Notion funcs

CMakeLists.txt

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

include/finmath/FixedIncome/bond_pricing.h

@@ -0,0 +1,75 @@
+#ifndef BOND_PRICING_H
+#define BOND_PRICING_H
+
+#include <cmath>
+#include <stdexcept>
+
+/**
+ * Bond price (coupon bond)
+ * Calculates the theoretical price of a bond
+ *
+ * @param face_value Face value (par value) of the bond
+ * @param coupon_rate Annual coupon rate (e.g., 0.05 for 5%)
+ * @param yield_to_maturity Yield to maturity (discount rate)
+ * @param periods Number of coupon payment periods per year
+ * @param time_to_maturity Time to maturity in years
+ * @return Bond price
+ *
+ * Formula: Price = sum(Coupon / (1+r)^i) + Face / (1+r)^n
+ *
+ * Example:
+ *   10-year bond, $1000 face, 5% coupon, paid semi-annually, 4% YTM
+ *   Coupon per period = $1000 * 0.05 / 2 = $25
+ *   Number of periods = 10 * 2 = 20
+ *   Rate per period = 0.04 / 2 = 0.02
+ */
+double bond_price(
+    double face_value,
+    double coupon_rate,
+    double yield_to_maturity,
+    int periods,
+    double time_to_maturity
+);
+
+/**
+ * Bond yield (simplified, iterative)
+ * Finds YTM given bond price
+ * Uses Newton-Raphson method
+ *
+ * @param face_value Face value of the bond
+ * @param coupon_rate Annual coupon rate
+ * @param price Current market price of the bond
+ * @param periods Number of coupon payment periods per year
+ * @param time_to_maturity Time to maturity in years
+ * @return Yield to maturity
+ */
+double bond_yield(
+    double face_value,
+    double coupon_rate,
+    double price,
+    int periods,
+    double time_to_maturity
+);
+
+/**
+ * Duration (Macaulay)
+ * Measures interest rate sensitivity
+ *
+ * @param face_value Face value of the bond
+ * @param coupon_rate Annual coupon rate
+ * @param yield_to_maturity Yield to maturity
+ * @param periods Number of coupon payment periods per year
+ * @param time_to_maturity Time to maturity in years
+ * @return Macaulay duration in years
+ *
+ * Formula: Duration = sum(t * PV(CF_t)) / Price
+ */
+double bond_duration(
+    double face_value,
+    double coupon_rate,
+    double yield_to_maturity,
+    int periods,
+    double time_to_maturity
+);
+
+#endif // BOND_PRICING_H

include/finmath/InterestAndAnnuities/annuity.h

@@ -0,0 +1,61 @@
+#ifndef ANNUITY_H
+#define ANNUITY_H
+
+#include <cmath>
+#include <stdexcept>
+
+/**
+ * Present value of ordinary annuity
+ * Payments are made at the END of each period
+ *
+ * @param payment Payment amount per period
+ * @param rate Interest rate per period (not annualized if periods are not annual)
+ * @param periods Number of payment periods
+ * @return Present value of the annuity
+ *
+ * Formula: PV = P * [1 - (1+r)^(-n)] / r
+ *
+ * Edge cases:
+ * - If rate == 0: return payment * periods
+ * - If periods == 0: return 0
+ */
+double annuity_present_value(double payment, double rate, int periods);
+
+/**
+ * Future value of ordinary annuity
+ *
+ * @param payment Payment amount per period
+ * @param rate Interest rate per period
+ * @param periods Number of payment periods
+ * @return Future value of the annuity
+ *
+ * Formula: FV = P * [(1+r)^n - 1] / r
+ */
+double annuity_future_value(double payment, double rate, int periods);
+
+/**
+ * Present value of annuity due
+ * Payments are made at the BEGINNING of each period
+ *
+ * @param payment Payment amount per period
+ * @param rate Interest rate per period
+ * @param periods Number of payment periods
+ * @return Present value of annuity due
+ *
+ * Formula: PV = P * [1 - (1+r)^(-n)] / r * (1 + r)
+ */
+double annuity_due_present_value(double payment, double rate, int periods);
+
+/**
+ * Future value of annuity due
+ *
+ * @param payment Payment amount per period
+ * @param rate Interest rate per period
+ * @param periods Number of payment periods
+ * @return Future value of annuity due
+ *
+ * Formula: FV = P * [(1+r)^n - 1] / r * (1 + r)
+ */
+double annuity_due_future_value(double payment, double rate, int periods);
+
+#endif // ANNUITY_H

