Initial

2024-08-07 09:12:07 -04:00
parent ca445435a0
commit fdfadd5c7e
1021 changed files with 73601 additions and 0 deletions
--- a/analytic/BOND.CPP
+++ b/analytic/BOND.CPP
@@ -0,0 +1,147 @@
+#include <analytic/bond.hpp>
+#include <analytic/rate.hpp>
+#include <analytic/coupon.hpp>
+#include <common/gdata.hpp>
+#include <common/math.hpp>
+#include <common/stdio.hpp>
+
+Bond::Bond(void)
+: Instrument(StraightBond), mPar(0.00), mYTM(0), mYield(0.00)
+{
+}
+
+Bond::Bond(const Bond &bond)
+{
+  *this=bond;
+}
+
+Bond::Bond(double par,const Coupon &coupon,int ytm,double price)
+{
+  Instrument::price(price);
+  Instrument::coupon(coupon);
+  Instrument::type(StraightBond);
+  Bond::par(par);
+  Bond::ytm(ytm);
+  Bond::yield(0.00);
+}
+
+Bond::~Bond()
+{
+}
+
+Bond &Bond::operator=(const Bond &bond)
+{
+  par(bond.par());
+  ytm(bond.ytm());
+  price(bond.price());
+  coupon(bond.coupon());
+  yield(bond.yield());
+  type(StraightBond);
+  return *this;
+}
+
+BOOL Bond::operator==(const Bond &bond)const
+{
+  return (par()==bond.par()&&
+          ytm()==bond.ytm()&&
+          price()==bond.price()&&
+          coupon()==bond.coupon()&&
+          yield()==bond.yield()&&
+          type()==bond.type());
+}
+
+double Bond::par(void)const
+{
+  return mPar;
+}
+
+void Bond::par(double par)
+{
+  mPar=par;
+}
+
+const Rate &Bond::yield(void)const
+{
+  return mYield;
+}
+
+void Bond::yield(const Rate &yield)
+{
+  mYield=yield;
+}
+
+int Bond::ytm(void)const
+{
+  return mYTM;
+}
+
+void Bond::ytm(int ytm)
+{
+  mYTM=ytm;
+}
+
+// virtuals
+
+BOOL Bond::cashflows(GlobalData<double> &cashflows)
+{
+  double semiAnnualPmt;
+  int periods;
+  Coupon coupon(coupon());
+
+  coupon.makeSemiAnnual();
+  periods=coupon.frequency()*ytm();
+  semiAnnualPmt=par()*coupon.decimalRate();
+  cashflows.size(periods);
+  for(int period=0;period<cashflows.size();period++)cashflows[period]=semiAnnualPmt;
+  cashflows[periods-1]=cashflows[periods-1]+par();
+  return TRUE;
+}
+
+double Bond::discount(Rate yield)
+{
+  double semiAnnualPmt;
+  double bondPrice;
+  int periods;
+  Coupon coupon(coupon());
+
+  Bond::yield(yield);
+  yield.makeSemiAnnual();
+  coupon.makeSemiAnnual();
+  periods=yield.frequency()*ytm();
+  semiAnnualPmt=par()*coupon.decimalRate();
+  bondPrice=semiAnnualPmt*((1.00-(1.00/::pow(1.00+yield.decimalRate(),periods)))/yield.decimalRate());
+  bondPrice+=par()/::pow(1.00+yield.decimalRate(),periods);
+  price(bondPrice);
+	return price();
+}
+
+Rate Bond::discount(double market)
+{
+  Rate guess(coupon());
+  Rate maxGuess;
+  Rate minGuess;
+
+  maxGuess=guess;
+  minGuess=guess;
+  maxGuess.rate(guess.rate()+12.00);
+  minGuess.rate(guess.rate()-12.00);
+  if(minGuess.rate()<0.00)minGuess.rate(1.00);
+  while(TRUE)
+  {
+    discount(guess);
+    if(price()==market||(price()-market<0.00?market-price():price()-market)<1.00)break;
+    if(market>price())
+    {
+      maxGuess=guess;
+      guess.rate((guess.rate()+minGuess.rate())/2.00);
+    }
+    else
+    {
+      minGuess=guess;
+      guess.rate((guess.rate()+maxGuess.rate())/2.00);
+    }
+    printf("calculated price:%lf market price:%lf\n",price(),market);  
+  }
+  yield(guess);
+  return yield();
+}