本文整理汇总了C#中Bond.notional方法的典型用法代码示例。如果您正苦于以下问题：C# Bond.notional方法的具体用法？C# Bond.notional怎么用？C# Bond.notional使用的例子？那么恭喜您, 这里精选的方法代码示例或许可以为您提供帮助。您也可以进一步了解该方法所在类Bond的用法示例。
在下文中一共展示了Bond.notional方法的9个代码示例，这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞，您的评价将有助于系统推荐出更棒的C#代码示例。
示例1: isTradable
public static bool isTradable(Bond bond, Date settlementDate = null)
{
if (settlementDate == null)
settlementDate = bond.settlementDate();
return bond.notional(settlementDate) != 0.0;
}示例2: AssetSwap
public AssetSwap(bool payBondCoupon,
Bond bond,
double bondCleanPrice,
IborIndex iborIndex,
double spread,
Schedule floatSchedule = null,
DayCounter floatingDayCount = null,
bool parAssetSwap = true)
: base(2)
{
bond_ = bond;
bondCleanPrice_ = bondCleanPrice;
nonParRepayment_ = 100;
spread_ = spread;
parSwap_ = parAssetSwap;
Schedule schedule = floatSchedule;
if (floatSchedule == null)
schedule = new Schedule(bond_.settlementDate(),
bond_.maturityDate(),
iborIndex.tenor(),
iborIndex.fixingCalendar(),
iborIndex.businessDayConvention(),
iborIndex.businessDayConvention(),
DateGeneration.Rule.Backward,
false); // endOfMonth
// the following might become an input parameter
BusinessDayConvention paymentAdjustment = BusinessDayConvention.Following;
Date finalDate = schedule.calendar().adjust(schedule.endDate(), paymentAdjustment);
Date adjBondMaturityDate = schedule.calendar().adjust(bond_.maturityDate(), paymentAdjustment);
Utils.QL_REQUIRE( finalDate == adjBondMaturityDate, () =>
"adjusted schedule end date (" +
finalDate +
") must be equal to adjusted bond maturity date (" +
adjBondMaturityDate + ")");
// bondCleanPrice must be the (forward) clean price
// at the floating schedule start date
upfrontDate_ = schedule.startDate();
double dirtyPrice = bondCleanPrice_ +
bond_.accruedAmount(upfrontDate_);
double notional = bond_.notional(upfrontDate_);
/* In the market asset swap, the bond is purchased in return for
payment of the full price. The notional of the floating leg is
then scaled by the full price. */
if (!parSwap_)
notional *= dirtyPrice / 100.0;
if (floatingDayCount == null)
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
else
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withPaymentDayCounter(floatingDayCount)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
foreach (CashFlow c in legs_[1])
c.registerWith(update);
List<CashFlow> bondLeg = bond_.cashflows();
foreach (CashFlow c in bondLeg)
{
// whatever might be the choice for the discounting engine
// bond flows on upfrontDate_ must be discarded
bool upfrontDateBondFlows = false;
if (!(c.hasOccurred(upfrontDate_, upfrontDateBondFlows)))
legs_[0].Add(c);
}
Utils.QL_REQUIRE( !legs_[0].empty(), () => "empty bond leg to start with" );
// special flows
if (parSwap_)
{
// upfront on the floating leg
double upfront = (dirtyPrice - 100.0) / 100.0 * notional;
CashFlow upfrontCashFlow = new SimpleCashFlow(upfront, upfrontDate_);
legs_[1].Insert(0, upfrontCashFlow);
// backpayment on the floating leg
// (accounts for non-par redemption, if any)
double backPayment = notional;
CashFlow backPaymentCashFlow = new SimpleCashFlow(backPayment, finalDate);
legs_[1].Add(backPaymentCashFlow);
}
else
{
// final notional exchange
CashFlow finalCashFlow = new SimpleCashFlow(notional, finalDate);
legs_[1].Add(finalCashFlow);
}
Utils.QL_REQUIRE( !legs_[0].empty(), () => "empty bond leg" );
//.........这里部分代码省略.........
