com.webcab.ejb.finance.bonds
Interface FixedInterestBonds

All Superinterfaces:

EJBObject, Remote

public interface FixedInterestBonds

extends EJBObject

Within this Enterprise JavaBean we consider what is generally referred to as fixed-interest bonds. In particular, we consider (in general) situations where there exists closed formulae for the redemption yield, holding period, interest yield, yield to maturity and current price of a fixed-interest bond.

Method Summary

double	currentPrice(double coupon, double grossRedemption, Date evaluationDate, Date redemptionDate, BusinessCalendar businessCalendar) Calculates the current price of a fixed-interest bond where there is an integer number of years until the redemption of the bond.
double	currentPrice(double coupon, double grossRedemption, int redemption) Calculates the current price of a fixed-interest bond where there is an integer number of years until the redemption of the bond.
double	grossRedemptionYield(double price, double coupon, Date evaluationDate, Date redemptionDate, BusinessCalendar businessCalendar) Calculates the gross redemption yield (in decimal format) of a fixed-interest bond on an interest payment date where there is an integer number of years until the bond matures.
double	grossRedemptionYield(double price, double coupon, Date evaluationDate, Date redemptionDate, double upperLimit, double precision, BusinessCalendar businessCalendar) Calculates the gross redemption yield of a fixed interest bond on an interest bearing date where there is an integer number of years until redemption (i.e. maturity).
double	grossRedemptionYield(double price, double coupon, double nextCoupon, Date couponDate, Date redemption, Date evaluationDate, BusinessCalendar businessCalendar) Calculates the gross redemption yield if there is less than half a year to the next coupon payment and there is a whole number of years from the next coupon until the maturity of the bond.
double	grossRedemptionYield(double price, double coupon, double nextCoupon, Date interestDate, Date redemptionDate, Date evaluationDate, Date couponDate, double upperLimit, double precision, BusinessCalendar businessCalendar) Calculates the gross redemption yield if there is less than half a year to the next coupon payment and there in an whole number of years from the next coupon until the maturity of the bond.
double	grossRedemptionYield(double price, double coupon, double nextCoupon, int years2Redemption, double years2Coupon) Calculates the gross redemption yield if there is less than half a year to the next coupon payment and there is a whole number of years from the next coupon until the maturity of the bond.
double	grossRedemptionYield(double price, double coupon, double nextCoupon, int years2Redemp, double time2Coupon, double upperLimit, double precision) Calculates the gross redemption yield if there is less than half a year to the next coupon payment and there in an whole number of years from the next coupon until the maturity of the bond.
double	grossRedemptionYield(double price, double coupon, int redemption) Calculates the gross redemption yield (in decimal format) of a fixed-interest bond on an interest payment date where there is an integer number of years until the bond matures.
double	grossRedemptionYield(double price, double coupon, int redemption, double upperLimit, double precision) Calculates the gross redemption yield of a fixed interest bond on an interest bearing date where there is an integer number of years until redemption (i.e. maturity).
double	holdingPeriodReturn(double price, double coupon, double sellingPrice, Date purchaseDate, Date saleDate, BusinessCalendar businessCalendar) Calculates the half-yearly holding period return on an interest payment date when the bond is held for a (whole) number of years.
double	holdingPeriodReturn(double purchasePrice, double coupon, double sellingPrice, Date purchaseDate, Date saleDate, double upperBound, double precision, BusinessCalendar businessCalendar) Calculates the half-yearly holding period return on an interest payment date when the asset is held for a whole number of years in accordance with user defined algorithm specific parameters.
double	holdingPeriodReturn(double price, double coupon, double sellingPrice, int yearsHeld) Calculates the half-yearly holding period return on an interest payment date when the bond is held for a (whole) number of years.
double	holdingPeriodReturn(double purchasePrice, double coupon, double sellingPrice, int yearsHeld, double upperBound, double precision) Calculates the half-yearly holding period return on an interest payment date when the asset is held for a whole number of years in accordance with user defined algorithm specific parameters.
double	netRedemptionYield(double price, double coupon, double taxRate, Date evaluationDate, Date redemptionDate, BusinessCalendar businessCalendar) Calculates the net redemption yield excluding capital gains tax (CGT) where the term to redemption is an integer number of years.
double	netRedemptionYield(double price, double coupon, double taxRate, Date evaluationDate, Date redemptionDate, double upperBound, double precision, BusinessCalendar businessCalendar) Calculates the net redemption yield excluding capital gains tax (CGT) where the term to redemption is an integer number of years.
double	netRedemptionYield(double price, double coupon, double taxRate, int yearsToRedemption) Calculates the net redemption yield excluding capital gains tax (CGT) where the term to redemption is an integer number of years.
double	netRedemptionYield(double price, double coupon, double taxRate, int yearsToRedemption, double upperBound, double precision) Calculates the net redemption yield excluding capital gains tax (CGT) where the term to redemption is an integer number of years.
double	simpleYieldToMaturity(double price, double coupon, Date evaluationDate, Date redemptionDate, BusinessCalendar businessCalendar) Returns the simple yield to maturity of a fixed-interest bond.
double	simpleYieldToMaturity(double price, double coupon, double redemption) Returns the simple yield to maturity of a fixed-interest bond.

