private void SolveBondYield()
{
DateTime previousCoupon;
DateTime nextCoupon;
Basis.GetPreviousNextCoupons(this.Settlement, this.Maturity, this.Period, out previousCoupon, out nextCoupon);
var accruedPeriod = Basis.AccruedPeriod(this.Settlement, previousCoupon, this.Period, this.DayCountBasis);
var payments = Basis.PaymentCount(this.Maturity, nextCoupon, this.Period);
this.Accrued = accruedPeriod * (this.Rate / this.Period) * this.Principal;
Func <double, double> bondPrice = (calcYield =>
{
var pv = 0d;
for (var i = 0; i < payments; ++i)
{
var payment = (this.Rate / this.Period);
var discountFactor = Math.Pow(1 + calcYield / this.Period, -(1 - accruedPeriod + i));
pv += (i == payments - 1) ? (payment + 1) * discountFactor : payment * discountFactor;
}
return(pv - accruedPeriod * (this.Rate / this.Period) - this.Clean);
});
this.YieldToMaturity = Mathematics.FindRoot(bondPrice, 0d, 0.5d);
this.PV = this.Clean * this.Principal + this.Accrued;
}
public void TestFindQuadraticRoot()
{
// Quadratic with roots of x = -7 and x = 4
Func <double, double> function = x => (2 * x - 8) * (x + 7);
Assert.AreEqual(-7.0, Mathematics.FindRoot(function, -10d, 0d), Mathematics.Error, "Finding root where x=-7");
Assert.AreEqual(4.0, Mathematics.FindRoot(function, 0d, 10d), Mathematics.Error, "Finding root where x=4");
}
public void SolveInternalRateOfReturn()
{
Func <double, double> cashflowPrice = (calcRate =>
{
var pv = 0d;
for (var i = 1; i <= this.Years * this.Period; ++i)
{
pv += this.Principal * (this.Coupon / this.Period) * Math.Pow(1 + calcRate / this.Period, -i);
}
return(pv - this.PV);
});
// Assume yield is between 0% and 50%
this.Rate = Mathematics.FindRoot(cashflowPrice, 0d, 0.5d);
}