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JMSLTM Numerical Library 4.0 | ||||||||
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java.lang.Object com.imsl.finance.Bond
Collection of bond functions.
rate is an annualized rate of return based on the par value of the bills.
yield is an annualized rate based on the purchase price and reflects the actual yield to maturity.
coupons are interest payments on a bond.
redemption is the amount a bond pays at maturity.
frequency is the number of times a year that a bond makes interest payments.
basis is the method used to calculate dates. For example, sometimes computations are done assuming 360 days in a year.
issue is the day a bond is first sold.
settlement is the day a purchaser aquires a bond.
maturity is the day a bond's principal is repaid.
pricedisc
(rate)priceyield
(yield)pricemat
(issue, rate,
yield)disc
(price)yielddisc
(price)accrintm
, which returns the interest that has
accumulated on the discount bond.
tbillprice
(rate)tbillyield
(price)tbilleq
(rate)price
(rate, yield, redemption)yield
(rate, price, redemption)received
(price, rate)accrint
, which returns
the interest that has accumulated at settlement from the previous coupon
date.
coupppcd
is the coupon date immediately prior to the
settlement date.coupncd
is the coupon date immediately after the
settlement date.coupdaybs
is the number of days from the immediately
prior coupon date to the settlement date.
coupdaysnc
is the number of days from the settlement
date to the next coupon date.
coupdays
is the number of days between these two coupon
dates.
coupnum
, which returns the number of coupons payable between
settlement and maturity.
Another related method is yearfrac
, which returns the fraction of
the year between two days.
Field Summary | |
static int |
ANNUAL
Coupon payments are made annually. |
static int |
QUARTERLY
Coupon payments are made quarterly. |
static int |
SEMIANNUAL
Coupon payments are made semiannually. |
Constructor Summary | |
Bond()
|
Method Summary | |
static double |
accrint(GregorianCalendar issue,
GregorianCalendar firstCoupon,
GregorianCalendar settlement,
double rate,
double par,
int frequency,
DayCountBasis basis)
Returns the interest which has accrued on a security that pays interest periodically. |
static double |
accrintm(GregorianCalendar issue,
GregorianCalendar maturity,
double rate,
double par,
DayCountBasis basis)
Returns the interest which has accrued on a security that pays interest at maturity. |
static double |
amordegrc(double cost,
GregorianCalendar issue,
GregorianCalendar firstPeriod,
double salvage,
int period,
double rate,
DayCountBasis basis)
Returns the depreciation for each accounting period. |
static double |
amorlinc(double cost,
GregorianCalendar issue,
GregorianCalendar firstPeriod,
double salvage,
int period,
double rate,
DayCountBasis basis)
Returns the depreciation for each accounting period. |
static double |
convexity(GregorianCalendar settlement,
GregorianCalendar maturity,
double coupon,
double yield,
int frequency,
DayCountBasis basis)
Returns the convexity for a security. |
static int |
coupdaybs(GregorianCalendar settlement,
GregorianCalendar maturity,
int frequency,
DayCountBasis basis)
Returns the number of days starting with the beginning of the coupon period and ending with the settlement date. |
static double |
coupdays(GregorianCalendar settlement,
GregorianCalendar maturity,
int frequency,
DayCountBasis basis)
Returns the number of days in the coupon period containing the settlement date. |
static int |
coupdaysnc(GregorianCalendar settlement,
GregorianCalendar maturity,
int frequency,
DayCountBasis basis)
Returns the number of days starting with the settlement date and ending with the next coupon date. |
static GregorianCalendar |
coupncd(GregorianCalendar settlement,
GregorianCalendar maturity,
int frequency,
DayCountBasis basis)
Returns the first coupon date which follows the settlement date. |
static int |
coupnum(GregorianCalendar settlement,
GregorianCalendar maturity,
int frequency,
DayCountBasis basis)
Returns the number of coupons payable between the settlement date and the maturity date. |
static GregorianCalendar |
couppcd(GregorianCalendar settlement,
GregorianCalendar maturity,
int frequency,
DayCountBasis basis)
