YTM - Frequency Parameterized. YTM - Pricing a Zero Coupon.

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Presentation transcript:

YTM - Frequency Parameterized

YTM - Pricing a Zero Coupon

Deliverables for Oct 19 -Implement a “living spec” prototype spreadsheet for the geometric series based YTM formula -Download new versions of libraries on our website: -SBB_io class (to be able to read frequency) -SBB_date class -Build in support for a “Zero Coupon” Bond -Build a “trading book” collection class to handle a heterogeneous mix of types… -Possible “collectable” abstractions: -Instrument -Calculator -Bond -Criteria for class design: separately testable -Best way to use the SBB_io class data? -Inherit? Contain? Use? (recall “is-a”, “has-a”, “uses”…) -Load in new a data file (on website) to test an expanded portfolio of bonds…

Indirection, Polymorphism, Data Abstraction -How to handle a heterogeneous mix? -Coupon-bearing -Zero Coupon -What does data-driven mean? -Pricing function signature -Data-file “schema” -Is-a, Has-a, Uses… -Memory management -Collection requirements: -Searching -Re-run using different yields -Link with another collection (yield-curve)

Deliverables for Oct 26 -Download new versions of libraries on our website: -New data items in SBB_io.h: -Amount -Ticker -Quality -Add identifier: “Ticker Coupon Maturity” -Using trading book collection class calculate: -Total position -Total first order risk (dv01)