private double calculateYield()
{
// We create a bond cashflow from issue to maturity just
// to calculate effective rate ( the rate that discount _marketValue )
Schedule schedule = new Schedule(_issueDate, _maturityDate, new Period(_payFrequency),
_calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List <CashFlow> cashflows = new FixedRateLeg(schedule)
.withCouponRates(_couponRate, _dCounter)
.withPaymentCalendar(_calendar)
.withNotionals(_faceValue)
.withPaymentAdjustment(BusinessDayConvention.Unadjusted);
// Add single redemption for yield calculation
Redemption r = new Redemption(_faceValue, _maturityDate);
cashflows.Add(r);
// Calculate Amortizing Yield ( Effective Rate )
Date testDate = CashFlows.previousCashFlowDate(cashflows, false, _tradeDate);
return(CashFlows.yield(cashflows, _marketValue, _dCounter, Compounding.Simple, _payFrequency,
false, testDate));
}
public static Date previousCashFlowDate(Bond bond, Date refDate = null)
{
if (refDate == null)
{
refDate = bond.settlementDate();
}
return(CashFlows.previousCashFlowDate(bond.cashflows(), false, refDate));
}