Returns the coupon date which immediately precedes the settlement date. |
static double |
disc(GregorianCalendar settlement,
GregorianCalendar maturity,
double price,
double redemption,
DayCountBasis basis)
Returns the implied interest rate of a discount bond. |
static double |
duration(GregorianCalendar settlement,
GregorianCalendar maturity,
double coupon,
double yield,
int frequency,
DayCountBasis basis)
Returns the Macauley's duration of a security where the security has periodic interest payments. |
static double |
intrate(GregorianCalendar settlement,
GregorianCalendar maturity,
double investment,
double redemption,
DayCountBasis basis)
Returns the interest rate of a fully invested security. |
static double |
mduration(GregorianCalendar settlement,
GregorianCalendar maturity,
double coupon,
double yield,
int frequency,
DayCountBasis basis)
Returns the modified Macauley duration for a security with an assumed par value of $100. |
static double |
price(GregorianCalendar settlement,
GregorianCalendar maturity,
double rate,
double yield,
double redemption,
int frequency,
DayCountBasis basis)
Returns the price, per $100 face value, of a security that pays periodic interest. |
static double |
pricedisc(GregorianCalendar settlement,
GregorianCalendar maturity,
double rate,
double redemption,
DayCountBasis basis)
Returns the price of a discount bond given the discount rate. |
static double |
pricemat(GregorianCalendar settlement,
GregorianCalendar maturity,
GregorianCalendar issue,
double rate,
double yield,
DayCountBasis basis)
Returns the price, per $100 face value, of a discount bond. |
static double |
priceyield(GregorianCalendar settlement,
GregorianCalendar maturity,
double yield,
double redemption,
DayCountBasis basis)
Returns the price of a discount bond given the yield. |
static double |
received(GregorianCalendar settlement,
GregorianCalendar maturity,
double investment,
double rate,
DayCountBasis basis)
Returns the amount one receives when a fully invested security reaches the maturity date. |
static double |
tbilleq(GregorianCalendar settlement,
GregorianCalendar maturity,
double rate)
Returns the bond-equivalent yield of a Treasury bill. |
static double |
tbillprice(GregorianCalendar settlement,
GregorianCalendar maturity,
double rate)
Returns the price, per $100 face value, of a Treasury bill. |
static double |
tbillyield(GregorianCalendar settlement,
GregorianCalendar maturity,
double price)
Returns the yield of a Treasury bill. |
static double |
yearfrac(GregorianCalendar start,
GregorianCalendar end,
DayCountBasis basis)
Returns the fraction of a year represented by the number of whole days between two dates. |
static double |
yield(GregorianCalendar settlement,
GregorianCalendar maturity,
double rate,
double price,
double redemption,
int frequency,
DayCountBasis basis)
Returns the yield of a security that pays periodic interest. |
static double |
yielddisc(GregorianCalendar settlement,
GregorianCalendar maturity,
double price,
double redemption,
DayCountBasis basis)
Returns the annual yield of a discount bond. |
static double |
yieldmat(GregorianCalendar settlement,
GregorianCalendar maturity,
GregorianCalendar issue,
double rate,
double price,
DayCountBasis basis)
Returns the annual yield of a security that pays interest at maturity. |
Methods inherited from class java.lang.Object |
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Field Detail |
public static final int ANNUAL
public static final int QUARTERLY
public static final int SEMIANNUAL
Constructor Detail |
public Bond()
Method Detail |
public static double accrint(GregorianCalendar issue, GregorianCalendar firstCoupon, GregorianCalendar settlement, double rate, double par, int frequency, DayCountBasis basis)
accrint
can be found by solving the following:
issue
- a GregorianCalendar
issue date of the
securityfirstCoupon
- a GregorianCalendar
date of the
security's first interest datesettlement
- a GregorianCalendar
settlement date of
the securityrate
- a double
which specifies the security's
annual coupon ratepar
- a double
which specifies the security's par
valuefrequency
- an int
which specifies the number of
coupon payments per year; ANNUAL
for
annual, SEMIANNUAL
for semiannual and
QUARTERLY
for quarterlybasis
- a DayCountBasis
object which contains the
type of day count basis to use. See DayCountBasis
.
