yieldcurve.java

一个期货的类, 可以自由拓展

package edu.nyu.cims.hw4;

import edu.nyu.cims.hw4.*;

import java.text.DecimalFormat;
import java.text.NumberFormat;
import java.util.*;
import java.util.Map;

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

	private static final String Iterator = null;
	LinkedList<Bond> BondList;
	TreeMap<Double,Double> YC = new TreeMap<Double,Double>() ;
	
	YieldCurve(LinkedList<Bond> BondList){
	     this.BondList = BondList;

	}
	
	public double getInterestRate(double time) throws Exception{
		
		double rate = this.YC.get(1.0);
		return Math.exp((rate/100)*time)-1;
	}
	
	public double getForwardRate(double t0, double t1) throws Exception{
		double r0 = this.YC.get(t0)/100;
		double r1 = this.YC.get(t1)/100;
	    /*double m = Math.pow(1+Math.pow(r1,t1),t1);
	    double s = Math.pow(1+Math.pow(r0,t1),t0);
	    double f = Math.pow((m/s),(1/(t1-t0)))-1;*/
		double m = r1*t1-r0*t0;
		double s = t1-t0;
		return m/s;
	}
	
	public double getDiscountFactor(double t) throws Exception{
		double rt = this.YC.get(t)/100;
		return Math.exp(rt*t*(-1));
	}
	
	
	public TreeMap<Double,Double> buildYieldCurve() throws Exception{
		
		for(Iterator it = BondList.iterator();it.hasNext();){

			final Bond b = (Bond)it.next();
		    IFunction f = new IFunction(){
			    public double value(double x) throws Exception {
				    return b.getFaceValue()- b.getPrice()* Math.exp(x*b.getMaturity());
			    }
			
		    };
		    
		    Solver solver = new Solver();
		    double result = solver.findZero(f, 0, 1, 1e-6);
		    
		    this.YC.put((Double)b.getMaturity(), (Double)(result * 100));
		    	    
		}
		return this.YC;
	}

    public void printYieldCurve() throws Exception{
    	System.out.print("Year | r\n");   	
    	NumberFormat fmt   =   DecimalFormat.getInstance();    
        fmt.setMaximumFractionDigits(2);  
    	for(Iterator it = this.YC.keySet().iterator(); it.hasNext();){
    		Double t = (Double)it.next();
    		System.out.print(t + "  | " + fmt.format(this.YC.get(t)) + "%\n");
    	}

    }
    
    
	
}