Methods inherited from interface javax.ejb.EJBObject

getEJBHome, getHandle, getPrimaryKey, isIdentical, remove

Method Detail

grossRedemptionYield

public double grossRedemptionYield(double price,
                                   double coupon,
                                   Date evaluationDate,
                                   Date redemptionDate,
                                   BusinessCalendar businessCalendar)
                            throws NoSolutionException,
                                   FixedInterestBondsDemoException,
                                   RemoteException

Calculates the gross redemption yield (in decimal format) of a fixed-interest bond on an interest payment date where there is an integer number of years until the bond matures. That is, the total (annual) yield of the fixed interest bond from now until maturity where the tax implications of the investor are not taken into account.

Remarks:

• In order to find the gross redemption yield we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods with pre-set algorithm parameters such as the upper bound of the solution and the precision used. The upper bound of the yield over which the solution of sort is 200 percent and the precision used is 0.001, if the yield falls out side this range or you desire a different level of precision then you should us the method (double,double,int,double,double).
• The gross redemption yield is often used within the UK gilt market.

Parameters:

coupon - the coupon per annum convertible half-yearly

price - the current price of the bond, including accrued interest

evaluationDate - the date on which the gross redemption yield is evaluated

redemptionDate - the redemption (or maturity) date of the bond

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

Returns:

the gross redemption yield in decimal format (i.e. 1 percent = 0.01)

Throws:

NoSolutionException - thrown is a solution cannot be found

FixedInterestBondsDemoException

RemoteException

See Also:

grossRedemptionYield - Offering the same functionality except that here the internal equation solver algorithms parameters can be set.

grossRedemptionYield

public double grossRedemptionYield(double price,
                                   double coupon,
                                   int redemption)
                            throws NoSolutionException,
                                   FixedInterestBondsDemoException,
                                   RemoteException

Calculates the gross redemption yield (in decimal format) of a fixed-interest bond on an interest payment date where there is an integer number of years until the bond matures. That is, the total (annual) yield of the fixed interest bond from now until maturity where the tax implications of the investor are not taken into account.

Remarks:

• In order to find the gross redemption yield we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods with pre-set algorithm parameters such as the upper bound of the solution and the precision used. The upper bound of the yield over which the solution of sort is 200 percent and the precision used is 0.001, if the yield falls out side this range or you desire a different level of precision then you should us the method (double,double,int,double,double).
• The gross redemption yield is often used within the UK gilt market.

Parameters:

coupon - the coupon per annum convertible half-yearly

price - the current price of the bond, including accrued interest

redemption - the integer number of years until redemption (i.e. the maturity of the bond)

Returns:

the gross redemption yield in decimal format (i.e. 1 percent = 0.01)

Throws:

NoSolutionException - thrown is a solution cannot be found

FixedInterestBondsDemoException

RemoteException

See Also:

grossRedemptionYield - Offering the same functionality except that here the internal equation solver algorithms parameters can be set.

grossRedemptionYield

public double grossRedemptionYield(double price,
                                   double coupon,
                                   Date evaluationDate,
                                   Date redemptionDate,
                                   double upperLimit,
                                   double precision,
                                   BusinessCalendar businessCalendar)
                            throws NoSolutionException,
                                   FixedInterestBondsDemoException,
                                   RemoteException

Calculates the gross redemption yield of a fixed interest bond on an interest bearing date where there is an integer number of years until redemption (i.e. maturity). That is, the total (annual) yield of the fixed interest bond from now until maturity where the tax implications of the investor are not taken into account. This procedure offers the same functionality as the method (double,double, int) except that here the internal equation solving algorithms parameters can be set. That is, the upper bound of the interval over which the yield is sort and the precision of the returned valued can be specified.

