public static void Compute(Bond bond, double constantAnnualInterestRate)
{
var par = bond.FaceValue;
var c = bond.CouponPayment;
var n = bond.TotalPaymentCounts;
var r = constantAnnualInterestRate / bond.PaymentsPerYear;
var mkt = bond.MarketPrice;
// compute fair price
var pvFaceValue = TimeValues.ComputePresentValue(par, n, r);
var pvCoupon = TimeValues.ComputePresentValueOfCashFlows(c, n, r);
bond.FairPrice = pvFaceValue + pvCoupon;
// assign fair price to market price if not exist
if (mkt == 0 || double.IsNaN(mkt))
{
bond.MarketPrice = bond.FairPrice;
}
// compute ytm
var cfs = new List <double> {
-bond.FairPrice
}; // cf0 = mktvalue or fair price at inception
for (int i = 0; i < n - 1; i++)
{
cfs.Add(c);
}
cfs.Add(c + par); // cfn = last coupon + repaid par value
bond.YieldRate = new IrrCalculator(cfs).Compute();
// compute maca/modified dura & dv01
ComputeDuration(bond, r);
}
/// <summary>
/// Compute Macauley, Modified and Dollar Durations.
/// All of them uses bond.MarketPrice.
/// For Effective Duration, please refer to
/// </summary>
/// <param name="bond"></param>
/// <param name="constantAnnualInterestRate"></param>
public static void ComputeDuration(Bond bond, double constantAnnualInterestRate)
{
var p = bond.FaceValue;
var n = bond.TotalPaymentCounts;
var c = bond.CouponPayment;
var r = constantAnnualInterestRate / bond.PaymentsPerYear;
var mkt = bond.MarketPrice;
// compute maca dura
var maca = 0.0;
for (int i = 1; i <= n; i++)
{
maca += TimeValues.ComputePresentValue(i * c, i, r);
}
maca += TimeValues.ComputePresentValue(n * p, n, r);
bond.MacauleyDuration = maca / mkt;
// compute modified dura
bond.ModifiedDuration = bond.MacauleyDuration / (1 + r);
// compute dv01
bond.DollarDuration = mkt * bond.ModifiedDuration / 10000;
}