Class AmortizingFixedRateBondFunctions

Namespace

NanoQL.Instruments

Assembly

NanoQL.dll

The schedule and the notionals of a French amortization, for AmortizingFixedRateBond.

public static class AmortizingFixedRateBondFunctions

Inheritance

object

AmortizingFixedRateBondFunctions

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

SinkingNotionals(Period, Frequency, double, double)

The notionals of a French amortization: constant payments of interest and principal at the frequency, linear amortization when the coupon per period is below 1e-12; the initial notional first and 0 last.

public static ImmutableArray<double> SinkingNotionals(Period bondLength, Frequency frequency, double couponRate, double initialNotional)

Parameters

bondLength Period

The bond's length, a whole number of the frequency's periods.

frequency Frequency

The payment frequency.

couponRate double

The coupon rate, annual.

initialNotional double

The initial notional.

Returns

ImmutableArray<double>

The notionals, one more than the periods.

Exceptions

ArgumentOutOfRangeException

The frequency isn't a member of its enum, or is OtherFrequency; or the bond's length is in a time unit shorter than a day.

ArgumentException

The bond's length isn't positive (QuantLib writes past the notionals' end), or isn't a whole number of the frequency's periods, a frequency of no period among them (QuantLib divides by zero).

SinkingSchedule(Date, Period, Frequency, Calendar?)

The schedule of a French amortization: from the start date to the start date plus the bond's length, at the frequency, unadjusted and generated backward.

public static Schedule SinkingSchedule(Date startDate, Period bondLength, Frequency frequency, Calendar? paymentCalendar)

Parameters

startDate Date

The start date.

bondLength Period

The bond's length.

frequency Frequency

The payment frequency.

paymentCalendar Calendar

The schedule's calendar, or null, QuantLib's empty calendar.

Returns

Schedule

The schedule.

Exceptions

ArgumentOutOfRangeException

The frequency isn't a member of its enum, or is OtherFrequency.

ArgumentException

The start date is default(Date), or the schedule can't be generated from the dates and the frequency.