ba237a9d91
Files correlati : Ricompilazione Demo : [ ] Commento : Aggiunti i sorgenti per Greenleaf Math Library (gfm.dll) git-svn-id: svn://10.65.10.50/trunk@10079 c028cbd2-c16b-5b4b-a496-9718f37d4682
123 lines
3.2 KiB
C
Executable File
123 lines
3.2 KiB
C
Executable File
/* DEC *BondYield(yield, price, coupon, ppy, mop, dap, yrp, mom, dam, yrm)
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*
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* ARGUMENT
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* DEC *price;
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* DEC *yield;
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* DEC *coupon;
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* int ppy;
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* int mop, dap, yrp;
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* int mom, dam, yrm;
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*
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* DESCRIPTION
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* Calculate the yield of a bond given the price, coupon rate
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* for receiving interest on a bond, number of payments per year, and the
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* puchase and maturity dates.
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*
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* SIDE EFFECTS
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* None.
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*
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* RETURNS
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* yield if successful, otherwise GM_NULL
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*
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* POSSIBLE ERRORS
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* GM_NULLPOINTER
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* GM_INIT
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* GM_ARGVAL
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*
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* AUTHOR
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* Jared Levy
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* Copyright (C) 1988-1990 Greenleaf Software Inc. All rights reserved.
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*
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* MODIFICATIONS
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*
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* Mark Nelson
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* Added one line to convert nominal interest rate to effective.
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*
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*/
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#include <stdio.h>
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#include "gmsystem.h"
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DEC *BondYield(yield, price, coupon, ppy, mop, dap, yrp, mom, dam, yrm)
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DEC *price, *yield, *coupon;
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int ppy, mop, dap, yrp, mom, dam, yrm;
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{
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DEC dtemp, *temp=&dtemp, dtemp2, *temp2=&dtemp2;
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DEC dnper, *nper=&dnper, dpmt, *pmt=&dpmt;
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DEC dpv, *pv=&dpv, dfv, *fv=&dfv, *p;
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DEC ddsc, *dsc=&ddsc, ddcs, *dcs=&ddcs;
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int ndays, npay;
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_MacStart(GM_BONDYLD);
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_MacInVarD(coupon);
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_MacInVarD(price);
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_MacOutVarD(yield);
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if (ppy<1||ppy>12) {
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_MacErr(GM_ARGVAL);
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_MacRet(GM_NULL);
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}
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/* calculate # of periods, including partial period */
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ndays = DaysBetweenDates360(mom, dam, yrm, mop, dap, yrp);
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if (ndays < 0) {
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if (ndays!=GM_ARGVAL&&ndays!=GM_OVERFLOW)
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_MacErr(GM_ARGVAL);
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_MacRet(GM_NULL);
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}
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/* calculate number of interest payments remaining */
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(void) ConvLongToDecimal(temp, (long)ppy * (long) ndays);
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(void) ConvLongToDecimal(temp2, 360L);
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(void) _DivDec80Bit(nper, temp, temp2);
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(void) _TruncateDec80Bit(temp, nper, 0);
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npay=temp->dc.sl[0];
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(void) _SubDec80Bit(dsc, nper, temp); /* days purchase - next int */
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(void) _SubDec80Bit(dcs, &decOne, dsc); /* days last int - purchass */
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/* calculate coupon rate per period */
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(void) ConvLongToDecimal(temp2, (long)ppy);
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(void) _DivDec80Bit(pmt, coupon, temp2);
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(void) _AddDec80Bit(fv, &decHundred, pmt);
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(void) _MulDec80Bit(temp, pmt, dcs);
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(void) _AddDec80Bit(pv, price, temp);
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if (CompareDecimal(nper, &decOne)<=0) { /* < 1 period to maturity */
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_DivDec80Bit(temp, fv, pv);
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_SubDec80Bit(temp, temp, &decOne);
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_DivDec80Bit(yield, temp, dsc);
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_MulDec80Bit(yield, yield, &decHundred);
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_ScaleDec80Bit(yield, yield, wIntrPrec);
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}
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else { /* > 1 period to maturity */
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_MacDChgs(pv);
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p = _InterestAux(3, npay, dsc, yield, pv, pmt, fv, GM_BEGIN);
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if (!p)
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_MacRet(GM_NULL);
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}
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/*
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* At this point, yield contains the nominal interest rate for the bond.
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* This needs to be converted to the effective interest rate. Rather than
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* call the NominalToEffective routine, I import most of the code.
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*/
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yield->dc.id += 2;
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_AddDec80Bit( yield, yield, &decOne );
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if (_IntPwrDec80Bit( yield, yield, ppy ) != GM_SUCCESS ) {
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_MacErr( GM_ARGVAL );
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_MacRet( GM_NULL );
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}
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_SubDec80Bit( yield, yield, &decOne );
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if (yield->dc.id >= GM_MINID+2)
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yield->dc.id -= 2;
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else
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(void) _MulUnsArrByPwrOf10(yield->dc.sl, 5, 2);
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if (_Sq5UnsTo4Uns(yield)!=GM_SUCCESS) {
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_MacErr(GM_ARGVAL);
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_MacRet(GM_NULL);
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}
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_MacRet(yield);
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}
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