BondFairValueCalculator.php

<?php

namespace FinanCalc\Calculators {

    use FinanCalc\Interfaces\Calculator\BondCalculatorAbstract;
    use FinanCalc\Utils\Lambdas;
    use FinanCalc\Utils\MathFuncs;

    /**
     * Class BondFairValueCalculator
     * @package FinanCalc\Calculators
     */
    class BondFairValueCalculator extends BondCalculatorAbstract
    {

        // valuation interest rate of the bond = 'i'
        protected $bondVIR;

        // INHERITED MEMBERS
        // face value of the bond = 'F'
        // $bondFaceValue;

        // coupon rate of the bond per annum = 'c'
        // $bondAnnualCouponRate;

        // number of years to the maturity of the bond
        // $bondYearsToMaturity;

        // frequency of bond payments (expressed in a divisor of 12 months ~ 1 year)
        // e.g.: divisor 2 means semi-annual payments
        // $bondPaymentFrequency;

        // props returned by the getResultAsArray method by default
        protected $propResultArray = [
            "bondFaceValue",
            "bondAnnualCouponRate",
            "bondVIR",
            "bondYearsToMaturity",
            "bondPaymentFrequency",
            "bondFairValue"
        ];

        /**
         * @param $bondFaceValue
         * @param $bondAnnualCouponRate
         * @param $bondVIR
         * @param $bondYearsToMaturity
         * @param $bondPaymentFrequency
         */
        public function __construct(
            $bondFaceValue,
            $bondAnnualCouponRate,
            $bondVIR,
            $bondYearsToMaturity,
            $bondPaymentFrequency = 1
        ) {
            $this->setBondFaceValue($bondFaceValue);
            $this->setBondAnnualCouponRate($bondAnnualCouponRate);
            $this->setBondVIR($bondVIR);
            $this->setBondYearsToMaturity($bondYearsToMaturity);
            $this->setBondPaymentFrequency($bondPaymentFrequency);
        }

        /**
         * @param $bondVIR
         */
        public function setBondVIR($bondVIR)
        {
            $this->setProperty("bondVIR", $bondVIR, Lambdas::checkIfPositive());
        }

        /**
         * @return mixed
         */
        public function getBondVIR()
        {
            return $this->bondVIR;
        }

        /**
         * @return string
         */
        public function getBondFairValue()
        {
            // we need to get the coupon rate per payment period = c/payment frequency
            $couponRateForPeriod = MathFuncs::div(
                $this->bondAnnualCouponRate,
                $this->bondPaymentFrequency
            );

            // similarly, we need to calculate the VIR per payment period = i/payment frequency
            $VIRForPeriod = MathFuncs::div(
                $this->bondVIR,
                $this->bondPaymentFrequency
            );

            // we also save the bond's number of payments to an auxiliary variable
            $bondNoOfPayments = $this->getBondNoOfPayments();

            // next, we also need the present value of the unit annuity pertaining to the bond, in arrears
            $PVofUnitBondAnnuity =
                MathFuncs::div(
                    MathFuncs::sub(
                        1,
                        Mathfuncs::pow(
                            MathFuncs::div(
                                1,
                                MathFuncs::add(
                                    1,
                                    $VIRForPeriod
                                )
                            ),
                            $bondNoOfPayments
                        )
                    ),
                    $VIRForPeriod
                );

            // now we can use the formula to calculate the real value of the bond (i.e., the present value of its payments)
            // PV = F*[c*PVofUnitBondAnnuity+1/((1+i)^n)]

            $fairValue =
                MathFuncs::mul(
                    $this->bondFaceValue,
                    MathFuncs::add(
                        MathFuncs::mul(
                            $couponRateForPeriod,
                            $PVofUnitBondAnnuity
                        ),
                        MathFuncs::div(
                            1,
                            MathFuncs::pow(
                                MathFuncs::add(
                                    1,
                                    $VIRForPeriod
                                ),
                                $bondNoOfPayments
                            )
                        )
                    )
                );

            return $fairValue;
        }
    }
}