Remarks:

• In order to find the gross redemption yield we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods where we can set the algorithm parameters such as the upper bound of the solution and the precision used.
• The gross redemption yield is often used within the UK gilt market.

Parameters:

coupon - the coupon per annum paid by the fixed interest bond convertible half-yearly

price - the current market price of the bond

upperLimit - the upper bound of the interval over which the yield will be sort. If you are unsure as to a suitable value then by setting this parameter to 2 you will cover all cases where the yield is less than 200 percent.

precision - the accuracy of the result. This is an internal parameter used by the equation solver algorithm, the smaller the precision required the more accurate the result but also the longer the computation will take. A suitable value for this parameter is 0.0001.

evaluationDate - the date on which the gross redemption yield is evaluated

redemptionDate - the redemption date of the bond

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

Returns:

the gross redemption yield in decimal format (i.e. 1 percent = 0.01)

Throws:

NoSolutionException - if there can not be found a solution for this equation

FixedInterestBondsDemoException

RemoteException

See Also:

- Offering the same functionality except that here the internal equation solver has pre-fixed algorithm parameters.

grossRedemptionYield

public double grossRedemptionYield(double price,
                                   double coupon,
                                   int redemption,
                                   double upperLimit,
                                   double precision)
                            throws NoSolutionException,
                                   FixedInterestBondsDemoException,
                                   RemoteException

Calculates the gross redemption yield of a fixed interest bond on an interest bearing date where there is an integer number of years until redemption (i.e. maturity). That is, the total (annual) yield of the fixed interest bond from now until maturity where the tax implications of the investor are not taken into account. This procedure offers the same functionality as the method (double,double, int) except that here the internal equation solving algorithms parameters can be set. That is, the upper bound of the interval over which the yield is sort and the precision of the returned valued can be specified.

Remarks:

• In order to find the gross redemption yield we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods where we can set the algorithm parameters such as the upper bound of the solution and the precision used.
• The gross redemption yield is often used within the UK gilt market.

Parameters:

coupon - the coupon per annum paid by the fixed interest bond convertible half-yearly

price - the current market price of the bond

redemption - the integer number of years until redemption (i.e. maturity). For example, 1 would implied that there is exactly 1 year until the bond matures.

upperLimit - the upper bound of the interval over which the yield will be sort. If you are unsure as to a suitable value then by setting this parameter to 2 you will cover all cases where the yield is less than 200 percent.

precision - the accuracy of the result. This is an internal parameter used by the equation solver algorithm, the smaller the precision required the more accurate the result but also the longer the computation will take. A suitable value for this parameter is 0.0001.

Returns:

the gross redemption yield in decimal format (i.e. 1 percent = 0.01)

Throws:

NoSolutionException - if there can not be found a solution for this equation

FixedInterestBondsDemoException

RemoteException

See Also:

- Offering the same functionality except that here the internal equation solver has pre-fixed algorithm parameters.

grossRedemptionYield

public double grossRedemptionYield(double price,
                                   double coupon,
                                   double nextCoupon,
                                   Date couponDate,
                                   Date redemption,
                                   Date evaluationDate,
                                   BusinessCalendar businessCalendar)
                            throws NoSolutionException,
                                   FixedInterestBondsDemoException,
                                   RemoteException

Calculates the gross redemption yield if there is less than half a year to the next coupon payment and there is a whole number of years from the next coupon until the maturity of the bond. That is, the total (annual) yield of the fixed interest bond from now until maturity where the tax implications of the investor are not taken into account.

Remarks:

• In order to find the gross redemption yield we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods with pre-set algorithm parameters such as the upper bound of the solution and the precision used. The upper bound of the yield over which the solution of sort is 200 percent and the precision used is 0.001, if the yield falls out side this range or you desire a different level of precision then you should us the method (double,double,double,int,double,double,double).
• The gross redemption yield is often used within the UK gilt market.

Parameters:

price - the current market price of the bond

coupon - the coupon per annum payable in half-yearly installments

nextCoupon - the next interest payment which will be received in `years2Coupon' years expressed as a decimal

evaluationDate - the date when the gross redemption yield is evaluated

couponDate - the date when the next coupon in paid

redemption - the redemption (i.e. maturity) date of the bond

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

Throws:

NoSolutionException - thrown if no solution was found for the yield within the range 0 - 200 percent.

