By chance. The source code of others that I picked up is recorded here. Maybe it can still be used in the future.
1. Duration implementation
import java.text.ParseException;
import java.text.SimpleDateFormat;
import java.util.Calendar;
import java.util.Date;
public class DurationFunction {<!-- -->
public static Double getDuration(String settlementStr,String maturityStr,Double coupon,Double yld,Double frequency,Integer basis) {<!-- -->
Date settlement = null;
Date maturity = null;
try {<!-- -->
SimpleDateFormat simpleDateFormat = new SimpleDateFormat("yyyy-MM-dd");
settlement = simpleDateFormat.parse(settlementStr);
maturity = simpleDateFormat.parse(maturityStr);
} catch (ParseException e) {<!-- -->
return new Double(0.0);
}
double m=interval(settlement, maturity,basis, 'm');//The number of months between settlement date and maturity date
double z=12/frequency;//The number of months in each interest payment period
double T=Math.ceil(m/z);//Number of interest payments between settlement date and maturity date
double c=coupon/frequency;
double y=yld/frequency;
return new Double((1 + 1/y-(1 + y + T*(c-y))/(c*Math.pow(1 + y, T)-c + y))/frequency);
}
public static long interval(Date date1, Date date2, int basis, char mark){<!-- -->
Calendar calendar = Calendar.getInstance();
calendar.setTime(date1);
int m1=calendar.get(Calendar.MONTH) + 1;
int y1=calendar.get(Calendar.YEAR);
int d1=calendar.get(Calendar.DAY_OF_MONTH);
calendar.setTime(date2);
int m2=calendar.get(Calendar.MONTH) + 1;
int y2=calendar.get(Calendar.YEAR);
int d2=calendar.get(Calendar.DAY_OF_MONTH);
if(mark=='d'){<!-- -->
if(basis==0 || basis==4){<!-- --> //Calculated as 30 days per month
return ((y2-y1)*12 + m2-m1)*30 + d2-d1;
}else{<!-- --> //Calculate based on actual days
long day = 24 * 3600 * 1000;
long interval = date2.getTime() / day - date1.getTime() / day;
return interval;
}
}else if(mark=='m'){<!-- -->
int m=(y2-y1)*12 + m2-m1;
if(d1>d2) m-=1;
return m;
}
return 0;
}
}
**2. Xirr implementation **
import oracle.jdbc.internal.OracleStruct;
import oracle.sql.ARRAY;
import java.math.BigDecimal;
import java.util.ArrayList;
import java.util.Date;
import java.util.List;
public class XirrFunction {<!-- -->
public final static Double MIN_DISTANCE = 1E-15; // Target accuracy, minimum allowed difference (recommended to be accurate to 8-15 decimal places)
public final static Double MIN_VALUE = 1E-8; // Minimum range of allowed net present value deviation
public final static int MAX_ITERATION = 100; // Maximum number of iterations (to prevent stuck, usually 100 loops is enough)
public final static Double DEFAULT_XIRR_GUESS = 0.1D; //Default Xirr guess value
public final static Double FULL_YEAR_DAYS = 365.0D; // Number of days in the year
public static Double xirr_q(ARRAY array) {<!-- -->
try {<!-- -->
List<Double> values = new ArrayList<>();
List<Date> dates = new ArrayList<>();
Object[] var6 = (Object[]) array.getArray();
for (int i = 0; i < var6.length; i + + ) {<!-- -->
OracleStruct oracleStruct = (OracleStruct) var6[i];
Object[] attributes = oracleStruct.getAttributes();
//The starting position of the field value array elements is 0, which is different from the field array.
values.add( ((BigDecimal)attributes[0]).doubleValue());
dates.add((Date) attributes[1]);
}
Double rate = xirr(values.toArray(new Double[0]),
dates.toArray(new Date[0]), DEFAULT_XIRR_GUESS);
return rate;
} catch (Exception e) {<!-- -->
return new Double(0.0);
}
}
/**
* Calculate the rate of return with a net present value of 0<br>
* Description: Use the iterative half-search myopia value method to calculate the function XIRR. By changing the yield (starting from guess), the calculation result is continuously revised until its accuracy is less than 1E-7.<br>
* If the function XIRR is evaluated 100 times and no result is found, the error value NaN is returned.
