InterestRateExample.cpp

This example show how to use interest class and compounding classes.

Future value of 1 CU calculated with simple rate compounding, interest rate = 0.05 accrual_period= 0.85 is 1.0425
Interest rate calculated with simple rate compounding, future value = 1.025 accrual_period= 0.85 is 0.0294118

Future value of 1 CU calculated with compounded rate compounding, interest rate = 0.05 accrual_period= 0.85 is 1.04234
Interest rate calculated with compounded rate compounding, future value = 1.025 accrual_period= 0.85 is 0.0294762

Future value of 1 CU calculated with exponential rate compounding, interest rate = 0.05 accrual_period= 0.85 is 1.04342
Interest rate calculated with exponential rate compounding, future value = 1.025 accrual_period= 0.85 is 0.0290501



Below calculation was performed for three different interest rate instances. Values of input data are as follows:
starting date:		 2015-08-26
middle date:		 2016-03-11
end date:		 2016-12-15
interest rate:		 0.05
DF for middle date:	 0.95
DF for end date:	 0.875

Capitaliation is a future value of 1CU at end date invested at starting date. Discount factor is present value of 1CU receive at end date.
Coupon is the yield on investement starting at start date and ending at end date.Zerocoupon is annualized yield rate of mention investment.
Forward rate is a rate form middle date to end date if the present value of 1CU received on those dates is know.

Simple interest rate:
 capitalization= 1.06534 discount factor= 0.938665 coupon= 0.0653425 zerocoupon rate= 0.109314 forward rate= 0.112135
Compounded interest rate:
  capitalization= 1.06584 discount factor= 0.938229 coupon= 0.0658381 zerocoupon rate= 0.107581 forward rate= 0.113588
Exponential interest rate:
 capitalization= 1.06752 discount factor= 0.936747 coupon= 0.0675246 zerocoupon rate= 0.102178 forward rate= 0.107587

#include <juliant.hpp>

using namespace julian;

int main() {
  //  To show how to use interest rate and compounding classes, we will need some auxiliary objects/
  //  like dates, year fraction calculator and accrual period, interest rate value and future value.
  
  Date date_start(2015,8,26);
  
  Date date_middle(2016,3,11);
  double DF_middle = 0.950;

  Date date_end(2016,12,15);
  double DF_end = 0.875;

  ACT365 yf;

  double r = 0.05;
  double accrual_period = 0.85;
  double future_value = 1.025;
  
  /********************
   *** COMPOUNDINGS ***
   ********************/

  SimpleRate simple;
  CompoundedRate compounded;
  ExponentialRate exponential;

  // Following code presents how to perform calculation of capitalization and interest rate, according to a given convention. 
  
  std::cout <<"Future value of 1 CU calculated with simple rate compounding, interest rate = "
        << r <<" accrual_period= " << accrual_period << " is " << simple.getCapitalization(r, accrual_period) << std::endl;
  
  std::cout << "Interest rate calculated with simple rate compounding, future value = "
        << future_value << " accrual_period= " << accrual_period << " is " << simple.getRate(future_value, accrual_period) << std::endl << std::endl;  

  std::cout << "Future value of 1 CU calculated with compounded rate compounding, interest rate = "
        << r <<" accrual_period= " << accrual_period << " is " << compounded.getCapitalization(r, accrual_period) << std::endl; 
  std::cout << "Interest rate calculated with compounded rate compounding, future value = "
        << future_value << " accrual_period= " << accrual_period << " is " << compounded.getRate(future_value, accrual_period) << std::endl << std::endl; 

  std::cout << "Future value of 1 CU calculated with exponential rate compounding, interest rate = "
        << r <<" accrual_period= " << accrual_period << " is " << exponential.getCapitalization(r, accrual_period) << std::endl; 
  std::cout << "Interest rate calculated with exponential rate compounding, future value = "
        << future_value << " accrual_period= " << accrual_period << " is " << exponential.getRate(future_value, accrual_period)
        << std::endl << std::endl << std::endl << std::endl;

  InterestRate simple_rate(simple, yf);
  InterestRate compounded_rate(compounded, yf);
  InterestRate exponential_rate(exponential, yf);

  std::cout << "Below calculation was performed for three different interest rate instances. Values of input data are as follows:\n"
        << "starting date:\t\t " << date_start
        << "\nmiddle date:\t\t " << date_middle
        << "\nend date:\t\t " << date_end
        << "\ninterest rate:\t\t " << r
        << "\nDF for middle date:\t " << DF_middle
            << "\nDF for end date:\t " << DF_end
        << "\n\nCapitaliation is a future value of 1CU at end date invested at starting date. "
        << "Discount factor is present value of 1CU receive at end date.\nCoupon is the yield on investement starting at start date and ending at end date."
        << "Zerocoupon is annualized yield rate of mention investment.\nForward rate is a rate form middle date " 
        << "to end date if the present value of 1CU received on those dates is know." << std::endl << std::endl;

  std::cout << "Simple interest rate:\n "
        << "capitalization= " << simple_rate.capitalization(date_start, date_end, r) << " "
        << "discount factor= " << simple_rate.DF(date_start, date_end, r) << " "
            << "coupon= " << simple_rate.coupon(date_start, date_end, r) << " "
            << "zerocoupon rate= " << simple_rate.zcRate(date_start, date_end, DF_end) << " "
        << "forward rate= " << simple_rate.fwdRate(date_middle, date_end, DF_middle, DF_end) << std::endl;

  std::cout << "Compounded interest rate:\n  "
        << "capitalization= " << compounded_rate.capitalization(date_start, date_end, r)<<" "
        << "discount factor= " << compounded_rate.DF(date_start, date_end, r)<<" "
            << "coupon= " << compounded_rate.coupon(date_start, date_end, r)<<" "
            << "zerocoupon rate= " << compounded_rate.zcRate(date_start, date_end, DF_end)<<" "
        << "forward rate= " << compounded_rate.fwdRate(date_middle, date_end, DF_middle, DF_end)<<std::endl;

  std::cout << "Exponential interest rate:\n "
        << "capitalization= " << exponential_rate.capitalization(date_start, date_end, r)<<" "
        << "discount factor= " << exponential_rate.DF(date_start, date_end, r)<<" "
            << "coupon= " << exponential_rate.coupon(date_start, date_end, r)<<" "
            << "zerocoupon rate= " << exponential_rate.zcRate(date_start, date_end, DF_end)<<" "
        << "forward rate= " << exponential_rate.fwdRate(date_middle, date_end, DF_middle, DF_end)<<std::endl; 

}