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 CalculateYieldToHorizon()
{
DateTime previousCoupon;
DateTime nextCoupon;
Basis.GetPreviousNextCoupons(this.HorizonDate, this.Maturity, this.Period, out previousCoupon, out nextCoupon);
var accruedPeriod = Basis.AccruedPeriod(this.HorizonDate, previousCoupon, this.Period, this.DayCountBasis);
var lastCoupon = previousCoupon;
Basis.GetPreviousNextCoupons(this.Settlement, lastCoupon, this.Period, out previousCoupon, out nextCoupon);
var payments = Basis.PaymentCount(lastCoupon, nextCoupon, this.Period);
Basis.GetPreviousNextCoupons(this.Settlement, this.Maturity, this.Period, out previousCoupon, out nextCoupon);
var accruedToPay = Basis.AccruedPeriod(this.Settlement, previousCoupon, this.Period, this.DayCountBasis);
var couponsToHorizon = 0d;
var payment = (this.Rate / this.Period) * this.Principal;
for (var i = 0; i < payments; ++i)
{
couponsToHorizon += payment * Math.Pow(1 + this.HorizonReinvestment / this.Period, i + accruedPeriod);
}
this.HorizonPV = this.HorizonPrice * this.Principal + (accruedPeriod * this.Principal * this.Rate / this.Period) + couponsToHorizon;
this.HorizonYield = Math.Pow(Math.Pow(this.HorizonPV / this.PV, 1 / (payments + accruedPeriod - accruedToPay)), this.Period) - 1;
this.HorizonGross = this.HorizonPV - this.PV;
}
public double GetAdjustedCurrentYield()
{
if (Math.Abs(this.Clean) < Mathematics.Error)
{
CalculateClean();
}
DateTime previousCoupon;
DateTime nextCoupon;
Basis.GetPreviousNextCoupons(this.Settlement, this.Maturity, this.Period, out previousCoupon, out nextCoupon);
var accruedPeriod = Basis.AccruedPeriod(nextCoupon, this.Settlement, this.Period, this.DayCountBasis) / this.Period;
var payments = Basis.PaymentCount(this.Maturity, nextCoupon, this.Period) / this.Period;
return((this.Rate + ((1 - this.Clean) / (payments + accruedPeriod))) / this.Clean);
}
private void CalculateClean()
{
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;
this.PV = 0d;
for (var i = 0; i < payments; ++i)
{
var payment = (this.Rate / this.Period) * this.Principal;
var discountFactor = Math.Pow(1 + this.YieldToMaturity / this.Period, -(1 - accruedPeriod + i));
this.PV += (i == payments - 1) ? (payment + this.Principal) * discountFactor : payment *discountFactor;
}
this.Clean = this.PV - this.Accrued;
}