//! theoretical bond yield
/*! The default bond settlement and theoretical price are used for calculation. */
public double yield(DayCounter dc, Compounding comp, Frequency freq, double accuracy = 1.0e-8, int maxEvaluations = 100)
{
double currentNotional = notional(settlementDate());
if (currentNotional == 0.0)
{
return(0.0);
}
return(BondFunctions.yield(this, cleanPrice(), dc, comp, freq, settlementDate(), accuracy, maxEvaluations));
}
//! rerun every time instruments/referenceDate changes
internal virtual void init()
{
// yield conventions
DayCounter yieldDC = curve_.dayCounter();
Compounding yieldComp = Compounding.Compounded;
Frequency yieldFreq = Frequency.Annual;
int n = curve_.bondHelpers_.Count;
costFunction_ = new FittingCost(this);
costFunction_.firstCashFlow_ = new InitializedList <int>(n);
for (int i = 0; i < curve_.bondHelpers_.Count; ++i)
{
Bond bond = curve_.bondHelpers_[i].bond();
List <CashFlow> cf = bond.cashflows();
Date bondSettlement = bond.settlementDate();
for (int k = 0; k < cf.Count; ++k)
{
if (!cf[k].hasOccurred(bondSettlement, false))
{
costFunction_.firstCashFlow_[i] = k;
break;
}
}
}
if (calculateWeights_)
{
//if (weights_.empty())
weights_ = new Vector(n);
double squaredSum = 0.0;
for (int i = 0; i < curve_.bondHelpers_.Count; ++i)
{
Bond bond = curve_.bondHelpers_[i].bond();
double cleanPrice = curve_.bondHelpers_[i].quote().link.value();
Date bondSettlement = bond.settlementDate();
double ytm = BondFunctions.yield(bond, cleanPrice, yieldDC, yieldComp, yieldFreq, bondSettlement);
double dur = BondFunctions.duration(bond, ytm, yieldDC, yieldComp, yieldFreq,
Duration.Type.Modified, bondSettlement);
weights_[i] = 1.0 / dur;
squaredSum += weights_[i] * weights_[i];
}
weights_ /= Math.Sqrt(squaredSum);
}
Utils.QL_REQUIRE(weights_.size() == n, () =>
"Given weights do not cover all boostrapping helpers");
}
//! yield given a (clean) price and settlement date
/*! The default bond settlement is used if no date is given. */
public double yield(double cleanPrice, DayCounter dc, Compounding comp, Frequency freq, Date settlement = null,
double accuracy = 1.0e-8, int maxEvaluations = 100)
{
double currentNotional = notional(settlement);
if (currentNotional.IsEqual(0.0))
{
return(0.0);
}
return(BondFunctions.yield(this, cleanPrice, dc, comp, freq, settlement, accuracy, maxEvaluations));
}
protected override void performCalculations()
{
List <BTP> btps = basket_.btps();
List <Handle <Quote> > quotes = basket_.cleanPriceQuotes();
Date bondSettlementDate = btps[0].settlementDate();
for (int i = 0; i < basket_.size(); ++i)
{
yields_[i] = BondFunctions.yield(btps[i], quotes[i].link.value(),
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
bondSettlementDate,
// accuracy, maxIterations, guess
1.0e-10, 100, yields_[i]);
durations_[i] = BondFunctions.duration(btps[i], yields_[i], new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual, Duration.Type.Modified,
bondSettlementDate);
}
duration_ = 0;
basket_.weights().ForEach((ii, vv) => duration_ += vv * yields()[ii]);
int settlDays = 2;
DayCounter fixedDayCount = swaps_[0].fixedDayCount();
equivalentSwapIndex_ = nSwaps_ - 1;
swapRates_[0] = swaps_[0].fairRate();
FixedRateBond swapBond = new FixedRateBond(settlDays,
100.0, // faceAmount
swaps_[0].fixedSchedule(),
new List <double>()
{
swapRates_[0].Value
},
fixedDayCount,
BusinessDayConvention.Following, // paymentConvention
100.0); // redemption
swapBondYields_[0] = BondFunctions.yield(swapBond,
100.0, // floating leg NPV including end payment
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
bondSettlementDate,
// accuracy, maxIterations, guess
1.0e-10, 100, swapBondYields_[0].Value);
swapBondDurations_[0] = BondFunctions.duration(swapBond, swapBondYields_[0].Value,
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
Duration.Type.Modified, bondSettlementDate);
for (int i = 1; i < nSwaps_; ++i)
{
swapRates_[i] = swaps_[i].fairRate();
FixedRateBond swapBond2 = new FixedRateBond(settlDays,
100.0, // faceAmount
swaps_[i].fixedSchedule(),
new List <double>()
{
swapRates_[i].Value
},
fixedDayCount,
BusinessDayConvention.Following, // paymentConvention
100.0); // redemption
swapBondYields_[i] = BondFunctions.yield(swapBond2, 100.0, // floating leg NPV including end payment
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
bondSettlementDate,
// accuracy, maxIterations, guess
1.0e-10, 100, swapBondYields_[i].Value);
swapBondDurations_[i] = BondFunctions.duration(swapBond2, swapBondYields_[i].Value,
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
Duration.Type.Modified, bondSettlementDate);
if (swapBondDurations_[i] > duration_)
{
equivalentSwapIndex_ = i - 1;
break; // exit the loop
}
}
return;
}