Initial

analytic/ZBOND.CPP

@@ -0,0 +1,60 @@
+#include <analytic/zbond.hpp>
+#include <common/math.hpp>
+
+ZeroCouponBond::ZeroCouponBond(void)
+{
+  type(Instrument::ZeroCouponBond);
+}
+
+ZeroCouponBond::ZeroCouponBond(const ZeroCouponBond &zeroCouponBond)
+{
+  *this=zeroCouponBond;
+}
+
+ZeroCouponBond::ZeroCouponBond(double par,const Coupon &coupon,int ytm)
+: Bond(par,coupon,ytm)
+{
+  type(Instrument::ZeroCouponBond);  
+}
+
+ZeroCouponBond::~ZeroCouponBond()
+{
+}
+
+ZeroCouponBond &ZeroCouponBond::operator=(const ZeroCouponBond &zeroCouponBond)
+{
+  (Bond&)*this=(Bond&)zeroCouponBond;
+  return *this;
+}
+
+BOOL ZeroCouponBond::operator==(const ZeroCouponBond &zeroCouponBond)const
+{
+  return (Bond&)*this==(Bond&)zeroCouponBond;
+}
+
+// virtuals
+
+double ZeroCouponBond::discount(Rate /*yield*/)
+{
+  return discount();
+}
+
+double ZeroCouponBond::discount(void)
+{
+  Coupon coupon(coupon());
+  double bondPrice;
+  int periods;
+
+  coupon.makeSemiAnnual();
+  periods=coupon.frequency()*ytm();
+  bondPrice=par()/::pow(1.00+coupon.decimalRate(),periods);
+  price(bondPrice);
+  return price();
+}
+
+
+
+
+
+
+