campo-sirio/gfm/bondprc.c

/* DEC *BondPrice(price, acc,yield, coupon, ppy, mop, dap, yrp,	mom, dam, yrm)
 *
 * ARGUMENT
 *	DEC	*price;
 *	DEC	*yield;
 *	DEC	*coupon;
 *	int	ppy;
 *	int	mop, dap, yrp;
 *	int	mom, dam, yrm;
 *
 * DESCRIPTION
 *	Calculate the price of a bond given the	desired	yield, coupon rate
 *  for	receiving interest on a	bond, number of	payments per year, and the
 *  puchase and	maturity dates.
 *
 * SIDE	EFFECTS
 *	None.
 *
 * RETURNS
 *	price if successful, otherwise GM_NULL
 *
 * POSSIBLE ERRORS
 *	GM_NULLPOINTER
 *	GM_INIT
 *	GM_ARGVAL
 *
 * AUTHOR
 *  Jared Levy
 *   Copyright (C) 1988-1990 Greenleaf Software	Inc.  All rights reserved.
 *
 * MODIFICATIONS
 *
 * Mark	Nelson
 *  Fixed bond pricing to accurately convert effective to nominal before
 *  making calculations.
 *
 */

#include <stdio.h>
#include "gmsystem.h"
DEC	*BondPrice(price,acc,yield,coupon, ppy,	mop, dap, yrp, mom, dam, yrm)
DEC	*price,	*yield,	*coupon, *acc;
int	ppy, mop, dap, yrp, mom, dam, yrm;
{
	DEC	dtemp, *temp=&dtemp, dtemp2, *temp2=&dtemp2;
	DEC	dnper, *nper=&dnper, dpmt, *pmt=&dpmt;
	DEC	dnyield, *nyield=&dnyield, dfvopi, *fvopi=&dfvopi;
	DEC	ddsc, *dsc=&ddsc, ddcs,	*dcs=&ddcs;
	DEC	dopi, *opi=&dopi, dopinm1, *opinm1=&dopinm1;
	int	ndays, npay;

	_MacStart(GM_BONDPRC);

	_MacInVarD(yield);
	_MacInVarD(coupon);
	_MacOutVarD(price);

	if (ppy<1||ppy>12||CompareDecimal(yield,&decMinusHundred)<=0)  {
		_MacErr(GM_ARGVAL);
		_MacRet(GM_NULL);
	}

	/* calculate # of periods, including partial period */
	ndays =	DaysBetweenDates360(mom, dam, yrm, mop,	dap, yrp);
	if (ndays < 0)	{
		if (ndays!=GM_ARGVAL&&ndays!=GM_OVERFLOW)
			_MacErr(GM_ARGVAL);
		_MacRet(GM_NULL);
	}

	/* calculate number of interest	payments remaining */
	(void) ConvLongToDecimal(temp, (long)ppy * (long) ndays);
	(void) ConvLongToDecimal(temp2,	 360L);
	(void) _DivDec80Bit(nper, temp,	temp2);

	(void) _TruncateDec80Bit(temp, nper, 0);
	npay=temp->dc.sl[0]+1;		/* int number of interest payments */
	(void) _SubDec80Bit(dsc, nper, temp);	/* days	purchase - next	int */
	(void) _SubDec80Bit(dcs, &decOne, dsc);	/* days	last int - purchass */
	if (_MacIsDecZ(dsc))
		_MacDZero(dcs);

	/* calculate coupon rate per period */
	(void) ConvLongToDecimal(temp2,	(long)ppy);
	(void) _DivDec80Bit(pmt, coupon, temp2);

	/* calculate yield per period */
	_MacDCopy( nyield, yield );
	nyield->dc.id += 2;
	_AddDec80Bit( nyield, nyield, &decOne );
	_LnDec80Bit( nyield, nyield);
	_DivDec80Bit( nyield, nyield, temp2 );
	_ExpDec80Bit( nyield, nyield );
	_SubDec80Bit( nyield, nyield, &decOne );

	if (CompareDecimal(nper, &decOne)<=0)  {  /* < 1 period	to maturity */
		(void) _AddDec80Bit(temp, &decHundred, pmt);
		(void) _MulDec80Bit(temp2, dsc,	nyield);
		(void) _AddDec80Bit(temp2, temp2, &decOne);
		(void) _DivDec80Bit(price, temp, temp2);
	}

	else	{				/* > 1 period to maturity */
		(void) _AddDec80Bit(opi, nyield, &decOne);
		(void) _IntPwrDec80Bit(opinm1, opi, -(npay-1));
		(void) _MulDec80Bit(fvopi, &decHundred,	opinm1);

		if (_MacIsDecZ(nyield))
			ConvLongToDecimal(temp,	(long) npay);
		else  {
			(void) _SubDec80Bit(temp, opi, opinm1);
			(void) _DivDec80Bit(temp, temp,	nyield);
		}

		(void) _MulDec80Bit(temp, temp,	pmt);
		(void) _AddDec80Bit(temp, temp,	fvopi);
		_MacDChgs(dsc);
		(void) PowerDecimal(temp2, opi,	dsc);
		(void) _MulDec80Bit(price, temp, temp2);
	}

	(void) _MulDec80Bit(acc, pmt, dcs);
	(void) _Sq5UnsTo4Uns(acc);
	if (_MacIsDecZ(dsc))
		(void) _SubDec80Bit(price, price, pmt);
	else
		(void) _SubDec80Bit(price, price, acc);
	(void) _Sq5UnsTo4Uns(price);

	_MacRet(price);
}