/// <summary>
/// Evaluates the npv.
/// </summary>
/// <returns></returns>
private decimal EvaluateDirtyPrice()
{
var result = 0.0m;
if (AnalyticParameters.IsYTMQuote)
{
var accrualYearFraction = Convert.ToDouble(AnalyticParameters.RemainingAccruedFactor);
var periods = AnalyticParameters.AccrualYearFractions.Length;
var annualCoupon = Convert.ToDouble(AnalyticParameters.CouponRate);
var h = AnalyticParameters.Frequency;
var nextCoupon = AnalyticParameters.IsExDiv ? 0.0 : annualCoupon / h;//TODO semi annual only.
var next2Coupon = nextCoupon;
var y = Convert.ToDouble(AnalyticParameters.Quote);
var v = 1 / (1 + y / h);
result = Convert.ToDecimal(BondAnalytics.ISMADP(accrualYearFraction, 0.0, periods - 1, nextCoupon,
next2Coupon, annualCoupon, 0, h, v, y));
}
return(result);
}
public void TestISMADP()
{
var result = BondAnalytics.ISMADP(297.0 / 365.0, 0, 8, .07, .07, .07, 0.0, 1, .9434, .06);
Debug.WriteLine(String.Format("dirty price : {0}", result));
}
/// <summary>
/// Calculates the ISMA dirty price.
/// </summary>
/// <param name="accrualYearFraction">The first accrual coupon year fraction.</param>
/// <param name="finalAccrualYearFraction">The final coupon year fraction. If regular this is zero.</param>
/// <param name="numberOfFullCoupons">The number of full coupon periods remaining until redemption.
/// The number of remaining coupon periods is therefore n+1;</param>
/// <param name="nextCoupon">The next coupon payment. This may be partial or zero if the bond is trading ex div.</param>
/// <param name="next2Coupon">The next 2 coupon.</param>
/// <param name="annualCoupon">The annual coupon payment for 100 unit of face value.</param>
/// <param name="finalCoupon">The final coupon with an odd final period. This is zero for all other bonds.</param>
/// <param name="couponsPerYear">The number of coupon periods in a year.</param>
/// <param name="periodDiscountFactor">The discount factor for one period, 1/(1+y/h)</param>
/// <param name="annualYield">The required annual nominal redemption yield expressed as a decimal.</param>
/// <returns>The ISMA dirty price.</returns>
public double ISMADP(double accrualYearFraction, double finalAccrualYearFraction, int numberOfFullCoupons,
double nextCoupon, double next2Coupon, double annualCoupon, double finalCoupon, int couponsPerYear, double periodDiscountFactor, double annualYield)
{
return(BondAnalytics.ISMADP(accrualYearFraction, finalAccrualYearFraction, numberOfFullCoupons,
nextCoupon, next2Coupon, annualCoupon, finalCoupon, couponsPerYear, periodDiscountFactor, annualYield));
}
