Fixed-coupon bond pricing: present value of coupons plus redemption, current yield, and a par/premium/discount classifier

bond_pricer.cell

// Fixed-coupon bond pricing: present value of coupons plus redemption,
// current yield, and a par/premium/discount classifier. Discounts each
// coupon over a range, sum() of the discounted stream.

cell BondPricer {
    face {
        signal price(face_val: Float, coupon_rate: Float, ytm: Float, years: Int) -> Float
        signal current_yield(annual_coupon: Float, price: Float) -> Float
        signal classify(price: Float, face_val: Float) -> String
    }

    // P = sum_t C/(1+y)^t + F/(1+y)^n, annual coupons
    on price(face_val: Float, coupon_rate: Float, ytm: Float, years: Int) {
        let coupon = face_val * coupon_rate
        let pv = 0.0
        for t in range(1, years + 1) {
            pv = pv + coupon / pow(1.0 + ytm, t)
        }
        pv = pv + face_val / pow(1.0 + ytm, years)
        return pv
    }

    on current_yield(annual_coupon: Float, price: Float) {
        if price == 0.0 { return 0.0 }
        return annual_coupon / price
    }

    on classify(price: Float, face_val: Float) {
        if abs(price - face_val) < 0.01 { return "par" }
        if price > face_val { return "premium" }
        return "discount"
    }
}

cell test BondTests {
    rules {
        // coupon == ytm → bond prices at par (1000)
        assert abs(price(1000.0, 0.05, 0.05, 10) - 1000.0) < 0.01
        assert classify(price(1000.0, 0.05, 0.05, 10), 1000.0) == "par"
        // ytm > coupon → trades at a discount
        assert price(1000.0, 0.05, 0.08, 10) < 1000.0
        assert classify(price(1000.0, 0.05, 0.08, 10), 1000.0) == "discount"
        // ytm < coupon → premium
        assert classify(price(1000.0, 0.05, 0.03, 10), 1000.0) == "premium"
        // current yield on a $950 5% bond > 5%
        assert current_yield(50.0, 950.0) > 0.05
    }
}