*
* @param values cash flow (must have at least one positive cash flow and one negative cash flow)
* @param dates date
* @param guess guess value
* @return rate of return
*/
public static Double xirr(Double[] values, Date[] dates, double guess) {<!-- -->
Double result = new Double(0.0); // Return result
Double irrGuess = DEFAULT_XIRR_GUESS; // Calculate the half amount of the xirr guess value
Double sumCashFlows = 0.0D; // sum of cash flows
boolean wasHi = false; // Prevent missing interval identifiers
Double npv = 0.0D; // Net present value
int negativeCashFlowCount = 0; // Number of positive cash flows
int positiveCashFlowCount = 0; //Number of negative cash flows
if (values == null || values.length == 0) return result;
if (dates == null || dates.length == 0) return result;
if (values.length != dates.length) return result;
for (int i = 0; i < values.length; i + + ) {<!-- -->
sumCashFlows + = values[i];
if (values[i] > 0.0) {<!-- -->
negativeCashFlowCount + + ;
} else if (values[i] < 0.0) {<!-- -->
positiveCashFlowCount + + ;
}
}
if (negativeCashFlowCount <= 0 || positiveCashFlowCount <= 0) return result;
if (!Double.isNaN(guess)) {<!-- -->
irrGuess = guess;
if (irrGuess <= 0.0) irrGuess = 0.5;
}
Double irr = sumCashFlows < 0 ? -irrGuess : irrGuess;
for (int i = 0; i <= MAX_ITERATION; i + + ) {<!-- -->
npv = getXirrNpvValue(irr, values, dates);
if (Math.abs(npv) < MIN_VALUE) {<!-- -->
result = irr;
break;
}
if (npv > 0.0) {<!-- -->
if (wasHi) irrGuess /= 2;
irr + = irrGuess;
if (wasHi) {<!-- -->
irrGuess -= MIN_DISTANCE;
wasHi = false;
}
} else {<!-- -->
irrGuess /= 2;
irr -= irrGuess;
wasHi = true;
}
if (irrGuess <= MIN_DISTANCE) {<!-- -->
result = irr;
break;
}
}
return result;
}
/**
* Calculate the net present value according to the formula
*
* @param guess guess value
* @param values cash flow (must have at least one positive cash flow and one negative cash flow)
* @param dates date
* @return net present value
*/
public static Double getXirrNpvValue(final double guess, Double[] values, Date[] dates) {<!-- -->
Double result = 0.0D;
// 0 = sum(values[i] / (1 + rate)^((dates[i] - dates[1]) / 365))
for (int i = 0; i < dates.length; i + + ) {<!-- -->
result + = values[i] / Math.pow(1 + guess, getIntervalDays(dates[i], dates[0]) / FULL_YEAR_DAYS);
}
return result;
}
private static Long getIntervalDays(Date endDate, Date startDate) {<!-- -->
long day = 24 * 60 * 60 * 1000;
return (endDate.getTime() - startDate.getTime()) / day;
}
}
3. Yield implementation
import java.text.SimpleDateFormat;
import java.util.Calendar;
import java.util.Date;
public class YieldFunction {<!-- -->
// public static void main(String[] args) throws Exception {<!-- -->
// Double yield = yield("2008-02-15","2016-11-15", 0.0575, 95.04287, 100, 2,2);
// System.out.println(yield);
// }
public static Double getYield(String settlementStr, String maturityStr, Double rate, Double pr,
Double redemption, Integer frequency, Integer basis) {<!-- -->
Date settlement = null;
Date maturity = null;
try {<!-- -->
SimpleDateFormat simpleDateFormat = new SimpleDateFormat("yyyy-MM-dd");
settlement = simpleDateFormat.parse(settlementStr);
maturity = simpleDateFormat.parse(maturityStr);