FixedInterestBondsDemoException

RemoteException

See Also:

also evaluates the gross redemption yield using the same approach but allow the upper bound over which the yield is sort and the precision with which it is returned to be specified.

grossRedemptionYield

public double grossRedemptionYield(double price,
                                   double coupon,
                                   double nextCoupon,
                                   int years2Redemption,
                                   double years2Coupon)
                            throws NoSolutionException,
                                   FixedInterestBondsDemoException,
                                   RemoteException

Calculates the gross redemption yield if there is less than half a year to the next coupon payment and there is a whole number of years from the next coupon until the maturity of the bond. That is, the total (annual) yield of the fixed interest bond from now until maturity where the tax implications of the investor are not taken into account.

Remarks:

• In order to find the gross redemption yield we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods with pre-set algorithm parameters such as the upper bound of the solution and the precision used. The upper bound of the yield over which the solution of sort is 200 percent and the precision used is 0.001, if the yield falls out side this range or you desire a different level of precision then you should us the method (double,double,double,int,double,double,double).
• The gross redemption yield is often used within the UK gilt market.

Parameters:

price - the current market price of the bond

coupon - the coupon per annum payable in half-yearly installments

nextCoupon - the next interest payment which will be received in `years2Coupon' years expressed as a decimal

years2Coupon - the number of years (in decimal format) until the next coupon payment

years2Redemption - the number of (whole) years from the next interest payment date to the redemption date

Throws:

NoSolutionException - thrown if no solution was found for the yield within the range 0 - 200 percent.

FixedInterestBondsDemoException

RemoteException

See Also:

also evaluates the gross redemption yield using the same approach but allow the upper bound over which the yield is sort and the precision with which it is returned to be specified.

grossRedemptionYield

public double grossRedemptionYield(double price,
                                   double coupon,
                                   double nextCoupon,
                                   Date interestDate,
                                   Date redemptionDate,
                                   Date evaluationDate,
                                   Date couponDate,
                                   double upperLimit,
                                   double precision,
                                   BusinessCalendar businessCalendar)
                            throws NoSolutionException,
                                   FixedInterestBondsDemoException,
                                   RemoteException

Calculates the gross redemption yield if there is less than half a year to the next coupon payment and there in an whole number of years from the next coupon until the maturity of the bond. That is, the total (annual) yield of the fixed interest bond from now until maturity where the tax implications of the investor are not taken into account. This procedure offers the same functionality as the method (double,double, double, int, double) except that here the internal equation solving algorithms parameters can be set. That is, the interval over which the yield is sort and the precision with which the result is returned can be specified.

Remarks:

• In order to find the gross redemption yield we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods where we can set the algorithm parameters such as the upper bound of the solution and the precision used.
• The gross redemption yield is often used within the UK gilt market.

Parameters:

price - the current market price of the fixed interest bond

coupon - the coupon per annum payable in half-yearly installments

nextCoupon - the next interest payment which will be received in `yearsToNextPayment' years expressed as a decimal

upperLimit - the upper bound of the interval over which the yield will be sort. If you are unsure as to a suitable value then by setting this parameter to 2 you will cover all cases where the yield is less than 200 percent.

precision - the accuracy of the result. This is an internal parameter used by the equation solver algorithm, the smaller the precision required the more accurate the result but also the longer the computation will take. A suitable value for this parameter is 0.0001.

evaluationDate - the date on which the gross redemption yield is evaluation

couponDate - the date on which the next coupon is paid

redemptionDate - the redemption date of the bond

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

Throws:

NoSolutionException - thrown if no solution to the equation corresponding to the yield can be found for the given search interval

FixedInterestBondsDemoException

RemoteException

grossRedemptionYield

public double grossRedemptionYield(double price,
                                   double coupon,
                                   double nextCoupon,
                                   int years2Redemp,
                                   double time2Coupon,
                                   double upperLimit,
                                   double precision)
                            throws NoSolutionException,
                                   FixedInterestBondsDemoException,
                                   RemoteException

Calculates the gross redemption yield if there is less than half a year to the next coupon payment and there in an whole number of years from the next coupon until the maturity of the bond. That is, the total (annual) yield of the fixed interest bond from now until maturity where the tax implications of the investor are not taken into account. This procedure offers the same functionality as the method (double,double, double, int, double) except that here the internal equation solving algorithms parameters can be set. That is, the interval over which the yield is sort and the precision with which the result is returned can be specified.

