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philwisniewskiphilwisniewski
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Merge pull request #55 from Boiler-Quant/notion-funcs
Notion funcs
2 parents 8d50b1e + 8f1c775 commit 1cc9721

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‎CMakeLists.txt‎

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@@ -59,6 +59,11 @@ file(GLOB SOURCES "src/cpp/*/*.cpp")
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add_library(finmath_library SHARED ${SOURCES}
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"src/cpp/InterestAndAnnuities/simple_interest.cpp"
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"include/finmath/InterestAndAnnuities/simple_interest.h"
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"include/finmath/InterestAndAnnuities/discount_factor.h"
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"include/finmath/InterestAndAnnuities/present_future_value.h"
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"include/finmath/InterestAndAnnuities/annuity.h"
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"include/finmath/InterestAndAnnuities/cash_flow.h"
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"include/finmath/FixedIncome/bond_pricing.h"
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"include/finmath/OptionPricing/options_pricing.h"
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"include/finmath/OptionPricing/options_pricing_types.h"
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"include/finmath/TimeSeries/rolling_volatility.h"
@@ -104,6 +109,15 @@ endmacro()
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add_cpp_test_labeled(CompoundInterestTest test/InterestAndAnnuities/compound_interest_test.cpp "InterestAndAnnuities;Unit")
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add_cpp_test_labeled(BlackScholesTest test/OptionPricing/black_scholes_test.cpp "OptionPricing;Unit")
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add_cpp_test_labeled(BinomialOptionPricingTest test/OptionPricing/binomial_option_pricing_test.cpp "OptionPricing;Unit")
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add_cpp_test_labeled(RSITest test/TimeSeries/rsi_test.cpp "TimeSeries;Unit")
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add_cpp_test_labeled(RollingStdDevTest test/TimeSeries/rolling_std_dev_test.cpp "TimeSeries;Unit")
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add_cpp_test_labeled(BellmanArbitrageTest test/GraphAlgos/bellman_arbitrage_test.cpp "GraphAlgos;Unit")
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add_cpp_test_labeled(BondPricingTest test/FixedIncome/bond_pricing_test.cpp "FixedIncome;Unit")
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add_cpp_test_labeled(AnnuityTest test/InterestAndAnnuities/annuity_test.cpp "InterestAndAnnuities;Unit")
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add_cpp_test_labeled(CashFlowTest test/InterestAndAnnuities/cash_flow_test.cpp "InterestAndAnnuities;Unit")
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add_cpp_test_labeled(DiscountFactorTest test/InterestAndAnnuities/discount_factor_test.cpp "InterestAndAnnuities;Unit")
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add_cpp_test_labeled(PresentFutureValueTest test/InterestAndAnnuities/present_future_value_test.cpp "InterestAndAnnuities;Unit")
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# add_cpp_test_labeled(RSITest test/TimeSeries/rsi_test.cpp "TimeSeries;Unit")
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# add_cpp_test_labeled(RollingStdDevTest test/TimeSeries/rolling_std_dev_test.cpp "TimeSeries;Unit")
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# add_cpp_test_labeled(BellmanArbitrageTest test/GraphAlgos/bellman_arbitrage_test.cpp "GraphAlgos;Unit")

‎include/finmath/FixedIncome/bond_pricing.h‎

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#ifndef BOND_PRICING_H
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#define BOND_PRICING_H
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#include <cmath>
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#include <stdexcept>
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/**
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* Bond price (coupon bond)
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* Calculates the theoretical price of a bond
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*
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* @param face_value Face value (par value) of the bond
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* @param coupon_rate Annual coupon rate (e.g., 0.05 for 5%)
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* @param yield_to_maturity Yield to maturity (discount rate)
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* @param periods Number of coupon payment periods per year
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* @param time_to_maturity Time to maturity in years
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* @return Bond price
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*
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* Formula: Price = sum(Coupon / (1+r)^i) + Face / (1+r)^n
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*
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* Example:
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* 10-year bond, $1000 face, 5% coupon, paid semi-annually, 4% YTM
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* Coupon per period = $1000 * 0.05 / 2 = $25
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* Number of periods = 10 * 2 = 20
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* Rate per period = 0.04 / 2 = 0.02
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*/
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double bond_price(
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double face_value,
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double coupon_rate,
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double yield_to_maturity,
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int periods,
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double time_to_maturity
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);
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/**
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* Bond yield (simplified, iterative)
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* Finds YTM given bond price
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* Uses Newton-Raphson method
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*
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* @param face_value Face value of the bond
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* @param coupon_rate Annual coupon rate
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* @param price Current market price of the bond
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* @param periods Number of coupon payment periods per year
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* @param time_to_maturity Time to maturity in years
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* @return Yield to maturity
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*/
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double bond_yield(
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double face_value,
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double coupon_rate,
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double price,
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int periods,
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double time_to_maturity
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);
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/**
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* Duration (Macaulay)
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* Measures interest rate sensitivity
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*
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* @param face_value Face value of the bond
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* @param coupon_rate Annual coupon rate
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* @param yield_to_maturity Yield to maturity
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* @param periods Number of coupon payment periods per year
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* @param time_to_maturity Time to maturity in years
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* @return Macaulay duration in years
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*
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* Formula: Duration = sum(t * PV(CF_t)) / Price
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*/
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double bond_duration(
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double face_value,
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double coupon_rate,
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double yield_to_maturity,
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int periods,
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double time_to_maturity
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);
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#endif // BOND_PRICING_H

