Entity:
Investment 250 46
null  * 
presentValue double 3 false false false futureValue double 3 false false false internalRate double 3 false false false coupon double 3 false false false frequency int 3 false false false period double 3 false false false term double 3 false false false




Operation:
createFlows
Investment



true
Integer.subrange(1,( term * frequency )->floor())->forAll( i | CashFlow->exists( f | f.amount = coupon & f.timePoint = i * period & f : flows ))




Operation:
totalValue
Investment
double
r double 
 query
true
result = flows->collect( f | f.amount / ( ( 1 + r )->pow(f.timePoint) ) )->sum() + futureValue / ( ( 1 + r )->pow(flows.last.timePoint) )




Operation:
payout
Investment
double

 query
true
result = flows->collect(amount)->sum() + futureValue




Operation:
netPresentValue
Investment
double
r double
 query
true
result = totalValue(r) - presentValue





Operation:
findirr
Investment
double
r double rl double ru double 
 query
true
v = totalValue(r) & ( ( v > presentValue + 0.0010 => result = findirr(( ru + r ) / 2,r,ru) ) & ( v < presentValue - 0.0010 => result = findirr(( r + rl ) / 2,rl,r) ) & ( true => result = r ) )





Operation:
secantNPV
Investment
double
rn double rminus double tvminus double tol double 
 query
true
tvn = netPresentValue(rn) & ( tvn.abs < tol => result = rn ) & ( tvn.abs >= tol => result = secantNPV(rn - tvn * ( ( rn - rminus ) / ( tvn - tvminus ) ),rn,tvn,tol) )





Operation:
dosecantNPV
Investment
double
tol double
 query
flows.size > 0
a = flows->collect(amount)->sum() + presentValue & r1 = (a/presentValue)->pow(2.0/flows.size) - 1 & totalValue1 = totalValue(r1) + presentValue & p = ((a / presentValue)->log())/((a / totalValue1)->log()) & r2 = (1 + r1)->pow(p) - 1 & result = secantNPV(r2, r1, totalValue1 - presentValue, tol)







Operation:
bisectionNPV
Investment
double
r double rl double ru double tol double
 query
tol > 0 & netPresentValue(rl)*netPresentValue(ru) < 0
v = netPresentValue(r) & ( ( ru - rl < tol => result = r ) & ( ru - rl >= tol & v*netPresentValue(rl) < 0 => result = bisectionNPV(( rl + r ) / 2,rl,r,tol) ) & ( ru - rl >= tol & v*netPresentValue(ru) < 0 => result = bisectionNPV(( r + ru ) / 2,r,ru,tol) ) & ( true => result = r ) )





Operation:
cTotalValue
Investment
double
r double 
 query
r > 0
result = flows->collect( f | f.amount * ( -r * f.timePoint )->exp() )->sum() + futureValue * ( -r * flows.last.timePoint )->exp()





Operation:
macaulayD
Investment
double
r double 
 query
true
result = (flows->collect(timeAmount(r))->sum() + futureValue*term/((1+r)->pow(term))) / totalValue(r)




Entity:
CashFlow 687 31
null  * 
amount double 3 false false false timePoint double 3 false false false discount double 3 false false false rate double 3 false false false



Operation:
setDiscount
CashFlow

r double

true
discount = 1 / ( 1 + r )->pow(timePoint)



Operation:
discountedAmount
CashFlow
double

 query
true
result = amount * discount@pre





Operation:
timeAmount
CashFlow
double
r double
 query
true
result = (timePoint * amount) / (( 1 + r )->pow(timePoint))




Entity:
YieldData 30 299
null  * 
maturity String 3 false true false timePoint double 3 false false false rate double 3 false false false

Association:
Investment CashFlow 1 460 84 688 70 0 flows null 
ordered 





GeneralUseCase:
bootstrap 



false


Constraint:
null
true
Investment->exists( b | b.presentValue = 115 & b.term = 4 & b.frequency = 1 & b.period = 1.0 )
null bootstrap
false



Constraint:
i : Integer.subrange(1,( term * frequency )->floor())
null
CashFlow->exists( f | f.amount = 2 & f.timePoint = i * period & f : flows )
Investment bootstrap
false



Constraint:
i : Integer.subrange(1,flows.size - 1)
null
flows[i].rate = YieldData[i + ""].rate & flows[i].discount = 1 / ( 1 + YieldData[i + ""].rate )->pow(flows[i].timePoint)
Investment bootstrap
false



Constraint:
n = flows.size
null
flows[n].discount = ( presentValue - Integer.Sum(1,n - 1,i,flows[i].discountedAmount()) ) / ( flows[n].amount + 100 )
Investment bootstrap
false



Constraint:
n = flows.size
null
flows[n].rate = ( flows[n].discount->pow(-1 / flows[n].timePoint) ) - 1
Investment bootstrap
false



Constraint:
n = flows.size
null
( "The " + n + " period rate is " + flows[n].rate )->display()
Investment bootstrap
false







GeneralUseCase:
getValue 



false





Constraint:
null
true
createFlows()
Investment getValue
false





Constraint:
null
true
payout()->display()
Investment getValue
false




Constraint:
null
true
internalRate = findirr(0.25,0,0.5) & ("findirr rate: " + internalRate)->display()
Investment getValue
false




Constraint:
null
true
internalRate = bisectionNPV(0.25,0,0.5,0.001) & ("bisection rate: " + internalRate)->display()
Investment getValue
false





Constraint:
null
true
internalRate = dosecantNPV(0.001) & ("Secant rate: " + internalRate)->display()
Investment getValue
false






Constraint:
null
true
totalValue(0.05)->display() & cTotalValue(0.05)->display() & totalValue(0.02)->display() & cTotalValue(0.02)->display()
Investment getValue
false






Constraint:
null
true
macaulayD(internalRate)->display()
Investment getValue
false






GeneralUseCase:
purchaseBond trm double coup double price double freq int



false


Constraint:
null
true
Investment->exists( b | b.term = trm & b.coupon = coup & b.presentValue = price & b.futureValue = 100.0 & b.frequency = freq & b.period = 1.0/freq)
null purchaseBond
false