Remarks:

• In order to find the gross redemption yield we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods where we can set the algorithm parameters such as the upper bound of the solution and the precision used.
• The gross redemption yield is often used within the UK gilt market.

Parameters:

price - the current market price of the fixed interest bond

coupon - the coupon per annum payable in half-yearly installments

nextCoupon - the next interest payment which will be received in `yearsToNextPayment' years expressed as a decimal

time2Coupon - the number of years (in decimal format) until the next coupon payment

upperLimit - the upper bound of the interval over which the yield will be sort. If you are unsure as to a suitable value then by setting this parameter to 2 you will cover all cases where the yield is less than 200 percent.

precision - the accuracy of the result. This is an internal parameter used by the equation solver algorithm, the smaller the precision required the more accurate the result but also the longer the computation will take. A suitable value for this parameter is 0.0001.

Throws:

NoSolutionException - thrown if no solution to the equation corresponding to the yield can be found for the given search interval

FixedInterestBondsDemoException

RemoteException

netRedemptionYield

public double netRedemptionYield(double price,
                                 double coupon,
                                 double taxRate,
                                 Date evaluationDate,
                                 Date redemptionDate,
                                 BusinessCalendar businessCalendar)
                          throws NoSolutionException,
                                 FixedInterestBondsDemoException,
                                 RemoteException

Calculates the net redemption yield excluding capital gains tax (CGT) where the term to redemption is an integer number of years. That is, the yield of the bond is evaluated where the income tax of the investor is taken into account (i.e. gross yield minus the income tax) and there are an integer number of years until the bond matures.

Remarks:

• In order to find the net redemption yield we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods with pre-set algorithm parameters such as the upper bound of the solution and the precision used. The upper bound of the yield over which the solution of sort is 200 percent and the precision used is 0.001, if the yield falls out side this range or you desire a different level of precision then you should us the method (double,double,double,int,double,double).
• The net redemption yield is often used within the UK gilt market.

Parameters:

price - the current market price of the bond

coupon - the annual coupon of the bond convertible half-yearly (that is, paid in half-yearly installments)

taxRate - the investor's rate of tax on income in decimal format (i.e. 1 percent = 0.01)

evaluationDate - the date on which the net redemption yield is evaluated

redemptionDate - the redemption date of the bond

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

Throws:

NoSolutionException - thrown if no solution to the equation corresponding to the yield can be found within the interval 0 - 200 percent.

FixedInterestBondsDemoException

RemoteException

See Also:

also evaluates the net redemption yield using the same approach but allow the upper bound over which the yield is sort and the precision with which it is returned to be specified.

netRedemptionYield

public double netRedemptionYield(double price,
                                 double coupon,
                                 double taxRate,
                                 int yearsToRedemption)
                          throws NoSolutionException,
                                 FixedInterestBondsDemoException,
                                 RemoteException

Calculates the net redemption yield excluding capital gains tax (CGT) where the term to redemption is an integer number of years. That is, the yield of the bond is evaluated where the income tax of the investor is taken into account (i.e. gross yield minus the income tax) and there are an integer number of years until the bond matures.

Remarks:

• In order to find the net redemption yield we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods with pre-set algorithm parameters such as the upper bound of the solution and the precision used. The upper bound of the yield over which the solution of sort is 200 percent and the precision used is 0.001, if the yield falls out side this range or you desire a different level of precision then you should us the method (double,double,double,int,double,double).
• The net redemption yield is often used within the UK gilt market.

Parameters:

price - the current market price of the bond

coupon - the annual coupon of the bond convertible half-yearly (that is, paid in half-yearly installments)

taxRate - the investor's rate of tax on income in decimal format (i.e. 1 percent = 0.01)

yearsToRedemption - the number of (whole) year until the redemption (or maturity) of the bond

Throws:

NoSolutionException - thrown if no solution to the equation corresponding to the yield can be found within the interval 0 - 200 percent.

FixedInterestBondsDemoException

RemoteException

See Also:

also evaluates the net redemption yield using the same approach but allow the upper bound over which the yield is sort and the precision with which it is returned to be specified.

netRedemptionYield

public double netRedemptionYield(double price,
                                 double coupon,
                                 double taxRate,
                                 Date evaluationDate,
                                 Date redemptionDate,
                                 double upperBound,
                                 double precision,
                                 BusinessCalendar businessCalendar)
                          throws NoSolutionException,
                                 FixedInterestBondsDemoException,
                                 RemoteException

Calculates the net redemption yield excluding capital gains tax (CGT) where the term to redemption is an integer number of years. That is, the yield of the bond is evaluated where the income tax of the investor is taken into account (i.e. the gross yield minus the income tax) and there are an integer number of years until the bond matures.

