double fullPrice,
TradingMarket tradingMarket,
bool irregularPayment = false)
{
var remainingCfs = cashflows.Where(x => x.PaymentDate > valueDate).ToList();
if (!remainingCfs.Any())
{
return(0.0);
}
try
{
var left = -0.999999;
if (remainingCfs.Count == 1)
{
if (tradingMarket.Equals(TradingMarket.ChinaInterBank))
{
dayCount = new ModifiedAfb();
}
var timeToMaturity = dayCount.CalcDayCountFraction(valueDate, cashflows.Last().PaymentDate, remainingCfs.First().RefStartDate, remainingCfs.First().RefEndDate);
left = -1.0 / timeToMaturity + double.Epsilon;
}
var fcn = new SolveYtm(cashflows, dayCount, frequency, startDate, valueDate, fullPrice, tradingMarket, irregularPayment, this);
return(BrentZero.Solve(fcn, left, 1000000, 1e-12));
}
catch (Exception ex)
{
throw new PricingBaseException("Bond yield does not converge " + ex.GetDetail());
}
}
