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<?php |
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namespace FinanCalc\Calculators { |
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use FinanCalc\Interfaces\Calculator\BondCalculatorAbstract; |
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use FinanCalc\Utils\Lambdas; |
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use FinanCalc\Utils\MathFuncs; |
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/** |
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* Class BondDurationCalculator |
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* @package FinanCalc\Calculators |
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*/ |
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class BondDurationCalculator extends BondCalculatorAbstract |
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{ |
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// annual yield of the bond |
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protected $bondAnnualYield; |
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// INHERITED MEMBERS |
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// face value of the bond = 'F' |
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// $bondFaceValue; |
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// coupon rate of the bond per annum = 'c' |
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// $bondAnnualCouponRate; |
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// number of years to the maturity of the bond |
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// $bondYearsToMaturity; |
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// frequency of bond payments (expressed in a divisor of 12 months ~ 1 year) |
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// e.g.: divisor 2 means semi-annual payments |
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// $bondPaymentFrequency; |
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// props returned by the getResultAsArray method by default |
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protected $propResultArray = [ |
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"bondFaceValue", |
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"bondAnnualCouponRate", |
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"bondAnnualYield", |
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"bondYearsToMaturity", |
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"bondPaymentFrequency", |
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"bondYieldPerPaymentPeriod", |
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"bondNominalCashFlows", |
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"bondDiscountedCashFlows", |
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"bondPresentValue", |
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"bondDuration" |
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]; |
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/** |
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* @param $bondFaceValue |
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* @param $bondAnnualCouponRate |
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* @param $bondAnnualYield |
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* @param $bondYearsToMaturity |
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* @param $bondPaymentFrequency |
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*/ |
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public function __construct( |
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$bondFaceValue, |
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$bondAnnualCouponRate, |
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$bondAnnualYield, |
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$bondYearsToMaturity, |
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$bondPaymentFrequency = 1 |
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) { |
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$this->setBondFaceValue($bondFaceValue); |
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$this->setBondAnnualCouponRate($bondAnnualCouponRate); |
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$this->setBondAnnualYield($bondAnnualYield); |
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$this->setBondYearsToMaturity($bondYearsToMaturity); |
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$this->setBondPaymentFrequency($bondPaymentFrequency); |
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} |
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/** |
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* @param $bondAnnualYield |
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*/ |
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public function setBondAnnualYield($bondAnnualYield) |
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{ |
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$this->setProperty("bondAnnualYield", $bondAnnualYield, Lambdas::checkIfPositive()); |
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} |
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/** |
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* @return mixed |
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*/ |
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public function getBondAnnualYield() |
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{ |
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return $this->bondAnnualYield; |
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} |
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/** |
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* @return string |
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*/ |
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public function getBondYieldPerPaymentPeriod() |
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{ |
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return MathFuncs::div($this->bondAnnualYield, $this->bondPaymentFrequency); |
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} |
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/** |
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* @return array |
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*/ |
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public function getBondNominalCashFlows() |
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{ |
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// nominal cash flows = coupons each period + face value in the last period |
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$numberOfPayments = $this->getBondNoOfPayments(); |
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$couponPayment = $this->getCouponPayment(); |
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$nominalCashFlows = array(); |
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for ($i = 1; $i <= $numberOfPayments; $i++) { |
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if ($i == $numberOfPayments) { |
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$nominalCashFlows[$i] = MathFuncs::add($couponPayment, $this->bondFaceValue); |
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} else { |
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$nominalCashFlows[$i] = $couponPayment; |
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} |
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} |
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return $nominalCashFlows; |
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} |
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/** |
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* @return array |
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*/ |
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public function getBondDiscountedCashFlows() |
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{ |
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// discounted cash flows = nominal cash flows discounted by the means of yield |
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$discountFactor = MathFuncs::div(1, MathFuncs::add(1, $this->getBondYieldPerPaymentPeriod())); |
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$nominalCashFlows = $this->getBondNominalCashFlows(); |
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$discountedCashFlows = array(); |
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$i = 1; |
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foreach ($nominalCashFlows as $nominalCashFlowEntry) { |
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$discountedCashFlows[] = MathFuncs::mul( |
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$nominalCashFlowEntry, |
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MathFuncs::pow( |
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$discountFactor, |
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$i++) |
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); |
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} |
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return $discountedCashFlows; |
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} |
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/** |
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* @return float |
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*/ |
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public function getBondPresentValue() |
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{ |
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// bond present value = sum of all discounted cash flows during the life of the bond |
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$presentValue = 0; |
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foreach ($this->getBondDiscountedCashFlows() as $discountedCashFlowEntry) { |
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$presentValue = MathFuncs::add($presentValue, $discountedCashFlowEntry); |
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} |
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return $presentValue; |
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} |
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/** |
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* @return string |
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*/ |
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public function getBondDuration() |
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{ |
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// duration of the bond = sum of auxiliary values of all periods / bond present value |
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// auxiliary value for a period = discounted cash flow in the period * number of the period |
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$auxiliaryValue = 0; |
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$i = 1; |
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foreach ($this->getBondDiscountedCashFlows() as $discountedCashFlowEntry) { |
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$auxiliaryValue = MathFuncs::add( |
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$auxiliaryValue, |
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MathFuncs::mul( |
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$discountedCashFlowEntry, |
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$i++) |
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); |
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} |
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$duration = MathFuncs::div($auxiliaryValue, $this->getBondPresentValue()); |
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return $duration; |
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} |
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} |
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} |
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|
uruba /
FinanCalc