This procedure offers the same functionality as the method (double, double, double, int) except that here the internal equation solving algorithm parameters can be set. These parameters are the upper bound of the yield over which the solution is searched and the precision of the returned result can be specified.

Remarks:

• In order to find the net redemption yield we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods where we can set the algorithm parameters such as the upper bound of the solution and the precision used.
• The net redemption yield is often used within the UK gilt market.

Parameters:

price - the current market price of the bond

coupon - the annual coupon of the bond convertible half-yearly (that is, paid in half-yearly installments)

taxRate - the investor's rate of tax on income in decimal format (i.e. 1 percent = 0.01)

upperBound - the upper bound of the interval over which the yield will be sort. If you are unsure as to a suitable value then by setting this parameter to 2 you will cover all cases where the yield is less than 200 percent.

precision - the accuracy of the result. This is an internal parameter used by the equation solver algorithm, the smaller the precision required the more accurate the result but also the longer the computation will take. A suitable value for this parameter is 0.0001.

evaluationDate - the date on which the net redemption yield is evaluated

redemptionDate - the redemption date of the bond

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

Throws:

NoSolutionException - thrown if no solution to the equation corresponding to the yield can be found for the given search interval

FixedInterestBondsDemoException

RemoteException

See Also:

netRedemptionYield(double, double, double, int) also evaluates the net redemption yield but here the upper bound and the precision are given pre-set values, namely 200 percent and 0.001 respectively.

netRedemptionYield

public double netRedemptionYield(double price,
                                 double coupon,
                                 double taxRate,
                                 int yearsToRedemption,
                                 double upperBound,
                                 double precision)
                          throws NoSolutionException,
                                 FixedInterestBondsDemoException,
                                 RemoteException

Calculates the net redemption yield excluding capital gains tax (CGT) where the term to redemption is an integer number of years. That is, the yield of the bond is evaluated where the income tax of the investor is taken into account (i.e. the gross yield minus the income tax) and there are an integer number of years until the bond matures.

This procedure offers the same functionality as the method (double, double, double, int) except that here the internal equation solving algorithm parameters can be set. These parameters are the upper bound of the yield over which the solution is searched and the precision of the returned result can be specified.

Remarks:

• In order to find the net redemption yield we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods where we can set the algorithm parameters such as the upper bound of the solution and the precision used.
• The net redemption yield is often used within the UK gilt market.

Parameters:

price - the current market price of the bond

coupon - the annual coupon of the bond convertible half-yearly (that is, paid in half-yearly installments)

taxRate - the investor's rate of tax on income in decimal format (i.e. 1 percent = 0.01)

yearsToRedemption - the number of (whole) year until the redemption (or maturity) of the bond

upperBound - the upper bound of the interval over which the yield will be sort. If you are unsure as to a suitable value then by setting this parameter to 2 you will cover all cases where the yield is less than 200 percent.

precision - the accuracy of the result. This is an internal parameter used by the equation solver algorithm, the smaller the precision required the more accurate the result but also the longer the computation will take. A suitable value for this parameter is 0.0001.

Throws:

NoSolutionException - thrown if no solution to the equation corresponding to the yield can be found for the given search interval

FixedInterestBondsDemoException

RemoteException

See Also:

netRedemptionYield(double, double, double, int) also evaluates the net redemption yield but here the upper bound and the precision are given pre-set values, namely 200 percent and 0.001 respectively.

holdingPeriodReturn

public double holdingPeriodReturn(double price,
                                  double coupon,
                                  double sellingPrice,
                                  Date purchaseDate,
                                  Date saleDate,
                                  BusinessCalendar businessCalendar)
                           throws NoSolutionException,
                                  FixedInterestBondsDemoException,
                                  RemoteException

Calculates the half-yearly holding period return on an interest payment date when the bond is held for a (whole) number of years. Recall that, the holding period return is the return over the period that the bond was held by the investor.

Remarks:

• In order to find the holding period return we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods with pre-set algorithm parameters: upper bound of the solution and the precision used. In particular, the upper bound of the yield over which the solution of sort is 200 percent and the precision used is 0.001. If the yield falls out side this range or if you desire a different level of precision then you should us the method (double,double,double,int,double,double).
• The holding period return is used widely within the UK and US bond markets.