double
which specifies the accrued interestpublic static double accrintm(GregorianCalendar issue, GregorianCalendar maturity, double rate, double par, DayCountBasis basis)
issue
- a GregorianCalendar
issue date of the
securitymaturity
- a GregorianCalendar
date of the
security's maturityrate
- a double
which specifies the security's
annual coupon ratepar
- a double
which specifies the security's par
valuebasis
- a DayCountBasis
object which contains the
type of day count basis to use. see
DayCountBasis
double
which specifies the accrued interestpublic static double amordegrc(double cost, GregorianCalendar issue, GregorianCalendar firstPeriod, double salvage, int period, double rate, DayCountBasis basis)
amorlinc
. However, in this method a depreciation
coefficient based on the asset life is applied during the evaluation of
the function.
cost
- a double
which specifies the cost of the
assetissue
- a GregorianCalendar
issue date of the assetfirstPeriod
- a GregorianCalendar
date of the end of
the first periodsalvage
- a double
which specifies the asset's
salvage value at the end of the life of the assetperiod
- an int
which specifies the periodrate
- a double
which specifies the rate of
depreciationbasis
- a DayCountBasis
object which contains the
type of day count basis to use. see
DayCountBasis
.
double
which specifies the depreciationpublic static double amorlinc(double cost, GregorianCalendar issue, GregorianCalendar firstPeriod, double salvage, int period, double rate, DayCountBasis basis)
amordegrc
, except that amordegrc
has a depreciation coefficient that is applied during the evaluation
that is based on the asset life.
cost
- a double
which specifes the cost of the
assetissue
- a GregorianCalendar
issue date of the assetfirstPeriod
- a GregorianCalendar
date of the end of
the first periodsalvage
- a double
which specifies the asset's
salvage value at the end of the life of the assetperiod
- an int
which specifies the periodrate
- a double
which specifies the rate of
depreciationbasis
- a DayCountBasis
object which contains the
type of day count basis to use. see
DayCountBasis
.
double
which specifies the depreciationpublic static double convexity(GregorianCalendar settlement, GregorianCalendar maturity, double coupon, double yield, int frequency, DayCountBasis basis)
coupnum
, and .
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securitycoupon
- a double
which specifies the security's
annual coupon rateyield
- a double
which specifires the security's
annual yieldfrequency
- an int
which specifies the number of
coupon payments per year; ANNUAL
for
annual, SEMIANNUAL
for semiannual and
QUARTERLY
for quarterlybasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
double
which specifies the convexity for a
securitypublic static int coupdaybs(GregorianCalendar settlement, GregorianCalendar maturity, int frequency, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityfrequency
- an int
which specifies the number of
coupon payments per year; ANNUAL
for
annual, SEMIANNUAL
for semiannual and
QUARTERLY
for quarterlybasis
- a DayCountBasis
object which contains
the type of day count basis to use. See
DayCountBasis
.
