Modified Duration

cetusfinance · Jun 20, 2022 · 909a5dd · 909a5dd
1 parent bce9799
commit 909a5dd
Showing 1 changed file with 11 additions and 4 deletions.
diff --git a/src/Qwack.Math/BondUtils.cs b/src/Qwack.Math/BondUtils.cs
@@ -20,7 +20,7 @@ public static double PriceFromYtm(double couponRate, double faceValue, double yt
 
 
         public static double PriceFromYTC(double couponRate, double callPrice, double tCall, double ytc) =>
-            couponRate / 2 * ((1 - System.Math.Pow(1 + ytc / 2, -2 * tCall)) / (ytc / 2)) + callPrice / System.Math.Pow( (1 + ytc / 2), 2 * tCall);
+            couponRate / 2 * ((1 - System.Math.Pow(1 + ytc / 2, -2 * tCall)) / (ytc / 2)) + callPrice / System.Math.Pow((1 + ytc / 2), 2 * tCall);
 
         public static double YtcFromPrice(double couponRate, double callPrice, double tCall, double cleanPrice)
         {
@@ -32,14 +32,14 @@ public static double YtcFromPrice(double couponRate, double callPrice, double tC
             return Solvers.Brent.BrentsMethodSolve(solverFn, 1e-6, 1, 1e-6);
         }
 
-        public static double MacaulayDuration (double couponRate, double faceValue, double ytm, double periodsPerYear, double tMaturity, double tNext, double cleanPrice)
+        public static double MacaulayDuration(double couponRate, double faceValue, double ytm, double periodsPerYear, double tMaturity, double tNext, double cleanPrice)
         {
-            var nPeriods = (tMaturity-tNext) * periodsPerYear;
+            var nPeriods = (tMaturity - tNext) * periodsPerYear;
             var couponFlow = couponRate * faceValue / periodsPerYear;
             var divisor = 1 + ytm / periodsPerYear;
             var sum = 0.0;
 
-            for(var i = 0; i <= nPeriods; i++)
+            for (var i = 0; i <= nPeriods; i++)
             {
                 var df = System.Math.Pow(divisor, i + 1);
                 var rowFlow = couponFlow / df * (tNext + i / periodsPerYear) / cleanPrice;
@@ -51,5 +51,12 @@ public static double MacaulayDuration (double couponRate, double faceValue, doub
             }
             return sum;
         }
+
+        public static double ModifiedDuration(double couponRate, double faceValue, double ytm, double periodsPerYear, double tMaturity, double tNext, double cleanPrice)
+        {
+            var mcD = MacaulayDuration(couponRate, faceValue, ytm, periodsPerYear, tMaturity, tNext, cleanPrice);
+            var modD = mcD / (1 + ytm / periodsPerYear);
+            return modD;
+        }
     }
 }