double couponPerYear = bond.getFrequency().eventsPerYear(); double factorToNextCoupon = factorToNextCoupon(bond, settlementDate); double factorOnPeriod = 1 + yield / couponPerYear;
private double dirtyPriceFromYieldStandard( ResolvedFixedCouponBond bond, LocalDate settlementDate, double yield) { int nbCoupon = bond.getPeriodicPayments().size(); double factorOnPeriod = 1 + yield / ((double) bond.getFrequency().eventsPerYear()); double fixedRate = bond.getFixedRate(); double pvAtFirstCoupon = 0; int pow = 0; for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) { FixedCouponBondPaymentPeriod period = bond.getPeriodicPayments().get(loopcpn); if ((period.hasExCouponPeriod() && !settlementDate.isAfter(period.getDetachmentDate())) || (!period.hasExCouponPeriod() && period.getPaymentDate().isAfter(settlementDate))) { pvAtFirstCoupon += fixedRate * period.getYearFraction() / Math.pow(factorOnPeriod, pow); ++pow; } } pvAtFirstCoupon += 1d / Math.pow(factorOnPeriod, pow - 1); return pvAtFirstCoupon * Math.pow(factorOnPeriod, -factorToNextCoupon(bond, settlementDate)); }
@Override public double yearFraction(LocalDate firstDate, LocalDate secondDate, ScheduleInfo scheduleInfo) { assertEquals(scheduleInfo.getStartDate(), base.getUnadjustedStartDate()); assertEquals(scheduleInfo.getEndDate(), base.getUnadjustedEndDate()); assertEquals(scheduleInfo.getPeriodEndDate(firstDate), period.getUnadjustedEndDate()); assertEquals(scheduleInfo.getFrequency(), base.getFrequency()); assertEquals(scheduleInfo.isEndOfMonthConvention(), eom.get()); return 0.5; }
/** * Calculates the Macaulay duration of the fixed coupon bond product from yield. * <p> * Macaulay defined an alternative way of weighting the future cash flows. * <p> * The input yield must be fractional. The dirty price and its derivative are * computed for {@link FixedCouponBondYieldConvention}, and the result is expressed in fraction. * * @param bond the product * @param settlementDate the settlement date * @param yield the yield * @return the modified duration of the product */ public double macaulayDurationFromYield(ResolvedFixedCouponBond bond, LocalDate settlementDate, double yield) { ImmutableList<FixedCouponBondPaymentPeriod> payments = bond.getPeriodicPayments(); int nCoupon = payments.size() - couponIndex(payments, settlementDate); FixedCouponBondYieldConvention yieldConv = bond.getYieldConvention(); if ((yieldConv.equals(US_STREET)) && (nCoupon == 1)) { return factorToNextCoupon(bond, settlementDate) / bond.getFrequency().eventsPerYear(); } if ((yieldConv.equals(US_STREET)) || (yieldConv.equals(GB_BUMP_DMO)) || (yieldConv.equals(DE_BONDS))) { return modifiedDurationFromYield(bond, settlementDate, yield) * (1d + yield / bond.getFrequency().eventsPerYear()); } throw new UnsupportedOperationException("The convention " + yieldConv.name() + " is not supported."); }
double couponPerYear = bond.getFrequency().eventsPerYear(); double factorToNextCoupon = factorToNextCoupon(bond, settlementDate); double factorOnPeriod = 1 + yield / couponPerYear;
@Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case 1574023291: // securityId return ((ResolvedFixedCouponBond) bean).getSecurityId(); case -44199542: // nominalPayment return ((ResolvedFixedCouponBond) bean).getNominalPayment(); case -367345944: // periodicPayments return ((ResolvedFixedCouponBond) bean).getPeriodicPayments(); case -70023844: // frequency return ((ResolvedFixedCouponBond) bean).getFrequency(); case -10223666: // rollConvention return ((ResolvedFixedCouponBond) bean).getRollConvention(); case 747425396: // fixedRate return ((ResolvedFixedCouponBond) bean).getFixedRate(); case 1905311443: // dayCount return ((ResolvedFixedCouponBond) bean).getDayCount(); case -1895216418: // yieldConvention return ((ResolvedFixedCouponBond) bean).getYieldConvention(); case 866287159: // legalEntityId return ((ResolvedFixedCouponBond) bean).getLegalEntityId(); case 135924714: // settlementDateOffset return ((ResolvedFixedCouponBond) bean).getSettlementDateOffset(); } return super.propertyGet(bean, propertyName, quiet); }
/** * Restricted copy constructor. * @param beanToCopy the bean to copy from, not null */ private Builder(ResolvedFixedCouponBond beanToCopy) { this.securityId = beanToCopy.getSecurityId(); this.nominalPayment = beanToCopy.getNominalPayment(); this.periodicPayments = beanToCopy.getPeriodicPayments(); this.frequency = beanToCopy.getFrequency(); this.rollConvention = beanToCopy.getRollConvention(); this.fixedRate = beanToCopy.getFixedRate(); this.dayCount = beanToCopy.getDayCount(); this.yieldConvention = beanToCopy.getYieldConvention(); this.legalEntityId = beanToCopy.getLegalEntityId(); this.settlementDateOffset = beanToCopy.getSettlementDateOffset(); }
return (1d + payment.getFixedRate() * payment.getYearFraction()) / (1d + factorToNextCoupon(bond, settlementDate) * yield / ((double) bond.getFrequency().eventsPerYear()));
if (nCoupon == 1) { if (yieldConv.equals(US_STREET) || yieldConv.equals(DE_BONDS)) { double couponPerYear = bond.getFrequency().eventsPerYear(); double factorToNextCoupon = factorToNextCoupon(bond, settlementDate); double timeToPay = factorToNextCoupon / couponPerYear;
if (nCoupon == 1) { if (yieldConv.equals(US_STREET) || yieldConv.equals(DE_BONDS)) { double couponPerYear = bond.getFrequency().eventsPerYear(); double factor = factorToNextCoupon(bond, settlementDate); return factor / couponPerYear / (1d + factor * yield / couponPerYear);