Bond utils

cetusfinance · Oct 10, 2022 · 634bead · 634bead
1 parent bfc1118
commit 634bead
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Showing 2 changed files with 14 additions and 3 deletions.
diff --git a/src/Qwack.Math/BondUtils.cs b/src/Qwack.Math/BondUtils.cs
@@ -1,7 +1,6 @@
 using System;
 using System.Collections.Generic;
 using System.Linq;
-using System.Text;
 
 namespace Qwack.Math
 {
@@ -19,11 +18,23 @@ 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 ytw, double t) YieldToWorstWithWorkout(double couponRate, double[] redemptionPrices, double cleanPrice, double[] tRedeem)
+            => tRedeem.Select((t, ix) => (YieldToMaturity(couponRate, redemptionPrices[ix], cleanPrice, t), t))
+            .OrderBy(x => x.Item1)
+            .Take(1)
+            .Select(x => (x.Item1, x.t))
+            .FirstOrDefault();
 
-        //    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 ytw, double t) YieldToWorstInBaseWithWorkout(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), t))
+            .OrderBy(x => x.Item1)
+            .Take(1)
+            .Select(x => (x.Item1, x.t))
+            .FirstOrDefault();
+
         public static double PriceFromYtm(double couponRate, double faceValue, double ytm, double t)
             => (couponRate * 2 + faceValue * (2 / t - ytm)) / (ytm + 2 / t);
 

diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.7.0
+0.7.1