public double getMarketValue(
DateTime date,
ITermStructure termStructure) { // todo (cne) add the spread (due to the rating)
double marketValue = 0;
int i = 0;
DateTime tempDate =
date.plus(installmentPeriod); // todo (cne) check if the coupon occurs immediately of not
Duration tempDuration = new Duration(date, tempDate);
while (!isExpired(tempDate)) {
marketValue +=
coupon
/ Math.pow(
1
+ termStructure.getRiskFreeRate(
convertDurationToPercentageOfAYear(tempDuration)),
i);
i++;
tempDate = tempDate.plus(installmentPeriod);
tempDuration = tempDuration.plus(installmentPeriod);
// int iterationCounter = i;
}
// i = iterationCounter;
return quantity
* (marketValue
+ (coupon + getFaceValue())
/ Math.pow(
1
+ termStructure.getRiskFreeRate(
convertDurationToPercentageOfAYear(tempDuration)),
i));
}
// the following function is used when one wants to use the term structure as of now to calculate
// market values for future periods (i.e. forward values)
public double getMarketValue(
DateTime startDate, DateTime forwardDate, ITermStructure termStructure) {
int i = 0;
double marketValue = 0;
DateTime tempDate = forwardDate.plus(installmentPeriod);
Duration tempDuration = new Duration(startDate, tempDate);
while (!isExpired(tempDate)) {
marketValue +=
coupon
/ Math.pow(
1
+ termStructure.getRiskFreeRate(
convertDurationToPercentageOfAYear(tempDuration)),
i);
i++;
tempDate = tempDate.plus(installmentPeriod);
tempDuration = tempDuration.plus(installmentPeriod);
}
return quantity
* (marketValue
+ (coupon + getFaceValue())
/ Math.pow(
1
+ termStructure.getRiskFreeRate(
convertDurationToPercentageOfAYear(tempDuration)),
i));
}
public double getDurationDiscrete(DateTime date, ITermStructure termStructure) {
double numerator = 0;
double denominator = 0;
// int numberOfCashFlows = (int) installmentPeriod * numberOfPeriods(installmentPeriod, date,
// maturityDate);
int i = 0;
DateTime tempDate = date.plus(installmentPeriod);
Duration tempDuration = new Duration(date, tempDate);
while (!isExpired(tempDate)) {
numerator +=
i
* coupon
/ Math.pow(
1
+ termStructure.getRiskFreeRate(
convertDurationToPercentageOfAYear(tempDuration)),
i);
denominator +=
coupon
/ Math.pow(
1
+ termStructure.getRiskFreeRate(
convertDurationToPercentageOfAYear(tempDuration)),
i);
i++;
tempDate = tempDate.plus(installmentPeriod);
tempDuration = tempDuration.plus(installmentPeriod);
}
return (numerator
+ i
* (coupon + getFaceValue())
/ Math.pow(
1
+ termStructure.getRiskFreeRate(
convertDurationToPercentageOfAYear(tempDuration)),
i))
/ (denominator
+ (coupon + getFaceValue())
/ Math.pow(
1
+ termStructure.getRiskFreeRate(
convertDurationToPercentageOfAYear(tempDuration)),
i));
}