include/finmath/InterestAndAnnuities/cash_flow.h

@@ -0,0 +1,75 @@
+#ifndef CASH_FLOW_H
+#define CASH_FLOW_H
+
+#include <cmath>
+#include <stdexcept>
+#include <vector>
+
+
+/**
+ * Net Present Value
+ * Calculates the present value of all cash flows
+ *
+ * @param cash_flows Vector of cash flows (negative = outflow, positive = inflow)
+ * @param rate Discount rate (e.g., 0.10 for 10%)
+ * @param initial_investment Optional initial investment (default: 0.0)
+ * @return Net present value
+ *
+ * Formula: NPV = sum(CF_i / (1+r)^i) - Initial Investment
+ *
+ * Example:
+ *   cash_flows = [-1000, 100, 200, 300, 400]
+ *   rate = 0.10
+ *   NPV = -1000 + 100/(1.1) + 200/(1.1)^2 + 300/(1.1)^3 + 400/(1.1)^4
+ */
+double net_present_value(
+    const std::vector<double>& cash_flows,
+    double rate,
+    double initial_investment = 0.0
+);
+
+/**
+ * Internal Rate of Return
+ * Finds the discount rate that makes NPV = 0
+ * Uses Newton-Raphson iterative method
+ *
+ * @param cash_flows Vector of cash flows
+ * @param initial_guess Starting guess for IRR (default: 0.1 = 10%)
+ * @param max_iterations Maximum iterations for convergence (default: 100)
+ * @param tolerance Convergence tolerance (default: 1e-6)
+ * @return Internal rate of return
+ *
+ * Algorithm:
+ * 1. Start with initial guess
+ * 2. Calculate NPV and dNPV/dr at current guess
+ * 3. Update: r_new = r_old - NPV / dNPV/dr
+ * 4. Repeat until |NPV| < tolerance
+ *
+ * @throws std::runtime_error if convergence fails
+ */
+double internal_rate_of_return(
+    const std::vector<double>& cash_flows,
+    double initial_guess = 0.1,
+    int max_iterations = 100,
+    double tolerance = 1e-6
+);
+
+/**
+ * Payback period
+ * Returns the number of periods until cumulative cash flows exceed initial investment
+ *
+ * @param cash_flows Vector of cash flows (first element is typically initial investment)
+ * @param initial_investment Initial investment amount
+ * @return Number of periods until payback (returns -1 if never pays back)
+ *
+ * Example:
+ *   cash_flows = [100, 200, 300, 400]
+ *   initial_investment = 500
+ *   Cumulative: 100, 300, 600 (payback at period 3)
+ */
+int payback_period(
+    const std::vector<double>& cash_flows,
+    double initial_investment
+);
+
+#endif // CASH_FLOW_H

include/finmath/InterestAndAnnuities/discount_factor.h

@@ -0,0 +1,50 @@
+#ifndef DISCOUNT_FACTOR_H
+#define DISCOUNT_FACTOR_H
+
+#include <cmath>
+#include <stdexcept>
+
+
+/**
+ * Discrete compounding discount factor
+ * Converts a future value to present value using discrete compounding
+ *
+ * @param rate Annual interest rate (e.g., 0.05 for 5%)
+ * @param time Time in years
+ * @return Discount factor (0 < DF <= 1)
+ *
+ * Formula: DF = 1 / (1 + r)^t
+ *
+ * @throws std::invalid_argument if rate < 0 or time < 0
+ */
+double discount_factor(double rate, double time);
+
+/**
+ * Continuous compounding discount factor
+ * Uses exponential compounding for continuous interest
+ *
+ * @param rate Annual interest rate (e.g., 0.05 for 5%)
+ * @param time Time in years
+ * @return Discount factor (0 < DF <= 1)
+ *
+ * Formula: DF = e^(-r*t)
+ *
+ * @throws std::invalid_argument if rate < 0 or time < 0
+ */
+double discount_factor_continuous(double rate, double time);
+
+/**
+ * Future value factor
+ * Converts a present value to future value
+ *
+ * @param rate Annual interest rate (e.g., 0.05 for 5%)
+ * @param time Time in years
+ * @return Future value factor (FVF >= 1)
+ *
+ * Formula: FVF = (1 + r)^t
+ *
+ * @throws std::invalid_argument if rate < 0 or time < 0
+ */
+double future_value_factor(double rate, double time);
+
+#endif // DISCOUNT_FACTOR_H

include/finmath/InterestAndAnnuities/present_future_value.h

@@ -0,0 +1,59 @@
+#ifndef PRESENT_FUTURE_VALUE_H
+#define PRESENT_FUTURE_VALUE_H
+
+#include <cmath>
+#include <stdexcept>
+
+
+/**
+ * Present value with discrete compounding
+ * Calculates what a future amount is worth today
+ *
+ * @param future_value Amount to be received in the future
+ * @param rate Annual interest rate (e.g., 0.05 for 5%)
+ * @param time Time in years until the future value is received
+ * @return Present value of the future amount
+ *
+ * Formula: PV = FV / (1 + r)^t
+ */
+double present_value(double future_value, double rate, double time);
+
+/**
+ * Future value with discrete compounding
+ * Calculates what a current amount will be worth in the future
+ *
+ * @param present_value Current amount
+ * @param rate Annual interest rate (e.g., 0.05 for 5%)
+ * @param time Time in years
+ * @return Future value of the present amount
+ *
+ * Formula: FV = PV * (1 + r)^t
+ */
+double future_value(double present_value, double rate, double time);
+
+/**
+ * Present value with continuous compounding
+ * Uses exponential compounding
+ *
+ * @param future_value Amount to be received in the future
+ * @param rate Annual interest rate (e.g., 0.05 for 5%)
+ * @param time Time in years
+ * @return Present value with continuous compounding
+ *
+ * Formula: PV = FV * e^(-r*t)
+ */
+double present_value_continuous(double future_value, double rate, double time);
+
+/**
+ * Future value with continuous compounding
+ *
+ * @param present_value Current amount
+ * @param rate Annual interest rate (e.g., 0.05 for 5%)
+ * @param time Time in years
+ * @return Future value with continuous compounding
+ *
+ * Formula: FV = PV * e^(r*t)
+ */
+double future_value_continuous(double present_value, double rate, double time);
+
+#endif // PRESENT_FUTURE_VALUE_H