java实现excel价格、收益率函数[关闭]

想知道是否有人可以向我指出一个开源 java Quant 库，该库提供 Excel 价格和收益率函数的实现。

谢谢， 塔帕斯维

Excel PRICE 函数是贴现现金流的简单总和，假设平坦的零利率贴现曲线进行贴现。它记录在这里：Excel 帮助/价格 http://office.microsoft.com/en-us/excel-help/price-HP005209219.aspx.

我编写了该函数的一个小型 Java 版本，并将其发布在下面。 Java版本仅采用“到期时间”，不支持不同的日数计算，而Excel PRICE函数则采用结算日期和到期日，并支持不同的日数计算。但是，您可以通过转换优惠券来归因于不同的天数。另请注意，Excel 函数在优惠券前面有一个奇怪的硬编码概念 100。

对两种实现进行基准测试的 Excel 工作表可以是在这里下载 http://www.obba.info/tutorial/priceandyield/。该表要求"Obba" http://www.obba.info/.

Excel YIELD 函数只是应用于 PRICE 函数的牛顿求解器，请参阅Excel 帮助/产量 http://office.microsoft.com/en-us/excel-help/yield-HP005209345.aspx。牛顿求解器的 Java 实现可以在以下位置找到：金融数学网 http://www.finmath.net.

/*
 * Created on 07.04.2012
 */

/**
 * This class implements some functions as static class methods.
 *
 * (c) Copyright 2012 Christian Fries.
 *
 * @author Christian Fries
 * @version 1.0
 */
public class SpreadsheetFunctions {

    /**
     * Re-implementation of the Excel PRICE function (a rather primitive bond price formula).
     * The reimplementation is not exact, because this function does not consider daycount conventions.
     * We assume we have (int)timeToMaturity/frequency future periods and the running period has
     * an accrual period of timeToMaturity - frequency * ((int)timeToMaturity/frequency).
     * 
     * @param timeToMaturity The time to maturity.
     * @param coupon Coupon payment.
     * @param yield Yield (discount factor, using frequency: 1/(1 + yield/frequency).
     * @param redemption Redemption (notional repayment).
     * @param frequency Frequency (1,2,4).
     * @return price Clean price.
     */
    public static double price(
            double timeToMaturity,
            double coupon,
            double yield,
            double redemption,
            int frequency)
    {
        double price = 0.0;

        if(timeToMaturity > 0) {
            price += redemption;
        }

        double paymentTime = timeToMaturity;
        while(paymentTime > 0) {
            price += coupon/frequency;

            // Discount back
            price = price / (1.0 + yield / frequency);
            paymentTime -= 1.0 / frequency;
        }

        // Accrue running period
        double accrualPeriod = 0.0-paymentTime; // amount of running period which lies in the past (before settlement)
        price *= Math.pow(1.0 + yield / frequency, accrualPeriod*frequency);
        price -= coupon/frequency * accrualPeriod*frequency;

        return price;
    }
}