int
which specifies the number of days from the
beginning of the coupon period to the settlement datepublic static double coupdays(GregorianCalendar settlement, GregorianCalendar maturity, int frequency, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityfrequency
- an int
which specifies the number of
coupon payments per year; ANNUAL
for
annual, SEMIANNUAL
for semiannual and
QUARTERLY
for quarterlybasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
int
which specifies the number of days in the
coupon period that contains the settlement datepublic static int coupdaysnc(GregorianCalendar settlement, GregorianCalendar maturity, int frequency, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityfrequency
- an int
which specifies the number of
coupon payments per year; ANNUAL
for
annual, SEMIANNUAL
for semiannual and
QUARTERLY
for quarterlybasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
int
which specifies the number of days from the
settlement date to the next coupon datepublic static GregorianCalendar coupncd(GregorianCalendar settlement, GregorianCalendar maturity, int frequency, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityfrequency
- an int
which specifies the number of
coupon payments per year; ANNUAL
for
annual, SEMIANNUAL
for semiannual and
QUARTERLY
for quarterlybasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
int
which specifies the next coupon date after
the settlement datepublic static int coupnum(GregorianCalendar settlement, GregorianCalendar maturity, int frequency, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityfrequency
- an int
which specifies the number of
coupon payments per year; ANNUAL
for
annual, SEMIANNUAL
for semiannual and
QUARTERLY
for quarterlybasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
int
which specifies the number of coupons
payable between the settlement date and maturity datepublic static GregorianCalendar couppcd(GregorianCalendar settlement, GregorianCalendar maturity, int frequency, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityfrequency
- an int
which specifies the number of
coupon payments per year; ANNUAL
for
annual, SEMIANNUAL
for semiannual and
QUARTERLY
for quarterlybasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
int
which specifies the previous coupon date
before the settlement datepublic static double disc(GregorianCalendar settlement, GregorianCalendar maturity, double price, double redemption, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityprice
- a double
which specifies the security's
price per $100 face valueredemption
- a double
which specifies the security's
redemption value per $100 face valuebasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
double
which specifies the discount rate for a
securitypublic static double duration(GregorianCalendar settlement, GregorianCalendar maturity, double coupon, double yield, int frequency, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securitycoupon
- a double
which specifies the security's
annual coupon rateyield
- a double
which specifies the security's
annual yieldfrequency
- an int
which specifies the number of
coupon payments per year; ANNUAL
for
annual, SEMIANNUAL
for semiannual and
QUARTERLY
for quarterlybasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
double
which specifies the annual duration of a
security with periodic interest paymentspublic static double intrate(GregorianCalendar settlement, GregorianCalendar maturity, double investment, double redemption, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityinvestment
- a double
which specifies the amount
investedredemption
- a double
which specifies the amount to
be received at maturitybasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
double
which specifies the interest rate for a
fully invested securitypublic static double mduration(GregorianCalendar settlement, GregorianCalendar maturity, double coupon, double yield, int frequency, DayCountBasis basis)
mduration
.
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securitycoupon
- a double
which specifies the security's
annual coupon rateyield
- a double
which specifies the security's
annual yieldfrequency
- an int
which specifies the number of
coupon payments per year; ANNUAL
for
annual, SEMIANNUAL
for semiannual and
QUARTERLY
for quarterlybasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
double
which specifies the modified Macauley
duration for a security with an assumed par value of $100public static double price(GregorianCalendar settlement, GregorianCalendar maturity, double rate, double yield, double redemption, int frequency, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityrate
- a double
which specifies the security's
annual coupon rateyield
- a double
which specifies the security's
annual yieldredemption
- a double
which specifies the security's
redemption value per $100 face valuefrequency
- an int
which specifies the number of
coupon payments per year; ANNUAL
for
annual, SEMIANNUAL
for semiannual and
QUARTERLY
for quarterlybasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
double
which specifies the price per $100 face
value of a security that pays periodic interestpublic static double pricedisc(GregorianCalendar settlement, GregorianCalendar maturity, double rate, double redemption, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityrate
- a double
which specifies the security's
discount rateredemption
- a double
which specifies the security's
redemption value per $100 face valuebasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
double
which specifies the price per $100 face
value of a discounted securitypublic static double pricemat(GregorianCalendar settlement, GregorianCalendar maturity, GregorianCalendar issue, double rate, double yield, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityissue
- a GregorianCalendar
issue date of the
securityrate
- a double
which specifies the security's
interest rate at issue dateyield
- a double
which specifies the security's
annual yieldbasis
- a DayCountBasis
object which contains the
type of day count basis to use. see
DayCountBasis
double
which specifies the price per $100 face
value of a security that pays interest at maturitypublic static double priceyield(GregorianCalendar settlement, GregorianCalendar maturity, double yield, double redemption, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityyield
- a double
which specifies the security's
yieldredemption
- a double
which specifies the security's
redemption value per $100 face valuebasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
double
which specifies the price per $100 face
value of a discounted securitypublic static double received(GregorianCalendar settlement, GregorianCalendar maturity, double investment, double rate, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityinvestment
- a double
which specifies the amount
invested in the securityrate
- a double
which specifies the security's
rate at issue datebasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
double
which specifies the amount received at
maturity for a fully invested securitypublic static double tbilleq(GregorianCalendar settlement, GregorianCalendar maturity, double rate)
If
settlement
- a GregorianCalendar
settlement date of
the Treasury billmaturity
- a GregorianCalendar
maturity date of
the Treasury bill. The maturity cannot be more than
a year after the settlement.rate
- a double
which specifies the Treasury
bill's discount rate at issue date. The discount rate is
an annualized rate of return based on the par value of
the bills. The discount rate is calculated on a 360-day
basis (twelve 30-day months).
