Valuing Fixed Income Investments, C++ (gcc)

Valuing Fixed Income Investments

//Calculate the Values of Cashflows

#include <iostream>
#include <cmath>
#include <vector>

#define nl '\n'

using namespace std;

typedef vector<double>CFlows;
typedef CFlows::iterator cfiterator;

class Value{
public:
    Value(){}
    Value(const Value& v) : i(v.i), n(v.n), p(v.p){}
    ~Value(){}
    //
    // N = number of periods; I = amount of interest; P = times I paid per period
    //
    // present value interest rate factor
    // pvif = 1/(1+I/P)^N*P
    //
    double PVIF(double N, double I, double P = 1.0){
        double d = 1+I/P;
        double pvif = 1/pow(d, N*P);
        return pvif;
    } 
    //
    // future value interest rate factor
    // fvif = (1+I/P)^N*P
    //
    double FVIF(double N, double I, double P = 1.0){
        double d = 1 + I/P;
        double fvif = pow(d, N*P);
        return fvif;
    }

double PresentValue(double amount = 1, double I = 0.01, double N = 1, double P=1){
        double pvif = PVIF(N, I, P);
        return amount * pvif;
        
    }
    double FutureValue(double amount = 1, double I = 0.01, double N = 1, double P=1){
        double fvif = FVIF(N, I, P);
        return amount * fvif;
    }
    
    // Annuities
    //
    double PVAnnuity(double amt=1, double i=.01, double n=1, double p=1){
        double pva = 0;
        
        for(int j = 1; j < (n+1); j++){
            double pvif = PVIF(j, i, p);
            pva += pvif;
        }
        
        return amt*pva;
    }
    
    double FVAnnuity(double amt=1, double i=.01, double n=1, double p=1){
        double fva = 0;
        
        for(int j = 0; j < n; j++){
            double fvif = FVIF(j, i, p);
            fva += fvif;
        }
        
        return amt*fva;
    }
    
    double BondValue(double face, double coupon, double kd, double N, double p = 2.0){
        double pvif = PVIF(N, kd, p);
        double C = face*coupon;

double a = (1-pvif)/kd;
        double pvf = face*pvif;

double BondPrice = C*a + pvf;

return BondPrice;            
          
    }
    
    bool operator ==(const Value& v)const{
        return i == v.i && n == v.n && p == v.p; 
    }
    
 private:
    
    double i;
    double n;    
    double p;
    
};

int main()
{
    Value v;
    
    double A = 1000.00;  // Amount invested 
    double I = .05; // promised interest
    double N = 10.00; // life of the investment
    double P = 1.00;  
    //
    // P = number of times interest is paid per period N
    // If N = years then:
    // P = 1 means that I/P = I/1 interest is paid 10*P/10 = 10(1)/10 = 1 times per year
    // P = 2 means that I/P = I/2 interest is paid 10*P/10 = 10(2)/10 = 2 times per year
    // etc.

CFlows pvcf(N);  // present value cash flows container
    CFlows fvcf(N);  // future value cash flows container
    CFlows pvacf(N); // present value of annuity cash flow container
    CFlows fvacf(N); // future value of annuity cash flow container
    
    cfiterator p, f;

double j = 0.0;
    while(j < N){
        pvcf[j] = v.PresentValue(A, I, j+1, P);
        fvcf[j] = v.FutureValue(A, I, j+1, P);
        pvacf[j] = v.PVAnnuity(A, I, j+1, P);
        fvacf[j] = v.FVAnnuity(A, I, j+1, P);
        ++j;
    }
    
    cout.setf(ios::showpoint) << cout.precision(8);
    
    int c = 1;
    cout << "Present and future values of $" << A << " at the end of " << N << " periods\n";
    cout << "\nN\tPV\t\t\tFV\n";
    for(p=pvcf.begin(), f=fvcf.begin(); p<pvcf.end(), f<fvcf.end(); p++, f++)
        cout << c++ << "\t" << *p << "\t\t" << *f << "\n";
    
    
    c = 1;
   
    cout << "\nPresent and future value of an annuity of $" << A << " per period for " << N << " periods\n";
    cout << "\nN\tPVA\t\t\tFVA\n";
    for(p=pvacf.begin(), f=fvacf.begin(); p<pvacf.end(), f<fvacf.end(); p++, f++)
        cout << c++ << "\t" << *p << "\t\t" << *f << "\n";

/*
    
        double BondValue(double face, double coupon, double Kd, double N, double p = 2)

*/
    
    double face = 1000;
    double coupon = 0.10;
    double kd = 0.05;
    double n = 1;
    
    double bond1 = v.BondValue(face, coupon, kd, n); // default to semiannual payments
    cout << "\nBond 1's Value:\t" << bond1 << "\n";
    
    double bond2 = v.BondValue(10000, 0.0325, .05, 5, 2);
    cout << "\nBond 2\'s Value:\t" << bond2 << "\n";
    
    
    
}


run \| edit \| history \| help	0