PC-1211, PC-1250, etc. TVM

[Albert Chan]

Hi, robve

Perhaps make rate search true Newton's method?

10 B=1 @ N=40 @ P=900 @ M=-40 @ F=-1000
20 DEF FNF(I) @ S=(1+I)^(-N) @ U=(1-S)/I @ K=1+B*I
25 D=(P+F)/(1-S)*(1-N*S/(1-S+U))+(B*M-F)
30 FNF=(P+F)/U-F*I+K*M @ END DEF ! FNF=NPMT
40 I=.01 @ Y=FNF(I)
50 H=-Y/D @ I=I+H @ Y=FNF(I) ! Newton's method
60 DISP 100*I,Y @ IF I+H*H<>I THEN 50

>run
 4.707227645        -.4066650546
 4.75336179241     -.0000475552
 4.75336718857       0

And time-reversed setup. (barring rounding errors, same FNF(I))

>15 VARSWAP P,F @ P=-P @ F=-F @ N=-N
>run
 4.70722764501     -.4066650545
 4.75336179241     -.0000475552
 4.75336718857       0