public SolveYtm(Cashflow[] cashflows,
IDayCount dayCount,
Frequency frequency,
Date startDate,
Date valueDate,
double fullPrice,
TradingMarket tradeingMarket,
bool irregularPayment,
IBondYieldPricer bondYieldPricer = null)
{
_cashflows = cashflows;
_dayCount = dayCount;
_frequency = frequency;
_startDate = startDate;
_valueDate = valueDate;
_fullPrice = fullPrice;
_tradeingMarket = tradeingMarket;
_irregularPayment = irregularPayment;
_bondYieldPricer = bondYieldPricer ?? new BondYieldPricer();
}
public static double GetModifiedDuration(Cashflow[] cashflows,
IDayCount dayCount,
Frequency frequency,
Date startDate,
Date valueDate,
double yield,
TradingMarket tradeingMarket,
bool irregularPayment = false,
IBondYieldPricer bondYieldPricer = null)
{
const double dy = 1e-4;
if (bondYieldPricer == null)
{
bondYieldPricer = new BondYieldPricer();
}
var priceUp = bondYieldPricer.FullPriceFromYield(cashflows, dayCount, frequency, startDate, valueDate, yield - dy, tradeingMarket, irregularPayment);
var priceDown = bondYieldPricer.FullPriceFromYield(cashflows, dayCount, frequency, startDate, valueDate, yield + dy, tradeingMarket, irregularPayment);
return((priceUp - priceDown) / dy / (priceDown + priceUp));
}
public BondEngineCn(IBondYieldPricer bondYieldPricer = null)
{
_bondYieldPricer = bondYieldPricer ?? new BondYieldPricer();
_bondEngine = new BondEngine(_bondYieldPricer);
}
/// <summary>
/// 构造函数
/// </summary>
/// <param name="bondYieldPricer">债券收益率计算器</param>
public BondEngine(IBondYieldPricer bondYieldPricer = null)
{
_bondYieldPricer = bondYieldPricer ?? new BondYieldPricerCn();
}
