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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 BondFairValueCalculator |
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* @package FinanCalc\Calculators |
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*/ |
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class BondFairValueCalculator extends BondCalculatorAbstract |
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{ |
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// valuation interest rate of the bond = 'i' |
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protected $bondVIR; |
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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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"bondVIR", |
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"bondYearsToMaturity", |
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"bondPaymentFrequency", |
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"bondFairValue" |
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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 $bondVIR |
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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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$bondAnnualCouponRate, |
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$bondVIR, |
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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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$this->setBondVIR($bondVIR); |
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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 $bondVIR |
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*/ |
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public function setBondVIR($bondVIR) |
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{ |
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$this->setProperty("bondVIR", $bondVIR, 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 getBondVIR() |
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{ |
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return $this->bondVIR; |
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} |
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/** |
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* @return string |
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*/ |
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public function getBondFairValue() |
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{ |
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// we need to get the coupon rate per payment period = c/payment frequency |
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$couponRateForPeriod = MathFuncs::div( |
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$this->bondAnnualCouponRate, |
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$this->bondPaymentFrequency |
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); |
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// similarly, we need to calculate the VIR per payment period = i/payment frequency |
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$VIRForPeriod = MathFuncs::div( |
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$this->bondVIR, |
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$this->bondPaymentFrequency |
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); |
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// we also save the bond's number of payments to an auxiliary variable |
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$bondNoOfPayments = $this->getBondNoOfPayments(); |
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// next, we also need the present value of the unit annuity pertaining to the bond, in arrears |
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$PVofUnitBondAnnuity = |
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MathFuncs::div( |
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MathFuncs::sub( |
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1, |
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Mathfuncs::pow( |
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MathFuncs::div( |
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1, |
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MathFuncs::add( |
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1, |
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$VIRForPeriod |
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) |
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), |
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$bondNoOfPayments |
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) |
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), |
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$VIRForPeriod |
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); |
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// now we can use the formula to calculate the real value of the bond (i.e., the present value of its payments) |
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// PV = F*[c*PVofUnitBondAnnuity+1/((1+i)^n)] |
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$fairValue = |
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MathFuncs::mul( |
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$this->bondFaceValue, |
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MathFuncs::add( |
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MathFuncs::mul( |
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$couponRateForPeriod, |
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$PVofUnitBondAnnuity |
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), |
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MathFuncs::div( |
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1, |
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MathFuncs::pow( |
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MathFuncs::add( |
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1, |
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$VIRForPeriod |
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), |
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$bondNoOfPayments |
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) |
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) |
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) |
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); |
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return $fairValue; |
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} |
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} |
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} |
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|
uruba /
FinanCalc
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