/*
* Created on 07.04.2012
*/
/**
* This class implements some functions as static class methods.
*
* (c) Copyright 2012 Christian Fries.
*
* @author Christian Fries
* @version 1.0
*/
public class SpreadsheetFunctions {
/**
* Re-implementation of the Excel PRICE function (a rather primitive bond price formula).
* The reimplementation is not exact, because this function does not consider daycount conventions.
* We assume we have (int)timeToMaturity/frequency future periods and the running period has
* an accrual period of timeToMaturity - frequency * ((int)timeToMaturity/frequency).
*
* @param timeToMaturity The time to maturity.
* @param coupon Coupon payment.
* @param yield Yield (discount factor, using frequency: 1/(1 + yield/frequency).
* @param redemption Redemption (notional repayment).
* @param frequency Frequency (1,2,4).
* @return price Clean price.
*/
public static double price(
double timeToMaturity,
double coupon,
double yield,
double redemption,
int frequency)
{
double price = 0.0;
if(timeToMaturity > 0) {
price += redemption;
}
double paymentTime = timeToMaturity;
while(paymentTime > 0) {
price += coupon/frequency;
// Discount back
price = price / (1.0 + yield / frequency);
paymentTime -= 1.0 / frequency;
}
// Accrue running period
double accrualPeriod = 0.0-paymentTime; // amount of running period which lies in the past (before settlement)
price *= Math.pow(1.0 + yield / frequency, accrualPeriod*frequency);
price -= coupon/frequency * accrualPeriod*frequency;
return price;
}
}
