YTW in base logic (BondUtils)

cetusfinance · Sep 22, 2022 · 42f5d70 · 42f5d70
1 parent 5947503
commit 42f5d70
Showing 1 changed file with 5 additions and 0 deletions.
diff --git a/src/Qwack.Math/BondUtils.cs b/src/Qwack.Math/BondUtils.cs
@@ -19,6 +19,11 @@ public static double YieldToWorst(double couponRate, double faceValue, double cl
         public static double YieldToWorst(double couponRate, double[] redemptionPrices, double cleanPrice, double[] tRedeem)
             => tRedeem.Select((t, ix) => YieldToMaturity(couponRate, redemptionPrices[ix], cleanPrice, t)).Min();
 
+
+        //    public static double YtmInBase(double couponRate, double faceValue, double periodsPerYear, double tMaturity, double tNext, Func<double,double> fxRates, double dirtyPriceInLocal)
+        public static double YieldToWorstInBase(double couponRate, double[] redemptionPrices, double periodsPerYear, double tNext, double cleanPrice, double[] tRedeem, Func<double, double> fxRates)
+            => tRedeem.Select((t, ix) => YtmInBase(couponRate, redemptionPrices[ix], periodsPerYear, t, tNext, fxRates, cleanPrice)).Min();
+
         public static double PriceFromYtm(double couponRate, double faceValue, double ytm, double t)
             => (couponRate * 2 + faceValue * (2 / t - ytm)) / (ytm + 2 / t);