public static string[,] BesaJseBondResults(
[ExcelArgument(Description = "The underlying bond.")]
BesaJseBond besaJseBond,
[ExcelArgument(Description = "The settlement date of the bond.")]
Date settleDate,
[ExcelArgument(Description = "The yield to maturity of the bond.")]
double ytm)
{
var results = besaJseBond.GetSpotMeasures(settleDate, ytm);
string[,] measures = { { "roundedAip", results.GetScalar(BesaJseBondEx.Keys.RoundedAip).ToString() }, { "unroundedAip", results.GetScalar(BesaJseBondEx.Keys.UnroundedAip).ToString() },
{ "roundedClean", results.GetScalar(BesaJseBondEx.Keys.RoundedClean).ToString() }, { "unroundedClean", results.GetScalar(BesaJseBondEx.Keys.UnroundedClean).ToString() },
{ "unroundedAccrued", results.GetScalar(BesaJseBondEx.Keys.UnroundedAccrued).ToString() } };
return(measures);
}
public void TestAllInPrice()
{
var settleDate = new Date(2006, 6, 8);
var maturityDate = new Date(2026, 12, 21);
var notional = 1000000.0;
var annualCouponRate = 0.105;
var couponMonth1 = 6;
var couponDay1 = 21;
var couponMonth2 = 12;
var couponDay2 = 21;
var booksCloseDateDays = 10;
var zaCalendar = new Calendar("Test");
var bondR186 = new BesaJseBond(maturityDate, notional, annualCouponRate, couponMonth1,
couponDay1, couponMonth2, couponDay2, booksCloseDateDays, zaCalendar, TestHelpers.ZAR);
var ytm = 0.0715;
var results = bondR186.GetSpotMeasures(settleDate, ytm);
Assert.AreEqual(140.65075443, (double)results.GetScalar(BesaJseBondEx.Keys.UnroundedAip), 1e-8);
Assert.AreEqual(140.65075, (double)results.GetScalar(BesaJseBondEx.Keys.RoundedAip), 1e-8);
}
public void TestAllInPrice()
{
var settleDate = new Date(2008, 1, 17);
var maturityDate = new Date(2009, 8, 1);
var notional = 1000000.0;
var annualCouponRate = 0.13;
var couponMonth1 = 2;
var couponDay1 = 28;
var couponMonth2 = 8;
var couponDay2 = 31;
var booksCloseDateDays = 10;
var zaCalendar = new Calendar("Test");
var bondR153 = new BesaJseBond(maturityDate, notional, annualCouponRate, couponMonth1,
couponDay1, couponMonth2, couponDay2, booksCloseDateDays, zaCalendar, TestHelpers.ZAR);
var ytm = 0.0930;
var results = bondR153.GetSpotMeasures(settleDate, ytm);
Assert.AreEqual(110.400707433627, (double)results.GetScalar(BesaJseBondEx.Keys.UnroundedAip), 1e-8);
Assert.AreEqual(110.40071, (double)results.GetScalar(BesaJseBondEx.Keys.RoundedAip), 1e-8);
}
public void TestAllInPrice()
{
Date settleDate = new Date(2016, 3, 3);
Date maturityDate = new Date(2030, 1, 31);
double notional = 1000000;
double annualCouponRate = 0.08;
int couponMonth1 = 1;
int couponDay1 = 31;
int couponMonth2 = 7;
int couponDay2 = 31;
Calendar zaCalendar = new Calendar("Test");
var bondR2030 = new BesaJseBond(maturityDate, notional, annualCouponRate, couponMonth1,
couponDay1, couponMonth2, couponDay2, zaCalendar, TestHelpers.ZAR);
double ytm = 0.097;
ResultStore results = bondR2030.GetSpotMeasures(settleDate, ytm);
Assert.AreEqual(87.85607808, (double)results.GetScalar(BesaJseBondEx.Keys.unroundedAip), 1e-8);
Assert.AreEqual(87.85608, (double)results.GetScalar(BesaJseBondEx.Keys.roundedAip), 1e-8);
Assert.AreEqual(87.15470822, (double)results.GetScalar(BesaJseBondEx.Keys.unroundedClean), 1e-8);
Assert.AreEqual(87.15471, (double)results.GetScalar(BesaJseBondEx.Keys.roundedClean), 1e-8);
Assert.AreEqual(0.701369836, (double)results.GetScalar(BesaJseBondEx.Keys.unroundedAccrued), 1e-7);
}