| org.unizone.finance.interest | |
org.unizone.0.6130
Instance of Type
Inheriting from Interest
A Bond is a finance instrument for fixed income. It may or may not have a coupon.
| Type data | Value |
| org.uninode.Type.displayPattern | {att:org.unizone.finance.Ticker.tickerId} |
| org.unizone.source.Source.valueAttribute | org.unizone.finance.Index.last |
| org.uninode.Listable.resources | Reference[org.uninode.Listable.resources] of org.unizone.finance.interest.Bond |
| Attribute summary | Defined in | Uninode® Id | Properties | Default | |
| Reference[org.uninode.Listable.resources] | resources | Listable | org.uninode.0.2001 | type | |
| String | toString This is the display string. | Node | org.uninode.0.102 | ||
| Type | type The type of an object determines the behaviour and attributes of the object. | Node | org.uninode.0.101 | ||
| String | uri | Node | org.uninode.0.103 | ||
| Ticker | underlying This is the index that determines the theoretical price of the derivative. | Derivative | org.unizone.0.5031 | essential | |
| Real | closeMidnight This is the yesterday closing index. | Index | org.unizone.0.5002 | ||
| Real | high | Index | org.unizone.0.5003 | ||
| Real | last This is the index value. | Index | org.unizone.0.5001 | ||
| Real | low | Index | org.unizone.0.5004 | ||
| TickerLeaf | product | Ticker | org.unizone.0.10765 | ||
| String | tickerId This is the id of a ticker. The selection attribute determines the current selection from all products with the same tickerLeafId as this tickerId. | Ticker | org.unizone.0.5121 | ||
| DateTime | maturity This is the date when the debt may be collected. | Debt | org.unizone.0.5401 | ||
| String | displayName The display name is the name that is shown in lists, displays and graphs. | Source | org.unizone.0.4001 | essential | |
| Attribute | valueAttribute The value attribute is used for determining the default value that should be used for displaying this source in a graph. | Source | org.unizone.0.4011 | type inheritValue | |
| Signature | valueType The value type determines which axes should be used in graphs. | Source | org.unizone.0.4002 | inheritValue | |
| Method summary | Defined in | Overrides | Properties | |
| void | activate | Listable | ||
| void | checkRange | Source | ||
| void | collectSteps(List steps, Dimension dimensionType) | Source | ||
| void | collectValues(List steps, List values, Type dimensionType) | Source | ||
| void | designEditor(WidgetWorkspace ws) | Listable | ||
| Real | evaluate | Source | ||
| void | generateScript(ScriptGenerationInfo info) | Source | ScriptGenerator | |
| Boolean | isResourceOf(Listable listable, Signature aspect) | Mixable | type | |
| Listable | mixOn(Mixable mix) | Mixable | ||
| Listable | mixWith(Mixable mix) | Mixable | ||
| String | resourceString | Listable | introspection | |
| Real | timeseries(Signature aspect) | Source | ||
| Signature | valueType | Source | introspection | |
| void | com.nodelab.java.source.Activate | Source | Listable | |
| Listable | com.nodelab.java.source.MixWithMi | Source | Mixable | |
| Script summary |
org.unizone.0.8535/*
constructor() {
InstrumentInterest:();
}
Array[Symbol] defaultAspects() {
#(#bid, #maturity, #coupon);
}
class Real dirtyPriceGreek(Time settlementDate, Time maturity, Real rate, Real coupon) {
if (rate == null) return null;
Time couponDate = maturity;
if (maturity < settlementDate) return null;
Real t = couponDate.subtractDate360(settlementDate) / 360.0;
Real price = 100 / (1 + rate / 100) ^ t;
while ((t = couponDate.subtractDate360(settlementDate) / 360.0) >= 0) {
if (t < 1) t = couponDate.subtractDate(settlementDate) / 365.0;
price = price + coupon / (1 + rate / 100) ^ t;
couponDate = couponDate.addYears(-1);
}
price;
}
Real dirtyPriceGreek() {
dirtyPriceGreek(
Time{external cond_history}.settlement(settlementDays()),
Time{aspectValue(#maturity)},
aspectReal(#value),
aspectReal(#coupon))
}
class Real cleanPriceQuote(Time settlementDate, Time maturity, Real rate, Real coupon) {
Real price = dirtyPriceGreek(settlementDate, maturity, rate, coupon);
if (price == null) return null;
Time couponDate = maturity;
Real t;
while ((t = couponDate.subtractDate360(settlementDate) / 360.0) >= 1)
couponDate = couponDate.addYears(-1);
return ((price - (coupon * (1 - t))) * 1000).round / 1000.0;
}
class Real dirtyPriceQuote(Time settlementDate, Time maturity, Real rate, Real coupon) {
Real clean = cleanPriceQuote(settlementDate, maturity, rate, coupon);
if (clean == null) return null;
Time couponDate = maturity;
Real t;
while ((t = couponDate.subtractDate360(settlementDate) / 360.0) >= 1)
couponDate = couponDate.addYears(-1);
return ((clean + coupon * (1 - t)) * 1000000).round / 1000000.0;
}
class Real delta(Time settlementDate, Time maturity, Real rate, Real coupon) {
Real step = 0.01;
5000 *
(dirtyPriceQuote(settlementDate, maturity, rate - step, coupon) -
dirtyPriceQuote(settlementDate, maturity, rate + step, coupon));
}
class Real convexity(Time settlementDate, Time maturity, Real rate, Real coupon) {
Real step = 0.01;
Real tmp =
dirtyPriceQuote(settlementDate, maturity, rate + step, coupon) +
dirtyPriceQuote(settlementDate, maturity, rate - step, coupon) -
2 * dirtyPriceQuote(settlementDate, maturity, rate, coupon);
tmp / (step ^ 2);
}
class Real duration(Time settlementDate, Time maturity, Real rate, Real coupon) {
if (rate == null) return null;
Time couponDate = maturity;
if (maturity < settlementDate) return null;
Real t = couponDate.subtractDate360(settlementDate) / 360.0;
Real price = 100 * t / (1 + rate / 100) ^ t;
while ((t = couponDate.subtractDate360(settlementDate) / 360.0) >= 0) {
if (t < 1) t = couponDate.subtractDate(settlementDate) / 365.0;
price = price + coupon * t / (1 + rate / 100) ^ t;
couponDate = couponDate.addYears(-1);
}
price / dirtyPriceGreek(settlementDate, maturity, rate, coupon);
}
class Real modDuration(Time settlementDate, Time maturity, Real rate, Real coupon) {
duration(settlementDate, maturity, rate, coupon) / (1 + rate / 100)
}
*/
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