public static CashFlow nextCashFlow(Bond bond, Date refDate = null)
{
if (refDate == null)
{
refDate = bond.settlementDate();
}
return(CashFlows.nextCashFlow(bond.cashflows(), false, refDate));
}
public double accruedAmount(Date settlement)
{
if (settlement == null)
{
settlement = settlementDate();
}
CashFlow cf = CashFlows.nextCashFlow(cashflows_, false, settlement);
if (cf == cashflows_.Last())
{
return(0.0);
}
Date paymentDate = cf.date();
bool firstCouponFound = false;
double nominal = 0;
double accrualPeriod = 0;
DayCounter dc = null;
double result = 0.0;
foreach (CashFlow x in cashflows_.FindAll(x => x.date() == paymentDate && x.GetType().IsSubclassOf(typeof(Coupon))))
{
Coupon cp = (Coupon)x;
if (firstCouponFound)
{
if (!(nominal == cp.nominal() && accrualPeriod == cp.accrualPeriod() && dc == cp.dayCounter()))
{
throw new ApplicationException("cannot aggregate accrued amount of two different coupons on " + paymentDate);
}
}
else
{
firstCouponFound = true;
nominal = cp.nominal();
accrualPeriod = cp.accrualPeriod();
dc = cp.dayCounter();
}
result += cp.accruedAmount(settlement);
}
return(result / notional(settlement) * 100.0);
}
