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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 BondYTMCalculator |
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* @package FinanCalc\Calculators |
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*/ |
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class BondYTMCalculator extends BondCalculatorAbstract |
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{ |
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// market value of the bond = 'P' |
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protected $bondMarketValue; |
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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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"bondMarketValue", |
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"bondAnnualCouponRate", |
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"bondYearsToMaturity", |
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"bondPaymentFrequency", |
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"bondApproxYTM" => "approxBondYTM" |
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]; |
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/** |
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* @param $bondFaceValue |
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* @param $bondMarketValue |
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* @param $bondAnnualCouponRate |
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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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$bondMarketValue, |
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$bondAnnualCouponRate, |
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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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$this->setBondMarketValue($bondMarketValue); |
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$this->setBondAnnualCouponRate($bondAnnualCouponRate); |
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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 $bondMarketValue |
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*/ |
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public function setBondMarketValue($bondMarketValue) |
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{ |
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$this->setProperty("bondMarketValue", $bondMarketValue, 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 getBondMarketValue() |
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{ |
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return $this->bondMarketValue; |
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} |
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/** |
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* @return string |
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*/ |
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public function getApproxBondYTM() |
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{ |
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// we need to calculate the coupon payment C = F*(c/payment frequency) |
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$couponPayment = |
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MathFuncs::mul( |
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$this->bondFaceValue, |
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MathFuncs::div( |
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$this->bondAnnualCouponRate, |
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$this->bondPaymentFrequency |
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) |
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); |
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// we use a formula to approximate the YTM = (C+(F-P)/n)/((F+P)/2) |
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$approxYTM = |
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MathFuncs::div( |
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MathFuncs::add( |
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$couponPayment, |
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MathFuncs::div( |
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MathFuncs::sub( |
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$this->bondFaceValue, |
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$this->bondMarketValue), |
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$this->getBondNoOfPayments() |
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) |
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), |
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MathFuncs::div( |
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MathFuncs::add( |
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$this->bondFaceValue, |
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$this->bondMarketValue |
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), |
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2)); |
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return $approxYTM; |
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} |
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// TODO – add a method for precise bond YTM calculation by means of a polynomial equation |
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} |
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} |
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|
uruba /
FinanCalc
