public AmortizingBond(double FaceValue,
double MarketValue,
double CouponRate,
Date IssueDate,
Date MaturityDate,
Date TradeDate,
Frequency payFrequency,
DayCounter dCounter,
AmortizingMethod Method,
Calendar calendar,
double gYield = 0) :
base(0, new TARGET(), IssueDate)
{
_faceValue = FaceValue;
_marketValue = MarketValue;
_couponRate = CouponRate;
_issueDate = IssueDate;
_maturityDate = MaturityDate;
_tradeDate = TradeDate;
_payFrequency = payFrequency;
_dCounter = dCounter;
_method = Method;
_calendar = calendar;
_isPremium = _marketValue > _faceValue;
// Store regular payment of faceValue * couponRate for later calculation
_originalPayment = (_faceValue * _couponRate) / (double)_payFrequency;
if (gYield == 0)
{
_yield = calculateYield();
}
else
{
_yield = gYield;
}
// We can have several method here
// Straight-Line Amortization , Effective Interest Rate, Rule 78
// for now we start with Effective Interest Rate.
switch (_method)
{
case AmortizingMethod.EffectiveInterestRate:
addEffectiveInterestRateAmortizing();
break;
default:
break;
}
}
public AmortizingBond(double FaceValue,
double MarketValue,
double CouponRate,
Date IssueDate,
Date MaturityDate,
Date TradeDate,
Frequency payFrequency,
DayCounter dCounter,
AmortizingMethod Method,
Calendar calendar,
double gYield = 0) :
base(0, new TARGET(), IssueDate)
{
_faceValue = FaceValue;
_marketValue = MarketValue;
_couponRate = CouponRate;
_issueDate = IssueDate;
_maturityDate = MaturityDate;
_tradeDate = TradeDate;
_payFrequency = payFrequency;
_dCounter = dCounter;
_method = Method;
_calendar = calendar;
_isPremium = _marketValue > _faceValue;
// Store regular payment of faceValue * couponRate for later calculation
_originalPayment = (_faceValue * _couponRate) / (double)_payFrequency;
if (gYield == 0)
_yield = calculateYield();
else
_yield = gYield;
// We can have several method here
// Straight-Line Amortization , Effective Interest Rate, Rule 78
// for now we start with Effective Interest Rate.
switch ( _method )
{
case AmortizingMethod.EffectiveInterestRate:
addEffectiveInterestRateAmortizing();
break;
default:
break;
}
}
public static AmortizingBond makeAmortizingBond(double FaceValue,
double MarketValue,
double CouponRate,
Date IssueDate,
Date MaturityDate,
Date TradeDate,
Frequency payFrequency,
DayCounter dCounter,
AmortizingMethod Method,
double gYield = 0)
{
return(new AmortizingBond(FaceValue,
MarketValue,
CouponRate,
IssueDate,
MaturityDate,
TradeDate,
payFrequency,
dCounter,
Method,
new NullCalendar(), gYield));
}
public static AmortizingBond makeAmortizingBond(double FaceValue,
double MarketValue,
double CouponRate,
Date IssueDate,
Date MaturityDate,
Date TradeDate,
Frequency payFrequency,
DayCounter dCounter,
AmortizingMethod Method,
double gYield=0)
{
return new AmortizingBond(FaceValue,
MarketValue,
CouponRate,
IssueDate,
MaturityDate,
TradeDate,
payFrequency,
dCounter,
Method,
new NullCalendar(),gYield);
}