double
which specifies the bond-equivalent yield
for the Treasury bill. This is an annualized rate based on the
purchase price of the bills and reflects the actual yield to
maturity.public static double tbillprice(GregorianCalendar settlement, GregorianCalendar maturity, double rate)
settlement
- a GregorianCalendar
settlement date of
the Treasury billmaturity
- a GregorianCalendar
maturity date of
the Treasury bill. The maturity cannot be more than
a year after the settlementrate
- a double
which specifies the Treasury
bill's discount rate at issue date. The discount rate is
an annualized rate of return based on the par value of
the bills. The discount rate is calculated on a 360-day
basis (twelve 30-day months).
double
which specifies the price per $100 face
value for the Treasury billpublic static double tbillyield(GregorianCalendar settlement, GregorianCalendar maturity, double price)
settlement
- a GregorianCalendar
settlement date of
the Treasury billmaturity
- a GregorianCalendar
maturity date of
the Treasury bill. The maturity cannot be more than
a year after the settlement.price
- a double
which specifies the Treasury
bill's price per $100 face value
double
which specifies the yield for the Treasury
bill. This is an annualized rate based on the purchase price of
the bills and reflects the actual yield to maturity.public static double yearfrac(GregorianCalendar start, GregorianCalendar end, DayCountBasis basis)
start
to end
, equals
annual basis.
start
- a GregorianCalendar
start date of the
securityend
- a GregorianCalendar
end date of the securitybasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
double
which specifies the annual yield of a
security that pays interest at maturitypublic static double yield(GregorianCalendar settlement, GregorianCalendar maturity, double rate, double price, double redemption, int frequency, DayCountBasis basis)
If there is more than one coupon period use the following:
In the equation above, represents the number of days in the period from the settlement to the next coupon date. represents the number of days within the coupon period. represents the number of coupons payable in the period starting with the settlement date and ending with the redemption date. represents the number of days in the period starting with the beginning of the coupon period and ending with the settlement date.
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityrate
- a double
which specifies the security's
annual coupon rateprice
- a double
which specifies the security's
price per $100 face valueredemption
- a double
which specifies the security's
redemption value per $100 face valuefrequency
- an int
which specifies the number of
coupon payments per year; ANNUAL
for
annual, SEMIANNUAL
for semiannual and
QUARTERLY
for quarterlybasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
double
which specifies the yield of a security
that pays periodic interestpublic static double yielddisc(GregorianCalendar settlement, GregorianCalendar maturity, double price, double redemption, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityprice
- a double
which specifies the security's
price per $100 face valueredemption
- a double
which specifies the security's
redemption value per $100 face valuebasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
double
which specifies the annual yield for a
discounted securitypublic static double yieldmat(GregorianCalendar settlement, GregorianCalendar maturity, GregorianCalendar issue, double rate, double price, DayCountBasis basis)
settlement
- a GregorianCalendar
settlement date of
the securitymaturity
- a GregorianCalendar
maturity date of
the securityissue
- a GregorianCalendar
issue date of the
securityrate
- a double
which specifies the security's
interest rate at date of issueprice
- a double
the security's price per $100 face
valuebasis
- a DayCountBasis
object which contains the
type of day count basis to use. See
DayCountBasis
.
double
which specifies the annual yield of a
security that pays interest at maturity
|
JMSLTM Numerical Library 4.0 | ||||||||
PREV CLASS NEXT CLASS | FRAMES NO FRAMES | ||||||||
SUMMARY: NESTED | FIELD | CONSTR | METHOD | DETAIL: FIELD | CONSTR | METHOD |