‎include/finmath/InterestAndAnnuities/annuity.h‎

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#ifndef ANNUITY_H
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#define ANNUITY_H
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#include <cmath>
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#include <stdexcept>
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/**
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* Present value of ordinary annuity
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* Payments are made at the END of each period
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*
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* @param payment Payment amount per period
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* @param rate Interest rate per period (not annualized if periods are not annual)
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* @param periods Number of payment periods
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* @return Present value of the annuity
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*
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* Formula: PV = P * [1 - (1+r)^(-n)] / r
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*
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* Edge cases:
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* - If rate == 0: return payment * periods
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* - If periods == 0: return 0
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*/
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double annuity_present_value(double payment, double rate, int periods);
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/**
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* Future value of ordinary annuity
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*
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* @param payment Payment amount per period
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* @param rate Interest rate per period
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* @param periods Number of payment periods
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* @return Future value of the annuity
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*
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* Formula: FV = P * [(1+r)^n - 1] / r
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*/
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double annuity_future_value(double payment, double rate, int periods);
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/**
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* Present value of annuity due
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* Payments are made at the BEGINNING of each period
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*
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* @param payment Payment amount per period
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* @param rate Interest rate per period
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* @param periods Number of payment periods
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* @return Present value of annuity due
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*
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* Formula: PV = P * [1 - (1+r)^(-n)] / r * (1 + r)
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*/
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double annuity_due_present_value(double payment, double rate, int periods);
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/**
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* Future value of annuity due
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*
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* @param payment Payment amount per period
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* @param rate Interest rate per period
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* @param periods Number of payment periods
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* @return Future value of annuity due
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*
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* Formula: FV = P * [(1+r)^n - 1] / r * (1 + r)
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*/
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double annuity_due_future_value(double payment, double rate, int periods);
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#endif // ANNUITY_H

‎include/finmath/InterestAndAnnuities/cash_flow.h‎

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#ifndef CASH_FLOW_H
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#define CASH_FLOW_H
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#include <cmath>
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#include <stdexcept>
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#include <vector>
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/**
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* Net Present Value
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* Calculates the present value of all cash flows
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*
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* @param cash_flows Vector of cash flows (negative = outflow, positive = inflow)
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* @param rate Discount rate (e.g., 0.10 for 10%)
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* @param initial_investment Optional initial investment (default: 0.0)
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* @return Net present value
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*
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* Formula: NPV = sum(CF_i / (1+r)^i) - Initial Investment
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*
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* Example:
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* cash_flows = [-1000, 100, 200, 300, 400]
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* rate = 0.10
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* NPV = -1000 + 100/(1.1) + 200/(1.1)^2 + 300/(1.1)^3 + 400/(1.1)^4
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*/
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double net_present_value(
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const std::vector<double>& cash_flows,
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double rate,
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double initial_investment = 0.0
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);
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/**
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* Internal Rate of Return
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* Finds the discount rate that makes NPV = 0
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* Uses Newton-Raphson iterative method
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*
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* @param cash_flows Vector of cash flows
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* @param initial_guess Starting guess for IRR (default: 0.1 = 10%)
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* @param max_iterations Maximum iterations for convergence (default: 100)
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* @param tolerance Convergence tolerance (default: 1e-6)
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* @return Internal rate of return
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*
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* Algorithm:
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* 1. Start with initial guess
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* 2. Calculate NPV and dNPV/dr at current guess
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* 3. Update: r_new = r_old - NPV / dNPV/dr
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* 4. Repeat until |NPV| < tolerance
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*
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* @throws std::runtime_error if convergence fails
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*/
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double internal_rate_of_return(
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const std::vector<double>& cash_flows,
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double initial_guess = 0.1,
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int max_iterations = 100,
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double tolerance = 1e-6
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);
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/**
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* Payback period
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* Returns the number of periods until cumulative cash flows exceed initial investment
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*
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* @param cash_flows Vector of cash flows (first element is typically initial investment)
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* @param initial_investment Initial investment amount
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* @return Number of periods until payback (returns -1 if never pays back)
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*
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* Example:
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* cash_flows = [100, 200, 300, 400]
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* initial_investment = 500
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* Cumulative: 100, 300, 600 (payback at period 3)
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*/
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int payback_period(
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const std::vector<double>& cash_flows,
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double initial_investment
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);
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#endif // CASH_FLOW_H

