bond.java

一个期货的类, 可以自由拓展

package edu.nyu.cims.hw4;

import java.util.*;
import edu.nyu.cims.hw4.*;

/**
 * 
 * @author yun xiang
 *
 */
public class Bond {

	double price;
	Coupon coupon;
	double maturity;
	double faceValue;
	Map<Double, Double> cashFlow;
	
	Bond(){
	     //this.price = price;
	     //this.coupon = coupon;
	     //this.maturity = maturity;
	     //this.faceValue = faceValue;
	}
	
	public double getPrice(){
		return this.price;
	}
	
	public Coupon getCoupon(){
		return this.coupon;
	}
	
	public double getMaturity(){
		return this.maturity;
	}
	
	public double getFaceValue(){
		return this.faceValue;
	}
	
	
	public Map<Double,Double> getCashFlow(){
		return this.cashFlow;
	}
	
	public double getFairPrice(TreeMap<Double,Double> yc, Bond b){
		
		Coupon coupon = b.getCoupon();
		double faceValue = b.getFaceValue();
		double maturity = b.getMaturity();

    	double i = coupon.getPayPeriod();
    	double price = 0;
    	while(i<maturity){
    		double rate = (yc.get(i))/100;
    		price += (faceValue * coupon.getRate())/Math.exp(rate * i);
    		i+=coupon.getPayPeriod();
    	}   	
    	double rate = (yc.get(maturity))/100;
    	price += (faceValue + faceValue * coupon.getRate())/Math.exp(rate * maturity);
    	return price;
		
	}
	
	public double getYTM(final TreeMap<Double,Double> yc, final Bond b) throws Exception{
		final double price = b.getPrice();
		final double faceValue = b.getFaceValue();
		final Coupon coupon = b.getCoupon();
		final double maturity = b.getMaturity();
    	
    	
		IFunction f = new IFunction(){
			
		    public double value(double x) throws Exception {
		    	double i = coupon.getPayPeriod();
		    	double p = 0;
		    	while(i<maturity){
		    		p += (faceValue * coupon.getRate())/Math.exp(x * i);
		    		i += coupon.getPayPeriod();
		    	} 
		    	p += (faceValue * ( coupon.getRate()+1 ) )/Math.exp(x * maturity);
			    return price-p;
		    }
		
	    };
	    
	    Solver solver = new Solver();
	    double YTM = solver.findZero(f, 0, 1, 1e-6);
    	return YTM;
    }
	
	public void setPrice(double price){
		this.price = price;
	}
	
	public void setFaceValue(double faceValue){
		this.faceValue = faceValue;
	}
	
	public void setCoupon(Coupon coupon){
		this.coupon = coupon;
	}
	
	public void setMaturity(double maturity){
		this.maturity = maturity;
	}
	

}