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));
}
protected void addRedemptionsToCashflows(List <double> redemptions)
{
// First, we gather the notional information from the cashflows
calculateNotionalsFromCashflows();
// Then, we create the redemptions based on the notional
// information and we add them to the cashflows vector after
// the coupons.
redemptions_.Clear();
for (int i = 1; i < notionalSchedule_.Count; ++i)
{
double R = i < redemptions.Count ? redemptions[i] :
!redemptions.empty() ? redemptions.Last() :
100.0;
double amount = (R / 100.0) * (notionals_[i - 1] - notionals_[i]);
CashFlow redemption;
if (i < notionalSchedule_.Count - 1)
{
//payment.reset(new AmortizingPayment(amount,notionalSchedule_[i]));
redemption = new AmortizingPayment(amount, notionalSchedule_[i]);
}
else
{
//payment.reset(new Redemption(amount, notionalSchedule_[i]));
redemption = new Redemption(amount, notionalSchedule_[i]);
}
//CashFlow redemption = new SimpleCashFlow(amount, notionalSchedule_[i]);
cashflows_.Add(redemption);
redemptions_.Add(redemption);
}
// stable_sort now moves the redemptions to the right places
// while ensuring that they follow coupons with the same date.
cashflows_.Sort();
}
/*! This method can be called by derived classes in order to
* build redemption payments from the existing cash flows.
* It must be called after setting up the cashflows_ vector
* and will fill the notionalSchedule_, notionals_, and
* redemptions_ data members.
*
* If given, the elements of the redemptions vector will
* multiply the amount of the redemption cash flow. The
* elements will be taken in base 100, i.e., a redemption
* equal to 100 does not modify the amount.
*
* \pre The cashflows_ vector must contain at least one
* coupon and must be sorted by date.
*/
protected void addRedemptionsToCashflows(List <double> redemptions = null)
{
if (redemptions == null)
{
redemptions = new List <double>();
}
// First, we gather the notional information from the cashflows
calculateNotionalsFromCashflows();
// Then, we create the redemptions based on the notional
// information and we add them to the cashflows vector after
// the coupons.
redemptions_.Clear();
for (int i = 1; i < notionalSchedule_.Count; ++i)
{
double R = i < redemptions.Count ? redemptions[i] :
!redemptions.empty() ? redemptions.Last() :
100.0;
double amount = (R / 100.0) * (notionals_[i - 1] - notionals_[i]);
CashFlow payment;
if (i < notionalSchedule_.Count - 1)
{
payment = new AmortizingPayment(amount, notionalSchedule_[i]);
}
else
{
payment = new Redemption(amount, notionalSchedule_[i]);
}
cashflows_.Add(payment);
redemptions_.Add(payment);
}
// stable_sort now moves the AmortizingPayment and Redemptions to the right places
// while ensuring that they follow coupons with the same date.
cashflows_ = cashflows_.OrderBy(x => x.date()).ToList();
}
/*! This method can be called by derived classes in order to
* build a bond with a single redemption payment. It will
* fill the notionalSchedule_, notionals_, and redemptions_
* data members.
*/
protected void setSingleRedemption(double notional, double redemption, Date date)
{
CashFlow redemptionCashflow = new Redemption(notional * redemption / 100.0, date);
setSingleRedemption(notional, redemptionCashflow);
}
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);
}