‎include/finmath/InterestAndAnnuities/discount_factor.h‎

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#ifndef DISCOUNT_FACTOR_H
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#define DISCOUNT_FACTOR_H
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#include <cmath>
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#include <stdexcept>
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/**
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* Discrete compounding discount factor
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* Converts a future value to present value using discrete compounding
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*
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* @param rate Annual interest rate (e.g., 0.05 for 5%)
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* @param time Time in years
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* @return Discount factor (0 < DF <= 1)
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*
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* Formula: DF = 1 / (1 + r)^t
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*
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* @throws std::invalid_argument if rate < 0 or time < 0
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*/
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double discount_factor(double rate, double time);
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/**
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* Continuous compounding discount factor
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* Uses exponential compounding for continuous interest
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*
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* @param rate Annual interest rate (e.g., 0.05 for 5%)
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* @param time Time in years
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* @return Discount factor (0 < DF <= 1)
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*
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* Formula: DF = e^(-r*t)
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*
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* @throws std::invalid_argument if rate < 0 or time < 0
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*/
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double discount_factor_continuous(double rate, double time);
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/**
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* Future value factor
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* Converts a present value to future value
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*
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* @param rate Annual interest rate (e.g., 0.05 for 5%)
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* @param time Time in years
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* @return Future value factor (FVF >= 1)
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*
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* Formula: FVF = (1 + r)^t
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*
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* @throws std::invalid_argument if rate < 0 or time < 0
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*/
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double future_value_factor(double rate, double time);
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#endif // DISCOUNT_FACTOR_H

‎include/finmath/InterestAndAnnuities/present_future_value.h‎

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#ifndef PRESENT_FUTURE_VALUE_H
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#define PRESENT_FUTURE_VALUE_H
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#include <cmath>
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#include <stdexcept>
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/**
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* Present value with discrete compounding
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* Calculates what a future amount is worth today
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*
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* @param future_value Amount to be received in the future
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* @param rate Annual interest rate (e.g., 0.05 for 5%)
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* @param time Time in years until the future value is received
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* @return Present value of the future amount
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*
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* Formula: PV = FV / (1 + r)^t
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*/
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double present_value(double future_value, double rate, double time);
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/**
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* Future value with discrete compounding
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* Calculates what a current amount will be worth in the future
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*
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* @param present_value Current amount
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* @param rate Annual interest rate (e.g., 0.05 for 5%)
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* @param time Time in years
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* @return Future value of the present amount
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*
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* Formula: FV = PV * (1 + r)^t
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*/
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double future_value(double present_value, double rate, double time);
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/**
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* Present value with continuous compounding
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* Uses exponential compounding
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*
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* @param future_value Amount to be received in the future
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* @param rate Annual interest rate (e.g., 0.05 for 5%)
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* @param time Time in years
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* @return Present value with continuous compounding
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*
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* Formula: PV = FV * e^(-r*t)
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*/
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double present_value_continuous(double future_value, double rate, double time);
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/**
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* Future value with continuous compounding
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*
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* @param present_value Current amount
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* @param rate Annual interest rate (e.g., 0.05 for 5%)
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* @param time Time in years
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* @return Future value with continuous compounding
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*
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* Formula: FV = PV * e^(r*t)
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*/
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double future_value_continuous(double present_value, double rate, double time);
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#endif // PRESENT_FUTURE_VALUE_H

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