Exemple #1
0
        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));
        }
Exemple #2
0
        public double GetCoupdays(System.DateTime settlement, System.DateTime maturity, int frequency, DayCountBasis basis)
        {
            var func = new CoupdaysImpl(FinancialDayFactory.Create(settlement, basis), FinancialDayFactory.Create(maturity, basis), frequency, basis);

            return(func.GetCoupdays().Result);
        }