if (settlement.compareTo(maturity) == 1) {<!-- -->
throw new Exception();
}
if (rate < 0 || pr <= 0 || redemption <= 0) {<!-- -->
throw new Exception();
}
} catch (Exception e) {<!-- -->
return new Double(0.0);
}
double m = interval(settlement, maturity, basis, 'm');
int z = 12 / frequency;
int n = new Double(Math.ceil(m / z)).intValue();
Calendar calendar = Calendar.getInstance();
calendar.setTime(maturity);
calendar.add(Calendar.MONTH, -n * z);
Date end = new Date();
end.setTime(calendar.getTimeInMillis());
Date start = new Date();
if (settlement.compareTo(end) == 1) {<!-- -->
start.setTime(end.getTime());
calendar.add(Calendar.MONTH, z);
end.setTime(calendar.getTimeInMillis());
} else {<!-- -->
calendar.add(Calendar.MONTH, -z);
start.setTime(calendar.getTimeInMillis());
}
double dsr = interval(settlement, maturity, basis, 'd');
double E = interval(start, end, basis, 'd');
double A = interval(start, settlement, basis, 'd');
if (n <= 1) {<!-- -->
return new Double((redemption / 100.0 + rate / frequency - pr / 100.0 - A * rate / E / frequency) * frequency * E / dsr / (pr / 100.0 + A * rate / E / frequency));
}
long dsc = interval(settlement, end, basis, 'd');
double lguess = 0.1;
double guess = 0.1;
double lvalue = 0;
double step = 0.01;
for (int i = 1; i <= 100; i + + ) {<!-- -->
double tmp1 = redemption / Math.pow(1.0 + guess / frequency, n - 1.0 + dsc / E);
double tmp2 = 0;
for (double k = 1; k <= n; k + + ) {<!-- -->
tmp2 + = 100.0 * rate / frequency / Math.pow(1 + guess / frequency, k - 1.0 + dsc / E);
}
double tmp3 = 100.0 * rate * A / frequency / E;
double value = tmp1 + tmp2 - tmp3 - pr;
if (value < 0.0000001 & amp; & amp; value > -0.0000001) break;
else if ((lvalue > 0.0000001 & amp; & amp; value < -0.0000001) || (lvalue < -0.0000001 & amp; & amp; value > 0.0000001)) {<!-- -->
double temp1 = value;
double temp2 = guess;
if (value > lvalue) {<!-- -->
double tmp = value;
value = lvalue;
lvalue = tmp;
tmp = guess;
guess = guess;
lguess = tmp;
}
guess = lvalue * (guess - lguess) / (lvalue - value) + lguess;
step = step / 10;
lvalue = temp1;
lguess = temp2;
continue;
} else if (value > 0.0000001) {<!-- -->
lguess = guess;
lvalue = value;
guess + = step;
} else if (value < -0.0000001) {<!-- -->
lguess = guess;
lvalue = value;
guess -= step;
}
if (guess == -1) {<!-- -->
guess + = step / 2;
step = step / 10;
}
}
return new Double(guess);
}
public static long interval(Date date1, Date date2, int basis, char mark) {<!-- -->
Calendar calendar = Calendar.getInstance();
calendar.setTime(date1);
int m1 = calendar.get(Calendar.MONTH) + 1;
int y1 = calendar.get(Calendar.YEAR);
int d1 = calendar.get(Calendar.DAY_OF_MONTH);
calendar.setTime(date2);
int m2 = calendar.get(Calendar.MONTH) + 1;
int y2 = calendar.get(Calendar.YEAR);
int d2 = calendar.get(Calendar.DAY_OF_MONTH);
if (mark == 'd') {<!-- -->
if (basis == 0 || basis == 4) {<!-- --> //Calculated as 30 days per month
return ((y2 - y1) * 12 + m2 - m1) * 30 + d2 - d1;
} else {<!-- --> //Calculate based on actual days
long day = 24 * 3600 * 1000;
long interval = date2.getTime() / day - date1.getTime() / day;
return interval;
}
} else if (mark == 'm') {<!-- -->
int m = (y2 - y1) * 12 + m2 - m1;
if (d1 > d2) m -= 1;
return m;
}
return 0;
}
}