Class BondSupport

Collection of bond support functionality. https://www.youtube.com/watch?v=cuzRSLc9Cy0

Inheritance
object
BondSupport
Inherited Members
object.Equals(object)
object.Equals(object, object)
object.GetHashCode()
object.GetType()
object.MemberwiseClone()
object.ReferenceEquals(object, object)
object.ToString()
Namespace: TuringTrader.SimulatorV2.Support
Assembly: TuringTrader.Simulator.dll
Syntax
public static class BondSupport

Methods

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BondValuation(double, double, double, double)

Calculate bond price, continuously compounded.

Declaration
public static double BondValuation(double faceValue, double coupon, double yield, double numYears)
Parameters
Type Name Description
double faceValue

bond's face (par) value
double coupon

annual coupon
double yield

annual yield
double numYears

years until maturity
Returns
Type Description
double

bond price
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BondValuation(double, double, double, int)

Calculate bond price, periodical payments.

Declaration
public static double BondValuation(double faceValue, double couponPerPeriod, double yieldPerPeriod, int numPeriods)
Parameters
Type Name Description
double faceValue

bond's face (par) value
double couponPerPeriod

coupon payment per period
double yieldPerPeriod

yield per period
int numPeriods

of periods until maturity
Returns
Type Description
double

bond price
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ConvertRatePeriodicy(double, int, int)

Converte rate from one periodicity to another.

Declaration
public static double ConvertRatePeriodicy(double ratePerPeriod, int numPeriodsPerYear, int newNumPeriodsPerYear)
Parameters
Type Name Description
double ratePerPeriod

current rate per period
int numPeriodsPerYear

current periods per year
int newNumPeriodsPerYear

new periods per year
Returns
Type Description
double

new rate per period
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ConvertRateToContinuous(double, int)

Convert periodically compounded rate to its continuously compounded equivalent with yieldPerPeriod = yieldPerYear / numPaymentsPerYear.

Declaration
public static double ConvertRateToContinuous(double ratePerPeriod, int numPeriodsPerYear)
Parameters
Type Name Description
double ratePerPeriod

periodically compounded yield per period
int numPeriodsPerYear

of payments per year
Returns
Type Description
double

continuously compounded annual yield
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ConvertRateToPeriodical(double, int)

Convert continuously compounded yield to its periodically compounded equivalent with yieldPerPeriod = yieldPerYear / numPaymentsPerYear.

Declaration
public static double ConvertRateToPeriodical(double rateContinuous, int numPeriodsPerYear)
Parameters
Type Name Description
double rateContinuous

continuously compounded annual yield
int numPeriodsPerYear

of payments per year
Returns
Type Description
double

periodically compounded yield per period
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FutureValue(double, double, double)

Calculate future value of present payment, continuously compounded.

Declaration
public static double FutureValue(double presentValue, double compoundPerYear, double numYears)
Parameters
Type Name Description
double presentValue

present value
double compoundPerYear

annual compound rate
double numYears

years until future date
Returns
Type Description
double
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FutureValue(double, double, int)

Calculate future value of present payment, periodical compounding.

Declaration
public static double FutureValue(double presentValue, double compoundPerPeriod, int numPeriods)
Parameters
Type Name Description
double presentValue

present value
double compoundPerPeriod

compound rate per period
int numPeriods

of periods until future date
Returns
Type Description
double
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PresentValue(double, double, double)

Calculate present value of future payment, continuously compounded.

Declaration
public static double PresentValue(double futureValue, double discountPerYear, double numYears)
Parameters
Type Name Description
double futureValue

future cash flow
double discountPerYear

annual discount rate
double numYears

years until payment
Returns
Type Description
double

present value of future cash flow
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PresentValue(double, double, int)

Calculate present value of future payment, periodical compounding.

Declaration
public static double PresentValue(double futureValue, double discountPerPeriod, int numPeriods)
Parameters
Type Name Description
double futureValue

future cash flow
double discountPerPeriod

discount rate per period
int numPeriods

of periods until payment
Returns
Type Description
double

present value of future cash flow