Parameters:

price - the purchase price on the bond

coupon - the annual coupon of the bond convertible half-yearly (that is, payable in half-yearly installments)

sellingPrice - the market price at which the investor can sell the bond (when the holding period is evaluated)

purchaseDate - the date when the asset is purchased

saleDate - the date when the asset is sold

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

Returns:

the holding period return in decimal format (i.e. 1 percent = 0.01)

Throws:

NoSolutionException - if no solution to the equation can be found

FixedInterestBondsDemoException

RemoteException

See Also:

holdingPeriodReturn(double, double, double, int, double, double) also evaluates the holding period return using the same approach but allow the upper bound over which the return is sort and the precision with which it is returned to be specified.

holdingPeriodReturn

public double holdingPeriodReturn(double price,
                                  double coupon,
                                  double sellingPrice,
                                  int yearsHeld)
                           throws NoSolutionException,
                                  FixedInterestBondsDemoException,
                                  RemoteException

Calculates the half-yearly holding period return on an interest payment date when the bond is held for a (whole) number of years. Recall that, the holding period return is the return over the period that the bond was held by the investor.

Remarks:

• In order to find the holding period return we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods with pre-set algorithm parameters: upper bound of the solution and the precision used. In particular, the upper bound of the yield over which the solution of sort is 200 percent and the precision used is 0.001. If the yield falls out side this range or if you desire a different level of precision then you should us the method (double,double,double,int,double,double).
• The holding period return is used widely within the UK and US bond markets.

Parameters:

price - the purchase price on the bond

coupon - the annual coupon of the bond convertible half-yearly (that is, payable in half-yearly installments)

yearsHeld - the number of (whole) years over which the bond in held

sellingPrice - the market price at which the investor can sell the bond (when the holding period is evaluated)

Returns:

the holding period return in decimal format (i.e. 1 percent = 0.01)

Throws:

NoSolutionException - if no solution to the equation can be found

FixedInterestBondsDemoException

RemoteException

See Also:

holdingPeriodReturn(double, double, double, int, double, double) also evaluates the holding period return using the same approach but allow the upper bound over which the return is sort and the precision with which it is returned to be specified.

holdingPeriodReturn

public double holdingPeriodReturn(double purchasePrice,
                                  double coupon,
                                  double sellingPrice,
                                  Date purchaseDate,
                                  Date saleDate,
                                  double upperBound,
                                  double precision,
                                  BusinessCalendar businessCalendar)
                           throws NoSolutionException,
                                  FixedInterestBondsDemoException,
                                  RemoteException

Calculates the half-yearly holding period return on an interest payment date when the asset is held for a whole number of years in accordance with user defined algorithm specific parameters. Recall that, the holding period return is the yield over the period that the bond was held by the investor.

This procedure offers the same functionality as the method holdingPeriodReturn(double, double, double, int) except that here the internal equation solving algorithm parameters can be set. This is, the upper bound of the return over which the solution is searched and the precision of the returned result can be specified.

Remarks:

• In order to find the holding period return we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods where we must set the algorithm parameters, namely the upper bound of the solution and the precision used.
• The holding period used widely within the UK and US bond markets.

Parameters:

purchasePrice - the purchase price of the bond

coupon - the annual coupon of the bond convertible half-yearly (that is, payable in half yearly-installments)

sellingPrice - the market price at which the investor can sell the bond (when the holding period return is evaluated)

upperBound - the upper bound of the interval over which the (holding period) return will be sort. If you are unsure as to a suitable value then by setting this parameter to 2 you will cover all cases where the (annual) return is less than 200 percent.

precision - the accuracy of the result. This is an internal parameter used by the equation solver algorithm, the smaller the precision required the more accurate the result but also the longer the computation will take. A suitable value for this parameter is 0.0001.

purchaseDate - the date when the asset is purchased

saleDate - the date when the holding period return is evaluated

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

Returns:

the holding period return in decimal format (i.e. 1 percent = 0.01)

Throws:

NoSolutionException - thrown if no solution to the equation corresponding to the holding period return can be found for the given search interval selected.