示例3: zSpread
public static double zSpread(Bond bond, double cleanPrice, YieldTermStructure discount, DayCounter dayCounter, Compounding compounding,
Frequency frequency, Date settlementDate = null, double accuracy = 1.0e-10, int maxIterations = 100,
double guess = 0.0)
{
if (settlementDate == null)
settlementDate = bond.settlementDate();
Utils.QL_REQUIRE( BondFunctions.isTradable( bond, settlementDate ), () =>
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")");
double dirtyPrice = cleanPrice + bond.accruedAmount(settlementDate);
dirtyPrice /= 100.0 / bond.notional(settlementDate);
return CashFlows.zSpread(bond.cashflows(),
discount,
dirtyPrice,
dayCounter, compounding, frequency,
false, settlementDate, settlementDate,
accuracy, maxIterations, guess);
}示例4: bps
public static double bps(Bond bond, InterestRate yield, Date settlementDate = null)
{
if (settlementDate == null)
settlementDate = bond.settlementDate();
Utils.QL_REQUIRE( BondFunctions.isTradable( bond, settlementDate ), () =>
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")");
return CashFlows.bps(bond.cashflows(), yield, false, settlementDate) *
100.0 / bond.notional(settlementDate);
}示例5: cleanPrice
public static double cleanPrice(Bond bond, YieldTermStructure discount, double zSpread, DayCounter dayCounter, Compounding compounding,
Frequency frequency, Date settlementDate = null)
{
if (settlementDate == null)
settlementDate = bond.settlementDate();
Utils.QL_REQUIRE( BondFunctions.isTradable( bond, settlementDate ), () =>
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")");
double dirtyPrice = CashFlows.npv(bond.cashflows(), discount, zSpread, dayCounter, compounding, frequency, false, settlementDate) *
100.0 / bond.notional(settlementDate);
return dirtyPrice - bond.accruedAmount(settlementDate);
}示例6: atmRate
public static double atmRate(Bond bond, YieldTermStructure discountCurve, Date settlementDate = null, double? cleanPrice = null)
{
if (settlementDate == null)
settlementDate = bond.settlementDate();
Utils.QL_REQUIRE( BondFunctions.isTradable( bond, settlementDate ), () =>
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")");
double? dirtyPrice = cleanPrice == null ? null : cleanPrice + bond.accruedAmount(settlementDate);
double currentNotional = bond.notional(settlementDate);
double? npv = dirtyPrice / 100.0 * currentNotional;
return CashFlows.atmRate(bond.cashflows(), discountCurve, false, settlementDate, settlementDate, npv);
}示例7: accruedAmount
public static double accruedAmount(Bond bond, Date settlementDate = null)
{
if (settlementDate == null)
settlementDate = bond.settlementDate();
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, settlementDate),
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")");
return CashFlows.accruedAmount(bond.cashflows(), false, settlementDate) * 100.0 / bond.notional(settlementDate);
}示例8: cleanPrice
public static double cleanPrice(Bond bond, InterestRate yield, Date settlementDate = null)
{
if (settlementDate == null)
settlementDate = bond.settlementDate();
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, settlementDate),
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")");
double dirtyPrice = CashFlows.npv(bond.cashflows(), yield, false, settlementDate) *
100.0 / bond.notional(settlementDate);
return dirtyPrice - bond.accruedAmount(settlementDate);
}示例9: bps
public static double bps(Bond bond, YieldTermStructure discountCurve, Date settlementDate = null)
{
if (settlementDate == null)
settlementDate = bond.settlementDate();
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, settlementDate),
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")");
return CashFlows.bps(bond.cashflows(), discountCurve, false, settlementDate) * 100.0 / bond.notional(settlementDate);
}