X-Git-Url: https://git.creatis.insa-lyon.fr/pubgit/?p=CreaPhase.git;a=blobdiff_plain;f=octave_packages%2Ffinancial-0.4.0%2Fcfconv.m;fp=octave_packages%2Ffinancial-0.4.0%2Fcfconv.m;h=4d1d0845e2f978ea908a12388b9d37f2933a08a3;hp=0000000000000000000000000000000000000000;hb=c880e8788dfc484bf23ce13fa2787f2c6bca4863;hpb=1705066eceaaea976f010f669ce8e972f3734b05

diff --git a/octave_packages/financial-0.4.0/cfconv.m b/octave_packages/financial-0.4.0/cfconv.m
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+## Copyright (C) 2011 Hong Yu <hyu0401@hotmail.com>
+##
+## This program is free software; you can redistribute it and/or modify it under
+## the terms of the GNU General Public License as published by the Free Software
+## Foundation; either version 3 of the License, or (at your option) any later
+## version.
+##
+## This program is distributed in the hope that it will be useful, but WITHOUT
+## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public License along with
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {@var{cfConv} =} cfconv (@var{cf}, @var{yield})
+## Calculate convexity @var{cfConv} from given fixed-paid cash flow @var{cf} and
+## period yield @var{yield}.
+## 
+## Reference:
+##
+## [1] http://thismatter.com/money/bonds/duration-convexity.htm
+##
+## [2] http://en.wikipedia.org/wiki/Bond_convexity
+##
+## @seealso{cfdur}
+## @end deftypefn
+
+function [cfConv] = cfconv (cf, yield)
+
+  if ( nargin != 2 )
+    print_usage ();
+  elseif ( ! isscalar(yield) )
+    error("yield: must be scalar");
+  elseif ( rows(cf) != 1 )
+    error("Cash Flow: must be 1xN");
+  endif
+
+  v_idx = 1:columns(cf);
+  t1    = (1+yield) .^ (-v_idx);
+  t2    = ((v_idx .^ 2) + v_idx) .* t1;
+
+  cfConv = (cf*t2') / (cf*t1') / (1+yield) / (1+yield);
+
+endfunction
+
+%!demo
+%! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5];
+%! yield = 0.025;
+%! cfConv = cfconv( cf, yield )
+%! %--------------------------------------------------
+%! % Input cash flow and yield, output convexity
+
+%!test
+%! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5];
+%! cfConv = cfconv( cf, 0.025 );
+%! errVal = round(cfConv*(1e+4))*(1e-4) - 90.4493;
+%! errVal = round(errVal*(1e+10));
+%! assert(errVal, 0)