Class: Istox::Quant::Bond

Inherits:
Object
  • Object
show all
Defined in:
lib/istox/quant/bond.rb

Constant Summary collapse

DEFAULT_APPROXIMATION_ERROR = 
0.00001

Instance Method Summary collapse

Constructor Details

#initialize(coupon: nil, maturity_date: nil, start_date: nil, coupon_frequency: nil, coupon_payment_dates: nil, face_value: 100, days_of_year: 365) ⇒ Bond

Returns a new instance of Bond.



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# File 'lib/istox/quant/bond.rb', line 15

def initialize(coupon: nil, maturity_date: nil, start_date: nil, coupon_frequency: nil, coupon_payment_dates: nil, face_value: 100, days_of_year: 365)
  raise "Invalid coupon #{coupon}" if (coupon.nil? || !is_number?(coupon)) || coupon < 0
  raise "Invalid maturity_date #{maturity_date}" if (maturity_date.nil? || maturity_date.methods.include?("strftime"))
  raise "Invalid start_date #{start_date}" if (start_date.nil? || start_date.methods.include?("strftime"))
  raise "Invalid coupon_frequency #{coupon_frequency}" if (coupon_frequency.nil? || !coupon_frequency.is_a?(Integer) || coupon_frequency < 0)
  raise "Invalid coupon_payment_dates #{coupon_payment_dates}" if (coupon_payment_dates.nil? || (coupon_payment_dates.count == 0 && coupon_frequency != 0) || coupon_payment_dates.any? { |date| date > maturity_date.to_date })
  raise "Invalid days_of_year #{days_of_year}" if (days_of_year != 365 && days_of_year != 360)
  raise "start_date is not before maturity_date" if start_date>=maturity_date

  @coupon               = coupon.to_d
  @maturity_date        = maturity_date.to_date
  @coupon_frequency     = coupon_frequency.to_i # if this is 0, it means zero coupon
  @days_of_year         = days_of_year.to_d
  @face_value           = face_value.to_d
  @coupon_payment_dates = coupon_payment_dates.map(&:to_date).uniq.sort
  # note here we work out the start date based on maturity date and nunber of years
  @start_date           = start_date.to_date

  @pay_accrued_interest = false
  @coupon_payment_dates_include_accrued_interest = false
  if !is_zero_coupon?
    if @coupon_payment_dates.include?(@maturity_date)
      # maturity date is a coupon payment date, check if this should
      # be accrued interest or last normal coupon
      if @coupon_payment_dates.count > 1
        previous_coupon_date = @coupon_payment_dates[@coupon_payment_dates.count-2]
        next_coupon_date = add_month(previous_coupon_date, -(12/@coupon_frequency).to_i)
        # If maturity date is a normal coupon payment, the theorecical next_coupon_date
        # calculated from previous coupon payment should be the maturity date, to be safe,
        # we allow 3 days difference
        if (next_coupon_date - @maturity_date).abs <= 3
          @pay_accrued_interest = false
          @coupon_payment_dates_include_accrued_interest = false
        else
          @pay_accrued_interest = true
          @coupon_payment_dates_include_accrued_interest = true
        end
      else
        # maturity date is only coupon payment date, shouldn't be accrued interest!
        @pay_accrued_interest = false
        @coupon_payment_dates_include_accrued_interest = false
      end
    else
      # maturity date is not included in coupon payment date, consider 
      # this needs to pay accrued interest
      @pay_accrued_interest = true
      @coupon_payment_dates_include_accrued_interest = false
    end
  end

  log.info "Bond info: start_date=#{@start_date} maturity_date=#{@maturity_date} days_of_years=#{days_of_year} coupon=#{@coupon} coupon_frequency=#{coupon_frequency} face_value=#{@face_value} coupon_payment_dates=#{@coupon_payment_dates} pay_accrued_interest=#{@pay_accrued_interest} coupon_payment_dates_include_accrued_interest=#{@coupon_payment_dates_include_accrued_interest}"
end

Instance Method Details

#price(ytm, date, ex_coupon_date: nil, fees: 0) ⇒ Object 



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# File 'lib/istox/quant/bond.rb', line 68

def price(ytm, date, ex_coupon_date: nil, fees: 0)
  irr = ytm
  irr = ytm/@coupon_frequency if !is_zero_coupon?
  price = price_for_irr(irr, date, ex_coupon_date: ex_coupon_date, fees: fees)
  price
end

#ytm(date, ex_coupon_date: nil, price: 100, fees: 0, approximation_error: DEFAULT_APPROXIMATION_ERROR) ⇒ Object 



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# File 'lib/istox/quant/bond.rb', line 75

def ytm(date, ex_coupon_date: nil, price: 100, fees: 0, approximation_error: DEFAULT_APPROXIMATION_ERROR)
  if !is_zero_coupon? && price == @face_value && date <= @start_date
    # for non zero coupon bond, if price is face value and date is at or before start date
    # YTM is simply the coupon rate
    return @coupon
  end
  ytm_down, ytm_up = ytm_limits(price, date, ex_coupon_date: ex_coupon_date, fees: fees)
  approximate_ytm(ytm_down, ytm_up, price, date, ex_coupon_date: ex_coupon_date, fees: fees, approximation_error: approximation_error)
end