java实现excel价格，收益​​函数

Question

想知道是否有人可以将我指向一个开源java定量库，它提供Excel Price和Yield函数的实现。

感谢， Tapasvi

Answer 1

Excel PRICE函数是贴现现金流的简单总和，假设贴现率为零的贴现曲线打折。这里记录：Excel Help/PRICE。

我写了一个小的Java版本的函数，我在下面发表。 Java版本只需要一段“时间到期”，并且不支持不同的日期计算，而Excel PRICE函数则需要一个结算日期和到期日期，并支持不同的日计算。但是，您可以通过转换优惠券来为不同的日计算归因。还要注意的是，Excel函数在优惠券前有一个硬编码的奇怪的100。

基准两个实施的Excel工作表可以是downloaded here。该表格需要"Obba"。

Excel YIELD函数只是应用于PRICE函数的牛顿求解器，请参见Excel Help/YIELD。牛顿求解器的Java实现可以在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。这是一个定量金融的免费/开源库。