FixedInterestBondsDemoException

RemoteException

See Also:

also evaluates the holding period return but here the upper bound and the precision are given pre-set values, namely 200 percent and 0.001 respectively.

holdingPeriodReturn

public double holdingPeriodReturn(double purchasePrice,
                                  double coupon,
                                  double sellingPrice,
                                  int yearsHeld,
                                  double upperBound,
                                  double precision)
                           throws NoSolutionException,
                                  FixedInterestBondsDemoException,
                                  RemoteException

Calculates the half-yearly holding period return on an interest payment date when the asset is held for a whole number of years in accordance with user defined algorithm specific parameters. Recall that, the holding period return is the yield over the period that the bond was held by the investor.

This procedure offers the same functionality as the method holdingPeriodReturn(double, double, double, int) except that here the internal equation solving algorithm parameters can be set. This is, the upper bound of the return over which the solution is searched and the precision of the returned result can be specified.

Remarks:

• In order to find the holding period return we are required to solve an equation of one variable (see PDF documentation for details). We find the solution of this equation be applying a combination of the Bisection and Newton-Raphson methods where we must set the algorithm parameters, namely the upper bound of the solution and the precision used.
• The holding period used widely within the UK and US bond markets.

Parameters:

purchasePrice - the purchase price of the bond

coupon - the annual coupon of the bond convertible half-yearly (that is, payable in half yearly-installments)

yearsHeld - the number of (whole) years over which the bond is held

sellingPrice - the market price at which the investor can sell the bond (when the holding period return is evaluated)

upperBound - the upper bound of the interval over which the (holding period) return will be sort. If you are unsure as to a suitable value then by setting this parameter to 2 you will cover all cases where the (annual) return is less than 200 percent.

precision - the accuracy of the result. This is an internal parameter used by the equation solver algorithm, the smaller the precision required the more accurate the result but also the longer the computation will take. A suitable value for this parameter is 0.0001.

Returns:

the holding period return in decimal format (i.e. 1 percent = 0.01)

Throws:

NoSolutionException - thrown if no solution to the equation corresponding to the holding period return can be found for the given search interval selected.

FixedInterestBondsDemoException

RemoteException

See Also:

also evaluates the holding period return but here the upper bound and the precision are given pre-set values, namely 200 percent and 0.001 respectively.

simpleYieldToMaturity

public double simpleYieldToMaturity(double price,
                                    double coupon,
                                    Date evaluationDate,
                                    Date redemptionDate,
                                    BusinessCalendar businessCalendar)
                             throws FixedInterestBondsDemoException,
                                    RemoteException

Returns the simple yield to maturity of a fixed-interest bond.

Remark Within Japanese bond markets the concept of simple interest is used when calculating the yield to maturity rather than the usual compound interest method (i.e. redemption yield).

Parameters:

price - the current market price of the bond (this may including accrued interest

coupon - the annual coupon payable in half yearly installments

evaluationDate - the date when the simple yield to maturity is evaluated

redemptionDate - the redemption date of the bond

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FixedInterestBondsDemoException

RemoteException

simpleYieldToMaturity

public double simpleYieldToMaturity(double price,
                                    double coupon,
                                    double redemption)
                             throws FixedInterestBondsDemoException,
                                    RemoteException

Returns the simple yield to maturity of a fixed-interest bond.

Remark Within Japanese bond markets the concept of simple interest is used when calculating the yield to maturity rather than the usual compound interest method (i.e. redemption yield).

Parameters:

price - the current market price of the bond (this may including accrued interest

coupon - the annual coupon payable in half yearly installments

redemption - the time in years expressed in decimal format until the redemption of the bond

FixedInterestBondsDemoException

RemoteException

currentPrice

public double currentPrice(double coupon,
                           double grossRedemption,
                           Date evaluationDate,
                           Date redemptionDate,
                           BusinessCalendar businessCalendar)
                    throws FixedInterestBondsDemoException,
                           RemoteException

Calculates the current price of a fixed-interest bond where there is an integer number of years until the redemption of the bond.

Parameters:

coupon - annual coupon of the bond

grossRedemption - the gross redemption yield of the fixed-interest bond

evaluationDate - the evaluation date

redemptionDate - the redemption date of the bond

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FixedInterestBondsDemoException

RemoteException

currentPrice

public double currentPrice(double coupon,
                           double grossRedemption,
                           int redemption)
                    throws FixedInterestBondsDemoException,
                           RemoteException

Calculates the current price of a fixed-interest bond where there is an integer number of years until the redemption of the bond.

Parameters:

coupon - annual coupon of the bond

grossRedemption - the gross redemption yield of the fixed-interest bond

redemption - the (whole) number of years until redemption on the bond

FixedInterestBondsDemoException

RemoteException