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analytic/PORTFLIO.CPP

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+#include <analytic/portflio.hpp>
+#include <common/stdio.hpp>
+#include <common/math.hpp>
+
+Portfolio::Portfolio(void)
+{
+}
+
+Portfolio::Portfolio(const Portfolio &portfolio)
+{ // private implementation
+  *this=portfolio;
+}
+
+Portfolio::~Portfolio()
+{
+}
+
+Portfolio &Portfolio::operator=(const Portfolio &/*portfolio*/)
+{ // private implementation
+  return *this;
+}
+
+BOOL Portfolio::operator==(const Portfolio &portfolio)const
+{
+  return FALSE;
+}
+
+double Portfolio::discount(Rate yield,GlobalData<double> &cashflows)
+{
+  double price(0.00);
+
+  yield.makeSemiAnnual();
+  for(int index=0;index<cashflows.size();index++)price+=cashflows[index]/::pow(1.00+yield.decimalRate(),index+1);
+  return price;
+}
+
+Rate Portfolio::wac(void)
+{
+  Rate rate;
+  double weighted(0.00);
+  double parValue(0.00);
+
+  for(int index=0;index<size();index++)
+  {
+    rate=operator[](index)->coupon();
+    rate.makeAnnual();
+    weighted+=rate.decimalRate()*operator[](index)->par();
+    parValue+=operator[](index)->par();    
+  }
+  weighted/=parValue;  
+  return Rate(weighted*100.00,Annual);
+}
+
+Rate Portfolio::discount(double market,GlobalData<double> &cashflows)
+{
+  Rate guess(wac());
+  Rate maxGuess;
+  Rate minGuess;
+  double price;
+	int maxPly=50;
+	int ply=0;
+
+  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)
+  {
+    price=discount(guess,cashflows);
+    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);
+    }
+		if(++ply>maxPly)return Rate(0.00);
+  printf("calculated price:%lf market price:%lf\n",price,market);  
+  }
+  return guess;
+}
+
+int Portfolio::getCashflows(GlobalData<double> &sumCashflows)
+{
+  GlobalData<GlobalData<double> > cashflows;
+  int maxFlows(0);
+
+  cashflows.size(size());
+  for(int index=0;index<cashflows.size();index++)operator[](index)->cashflows(cashflows[index]);
+  for(index=0;index<cashflows.size();index++)
+  {
+    if(!index)maxFlows=cashflows[index].size();
+    else if(cashflows[index].size()>maxFlows)maxFlows=cashflows[index].size();
+  }
+  sumCashflows.size(maxFlows);  
+  for(int pIndex=0;pIndex<cashflows.size();pIndex++)
+  {
+    GlobalData<double> &cashflow=cashflows[pIndex];
+    for(int index=0;index<cashflow.size();index++)sumCashflows[index]=sumCashflows[index]+cashflow[index];  
+  }
+  return sumCashflows.size();
+}
+
+Rate Portfolio::yield(void)
+{
+  GlobalData<double> cashflows;
+  double price(0.00);
+
+  getCashflows(cashflows);
+  for(int index=0;index<size();index++)price+=operator[](index)->price();
+  return Rate(discount(price,cashflows));
+}
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