125 lines
2.7 KiB
C++
125 lines
2.7 KiB
C++
#include <analytic/portflio.hpp>
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#include <common/stdio.hpp>
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#include <common/math.hpp>
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Portfolio::Portfolio(void)
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{
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}
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Portfolio::Portfolio(const Portfolio &portfolio)
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{ // private implementation
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*this=portfolio;
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}
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Portfolio::~Portfolio()
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{
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}
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Portfolio &Portfolio::operator=(const Portfolio &/*portfolio*/)
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{ // private implementation
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return *this;
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}
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BOOL Portfolio::operator==(const Portfolio &portfolio)const
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{
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return FALSE;
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}
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double Portfolio::discount(Rate yield,GlobalData<double> &cashflows)
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{
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double price(0.00);
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yield.makeSemiAnnual();
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for(int index=0;index<cashflows.size();index++)price+=cashflows[index]/::pow(1.00+yield.decimalRate(),index+1);
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return price;
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}
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Rate Portfolio::wac(void)
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{
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Rate rate;
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double weighted(0.00);
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double parValue(0.00);
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for(int index=0;index<size();index++)
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{
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rate=operator[](index)->coupon();
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rate.makeAnnual();
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weighted+=rate.decimalRate()*operator[](index)->par();
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parValue+=operator[](index)->par();
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}
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weighted/=parValue;
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return Rate(weighted*100.00,Annual);
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}
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Rate Portfolio::discount(double market,GlobalData<double> &cashflows)
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{
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Rate guess(wac());
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Rate maxGuess;
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Rate minGuess;
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double price;
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maxGuess=guess;
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minGuess=guess;
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maxGuess.rate(guess.rate()+12.00);
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minGuess.rate(guess.rate()-12.00);
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if(minGuess.rate()<0.00)minGuess.rate(1.00);
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while(TRUE)
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{
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price=discount(guess,cashflows);
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if(price==market||(price-market<0.00?market-price:price-market)<1.00)break;
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if(market>price)
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{
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maxGuess=guess;
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guess.rate((guess.rate()+minGuess.rate())/2.00);
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}
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else
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{
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minGuess=guess;
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guess.rate((guess.rate()+maxGuess.rate())/2.00);
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}
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//printf("calculated price:%lf market price:%lf\n",price,market);
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}
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return guess;
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}
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int Portfolio::getCashflows(GlobalData<double> &sumCashflows)
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{
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GlobalData<GlobalData<double> > cashflows;
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int maxFlows(0);
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cashflows.size(size());
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for(int index=0;index<cashflows.size();index++)operator[](index)->cashflows(cashflows[index]);
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for(int index=0;index<cashflows.size();index++)
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{
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if(!index)maxFlows=cashflows[index].size();
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else if(cashflows[index].size()>maxFlows)maxFlows=cashflows[index].size();
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}
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sumCashflows.size(maxFlows);
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for(int pIndex=0;pIndex<cashflows.size();pIndex++)
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{
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GlobalData<double> &cashflow=cashflows[pIndex];
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for(int index=0;index<cashflow.size();index++)sumCashflows[index]=sumCashflows[index]+cashflow[index];
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}
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return sumCashflows.size();
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}
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Rate Portfolio::yield(void)
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{
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GlobalData<double> cashflows;
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double price(0.00);
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getCashflows(cashflows);
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for(int index=0;index<size();index++)price+=operator[](index)->price();
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return Rate(discount(price,cashflows));
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}
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