private void SetParameters(object sender, RoutedEventArgs e)
{
// Create Bond from User's Input
int frequency;
if ((bool)monthly.IsChecked)
{
frequency = 12;
}
else if ((bool)quaterly.IsChecked)
{
frequency = 3;
}
else if ((bool)twiceYear.IsChecked)
{
frequency = 2;
}
else
{
frequency = 1;
}
double marketRate = Double.Parse(MarketRate.Text, CultureInfo.InvariantCulture) / 100;
double annualRate = Double.Parse(AnnualRate.Text, CultureInfo.InvariantCulture) / 100;
double faceValue = Double.Parse(FaceValue.Text, CultureInfo.InvariantCulture);
ConventionDate maturity = new ConventionDate(Maturity.Text);
// Get Action if needed
string yieldType = FormatString(YieldType.SelectedItem.ToString());
if (yieldType == "Variable Yield")
{
action = new Action("ACCOR", 100, new ConventionDate(), maturity);
}
bond = new Bond(faceValue, annualRate, marketRate, frequency, maturity);
}
private ConventionDate GetNextCouponDate(ConventionDate today)
{
int nextDay = maturity.Day;
int nextMonth = GetNextMonth(today);
int nextYear = GetNextYear(today, nextMonth);
return(new ConventionDate(nextYear, nextMonth, nextDay));
}
public Bond(double faceValue, double annualRate, double marketRate, int frequency,
ConventionDate maturity)
{
this.faceValue = faceValue;
this.annualRate = annualRate;
this.marketRate = marketRate;
this.frequency = frequency;
this.maturity = maturity;
}
public Action(string name, double initial, ConventionDate today, ConventionDate maturity)
{
this.name = name;
this.drift = 0.1;
this.vol = 0.2;
this.spots = new Dictionary <ConventionDate, double>();
this.spots.Add(today, initial);
BuildTrajectory(today, maturity);
}
private int GetNextYear(ConventionDate today, int nextMonth)
{
if (nextMonth < today.Month)
{
return(today.Year + 1);
}
else
{
return(today.Year);
}
}
private int GetNextMonth(ConventionDate today)
{
List <int> months = GetMonthsCoupon();
if (today.Day < maturity.Day)
{
return(FindClosestBefore(months, today.Month));
}
else
{
return(FindClosestAfter(months, today.Month));
}
}
public override bool Equals(object obj)
{
if ((obj == null) || !this.GetType().Equals(obj.GetType()))
{
return(false);
}
ConventionDate date = (ConventionDate)obj;
if ((date.Day != this.Day) || (date.Month != this.Month) || (date.Year != this.Year))
{
return(false);
}
return(true);
}
private void QuickSimulation(object sender, RoutedEventArgs e)
{
double faceValue = 100000;
double annualRate = 5.5 / 100;
double marketRate = 1.2 / 100;
ConventionDate maturity = new ConventionDate(2022, 11, 15);
int frequency = 1;
bond = new Bond(faceValue, annualRate, marketRate, frequency, maturity);
double price = 0;
int nbSimulations = 100;
for (var simul = 0; simul < nbSimulations; simul++)
{
action = new Action("ACCOR", 100, new ConventionDate(), maturity);
price += bond.GetPrice(action);
}
ShowPrice(price / nbSimulations);
}
private void BuildTrajectory(ConventionDate today, ConventionDate maturity)
{
double dt = GetDt();
double spotValue;
bool afterMaturity = false;
ConventionDate currentDate = today.GetNextDate();
ConventionDate previousDate = today;
while (!afterMaturity)
{
if (currentDate.Equals(maturity))
{
afterMaturity = true;
}
spotValue = spots[previousDate] * Math.Exp((drift - Math.Pow(vol, 2) / 2) * dt + vol * Math.Sqrt(dt) * Normal.Sample(random, 0.0, 1.0));
spots.Add(currentDate, spotValue);
previousDate = currentDate;
currentDate = currentDate.GetNextDate();
}
}
public int NumberDays(ConventionDate endDate)
{
return(360 * (endDate.Year - this.Year) + 30 * (endDate.Month - this.Month) + (endDate.Day - this.Day));
}
public double GetPrice(Action action)
{
double perf;
double perfFactor = 1;
double price = 0;
int year = 1;
ConventionDate previousDate = new ConventionDate();
ConventionDate currentDate = GetNextCouponDate(previousDate);
int nbDays = previousDate.NumberDays(currentDate);
double factor = (double)nbDays / (double)previousDate.GetDaysPerYear();
price += factor * faceValue * annualRate / Math.Pow((1 + marketRate), factor);
while (!currentDate.Equals(maturity))
{
if (action != null)
{
perf = action.GetPerf(currentDate, previousDate);
if (perf > 0.2)
{
perfFactor = 1;
}
else if (perf > 0.1)
{
perfFactor = 0.7;
}
else
{
perfFactor = 0.5;
}
}
price += perfFactor * faceValue * annualRate / Math.Pow(1 + marketRate, factor + (year / frequency)) / (double)frequency;
year += 1;
previousDate = currentDate;
currentDate = GetNextCouponDate(currentDate);
}
/*for (int year = 1; year < frequency * YearsTillMaturity(); year++)
* {
* if (action != null)
* {
* perf = action.GetPerf(year);
* }
* price += perf * faceValue * annualRate / Math.Pow((1 + marketRate), factor + (year / frequency)) / (double)frequency;
* }*/
if (action != null)
{
perf = action.GetPerf(previousDate, maturity);
if (perf > 0.2)
{
perfFactor = 1;
}
else if (perf > 0.1)
{
perfFactor = 0.7;
}
else
{
perfFactor = 0.5;
}
}
price += perfFactor * faceValue * (1 + annualRate) / Math.Pow((1 + marketRate), factor + YearsTillMaturity());
return(price);
}
private int YearsTillMaturity()
{
ConventionDate today = new ConventionDate();
return(maturity.Year - today.Year);
}
public double GetPerf(ConventionDate currentDate, ConventionDate previousDate)
{
double perf = (spots[currentDate] - spots[previousDate]) / spots[previousDate];
return(perf > 0 ? perf : 0);
}
