代写ISyE 6767、代做c++，Java程序

日期：2023-09-22 07:02

ISyE 6767 Sys-Computation Finance S. Deng

Homework 2

1. Design Bond class: a bond is a security that makes fixed payments on specific dates, based on the expiration date, frequency of payments, and coupon rate. Header File should include:

• Private elements for expiration date, frequency of payments and coupon rate.

• Add the #ifndef/#define/#endif statements to avoid multiple inclusion.

• Default constructor initializing all private elements to zero, Destructor, Copy Constructor, and another constructor that initializes a bond using

expiration date, frequency of payments, and coupon rate.

• A ToString() function that returns a string description of the bond. Use the std::string class as return type. For example: “Bond (01/01/2020,0.5,0.07)” could be the return of a bond with expiration date on 01/01/2020, a payment each 6 months, and 7% of coupon.

Bond

   Expiration date Frequency Coupon rate

(string) (double) (double)

  Default Constructor

Destructor

Copy Constructor

Constructor (Time, Freq, Coup) ToString()

Implement the class in the main file, creating a default bond and printing its information in the command line. Then create a new semi-annually compounded bond with 7% coupon rate and expiring on November 19th, 2035 and print its characteristics using the ToString() function.

2. Design a Bond Pricing Function for your Bond Class.

When a bond is issued the price is 100, but after that, the price fluctuates according to the interest rate.

The price of a bond is defined as the present value of the cashflows:

𝑛𝑛

𝑃𝑟𝑖𝑐𝑒 = ∑ 𝑃𝑉(𝐶𝐹𝑖) = ∑ 𝐶𝐹𝑖 ∗ 𝐷𝐹𝑖 𝑖=1 𝑖=1

𝐶𝐹𝑖 = { 𝑐𝑜𝑢𝑝𝑜𝑛, 𝑛𝑜𝑡 𝑒𝑥𝑝𝑖𝑟𝑎𝑡𝑖𝑜𝑛 𝑑𝑎𝑡𝑒 100 + 𝑐𝑜𝑢𝑝𝑜𝑛, 𝑒𝑥𝑝𝑖𝑟𝑎𝑡𝑖𝑜𝑛 𝑑𝑎𝑡𝑒

Where

The file Bond.xlsx contains an example of how to price a Bond (Exp Date, 0.5, 8%) for 4.2 years to maturity and 7% interest rate, using continuous discount factors. You are asked to implement a pricing function for the Bond class using the above methodology.

3. On Aug 3, 2015, you purchased a security for $98, that will pay you the arithmetic average of an underlying security’s prices observed on Jan. 1 of each year from 2016 to 2020 with the payment made on December 31, 2020. Specifically, the underlying security is a 10-year bond issued on Jan. 1, 2010, which pays semi-annual coupons (Frequency=0.5) of 5% with face value of $100. The time series of the interest rate data is given in the file Bond_Ex3.csv. Was the purchasing of this security a good investment?

𝐷𝐹𝑖 (𝐷𝑖𝑠𝑐𝑜𝑢𝑛𝑡 𝐹𝑎𝑐𝑡𝑜𝑟 𝑎𝑡 𝑖) = 𝑒−𝑖∗𝑇𝑖

𝑐𝑜𝑢𝑝𝑜𝑛 = 100(𝑐𝑜𝑢𝑝𝑜𝑛 𝑟𝑎𝑡𝑒) ∗ (𝑡𝑖𝑚𝑒 𝑡𝑜 𝑛𝑒𝑥𝑡 𝑝𝑎𝑦𝑚𝑒𝑛𝑡)