java實現excel價格，收益​​函數

Question

想知道是否有人可以將我指向一個開源java定量庫，它提供Excel Price和Yield函數的實現。

感謝， Tapasvi

Answer 1

Excel PRICE函數是貼現現金流的簡單總和，假設貼現率爲零的貼現曲線打折。這裏記錄：Excel Help/PRICE。

我寫了一個小的Java版本的函數，我在下面發表。 Java版本只需要一段「時間到期」，並且不支持不同的日期計算，而Excel PRICE函數則需要一個結算日期和到期日期，並支持不同的日計算。但是，您可以通過轉換優惠券來爲不同的日計算歸因。還要注意的是，Excel函數在優惠券前有一個硬編碼的奇怪的100。

基準兩個實施的Excel工作表可以是downloaded here。該表格需要"Obba"。

Excel YIELD函數只是應用於PRICE函數的牛頓求解器，請參見Excel Help/YIELD。牛頓求解器的Java實現可以在finmath.net找到。

/* 
* Created on 07.04.2012 
*/ 

/** 
* This class implements some functions as static class methods. 
* 
* (c) Copyright 2012 Christian Fries. 
* 
* @author Christian Fries 
* @version 1.0 
*/ 
public class SpreadsheetFunctions { 

    /** 
    * Re-implementation of the Excel PRICE function (a rather primitive bond price formula). 
    * The reimplementation is not exact, because this function does not consider daycount conventions. 
    * We assume we have (int)timeToMaturity/frequency future periods and the running period has 
    * an accrual period of timeToMaturity - frequency * ((int)timeToMaturity/frequency). 
    * 
    * @param timeToMaturity The time to maturity. 
    * @param coupon Coupon payment. 
    * @param yield Yield (discount factor, using frequency: 1/(1 + yield/frequency). 
    * @param redemption Redemption (notional repayment). 
    * @param frequency Frequency (1,2,4). 
    * @return price Clean price. 
    */ 
    public static double price(
      double timeToMaturity, 
      double coupon, 
      double yield, 
      double redemption, 
      int frequency) 
    { 
     double price = 0.0; 

     if(timeToMaturity > 0) { 
      price += redemption; 
     } 

     double paymentTime = timeToMaturity; 
     while(paymentTime > 0) { 
      price += coupon/frequency; 

      // Discount back 
      price = price/(1.0 + yield/frequency); 
      paymentTime -= 1.0/frequency; 
     } 

     // Accrue running period 
     double accrualPeriod = 0.0-paymentTime; // amount of running period which lies in the past (before settlement) 
     price *= Math.pow(1.0 + yield/frequency, accrualPeriod*frequency); 
     price -= coupon/frequency * accrualPeriod*frequency; 

     return price; 
    } 
} 

Answer 2

你可能想看看QuantLib。這是一個定量金融的免費/開源庫。