QuantLib_CashFlows man page

CashFlows — cashflow-analysis functions

Synopsis

#include <ql/cashflows/cashflows.hpp>

Static Public Member Functions

Date functions

static Date startDate (const Leg &leg)

static Date maturityDate (const Leg &leg)

static bool isExpired (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

CashFlow functions

static Leg::const_reverse_iterator previousCashFlow (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())
the last cashflow paying before or at the given date
static Leg::const_iterator nextCashFlow (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())
the first cashflow paying after the given date
static Date previousCashFlowDate (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

static Date nextCashFlowDate (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

static Real previousCashFlowAmount (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

static Real nextCashFlowAmount (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

Coupon inspectors

static Rate previousCouponRate (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

static Rate nextCouponRate (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

static Real nominal (const Leg &leg, bool includeSettlementDateFlows, Date settlDate=Date())

static Date accrualStartDate (const Leg &leg, bool includeSettlementDateFlows, Date settlDate=Date())

static Date accrualEndDate (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

static Date referencePeriodStart (const Leg &leg, bool includeSettlementDateFlows, Date settlDate=Date())

static Date referencePeriodEnd (const Leg &leg, bool includeSettlementDateFlows, Date settlDate=Date())

static Time accrualPeriod (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

static BigInteger accrualDays (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

static Time accruedPeriod (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

static BigInteger accruedDays (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

static Real accruedAmount (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

YieldTermStructure functions

static Real npv (const Leg &leg, const YieldTermStructure &discountCurve, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())
NPV of the cash flows.
static Real bps (const Leg &leg, const YieldTermStructure &discountCurve, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())
Basis-point sensitivity of the cash flows.
static void npvbps (const Leg &leg, const YieldTermStructure &discountCurve, bool includeSettlementDateFlows, Date settlementDate, Date npvDate, Real &npv, Real &bps)
NPV and BPS of the cash flows.
static Rate atmRate (const Leg &leg, const YieldTermStructure &discountCurve, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date(), Real npv=Null< Real >())
At-the-money rate of the cash flows.

Yield (a.k.a. Internal Rate of Return, i.e. IRR) functions

static Real npv (const Leg &leg, const InterestRate &yield, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())
NPV of the cash flows.
static Real npv (const Leg &leg, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())

static Real bps (const Leg &leg, const InterestRate &yield, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())
Basis-point sensitivity of the cash flows.
static Real bps (const Leg &leg, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())

static Rate yield (const Leg &leg, Real npv, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date(), Real accuracy=1.0e-10, Size maxIterations=100, Rate guess=0.05)
Implied internal rate of return.
static Time duration (const Leg &leg, const InterestRate &yield, Duration::Type type, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())
Cash-flow duration.
static Time duration (const Leg &leg, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Duration::Type type, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())

static Real convexity (const Leg &leg, const InterestRate &yield, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())
Cash-flow convexity.
static Real convexity (const Leg &leg, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())

static Real basisPointValue (const Leg &leg, const InterestRate &yield, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())
Basis-point value.
static Real basisPointValue (const Leg &leg, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())

static Real yieldValueBasisPoint (const Leg &leg, const InterestRate &yield, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())
Yield value of a basis point.
static Real yieldValueBasisPoint (const Leg &leg, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())

Z-spread functions

static Real npv (const Leg &leg, const boost::shared_ptr< YieldTermStructure > &discount, Spread zSpread, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())
NPV of the cash flows.
static Spread zSpread (const Leg &leg, Real npv, const boost::shared_ptr< YieldTermStructure > &, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date(), Real accuracy=1.0e-10, Size maxIterations=100, Rate guess=0.0)
implied Z-spread.
static Spread zSpread (const Leg &leg, const boost::shared_ptr< YieldTermStructure > &d, Real npv, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date(), Real accuracy=1.0e-10, Size maxIterations=100, Rate guess=0.0)
deprecated implied Z-spread.

Detailed Description

cashflow-analysis functions

Member Function Documentation

static Real npv (const Leg & leg, const YieldTermStructure & discountCurve, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()) [static]

NPV of the cash flows. The NPV is the sum of the cash flows, each discounted according to the given term structure.

static Real bps (const Leg & leg, const YieldTermStructure & discountCurve, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()) [static]

Basis-point sensitivity of the cash flows. The result is the change in NPV due to a uniform 1-basis-point change in the rate paid by the cash flows. The change for each coupon is discounted according to the given term structure.

static void npvbps (const Leg & leg, const YieldTermStructure & discountCurve, bool includeSettlementDateFlows, Date settlementDate, Date npvDate, Real & npv, Real & bps) [static]

NPV and BPS of the cash flows. The NPV and BPS of the cash flows calculated together for performance reason

static Rate atmRate (const Leg & leg, const YieldTermStructure & discountCurve, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date(), Real npv = Null< Real >()) [static]

At-the-money rate of the cash flows. The result is the fixed rate for which a fixed rate cash flow vector, equivalent to the input vector, has the required NPV according to the given term structure. If the required NPV is not given, the input cash flow vector's NPV is used instead.

static Real npv (const Leg & leg, const InterestRate & yield, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()) [static]

NPV of the cash flows. The IRR is the interest rate at which the NPV of the cash flows equals the dirty price.

The NPV is the sum of the cash flows, each discounted according to the given constant interest rate. The result is affected by the choice of the interest-rate compounding and the relative frequency and day counter.

static Real bps (const Leg & leg, const InterestRate & yield, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()) [static]

Basis-point sensitivity of the cash flows. The result is the change in NPV due to a uniform 1-basis-point change in the rate paid by the cash flows. The change for each coupon is discounted according to the given constant interest rate. The result is affected by the choice of the interest-rate compounding and the relative frequency and day counter.

static Rate yield (const Leg & leg, Real npv, const DayCounter & dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date(), Real accuracy = 1.0e-10, Size maxIterations = 100, Rate guess = 0.05) [static]

Implied internal rate of return. The function verifies the theoretical existance of an IRR and numerically establishes the IRR to the desired precision.

static Time duration (const Leg & leg, const InterestRate & yield, Duration::Type type, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()) [static]

Cash-flow duration. The simple duration of a string of cash flows is defined as [ D_{mathrm{simple}} = ac{sum t_i c_i B(t_i)}{sum c_i B(t_i)} ] where $ c_i $ is the amount of the $ i $-th cash flow, $ t_i $ is its payment time, and $ B(t_i) $ is the corresponding discount according to the passed yield.

The modified duration is defined as [ D_{mathrm{modified}} = -ac{1}{P} ac{partial P}{partial y} ] where $ P $ is the present value of the cash flows according to the given IRR $ y $.

The Macaulay duration is defined for a compounded IRR as [ D_{mathrm{Macaulay}} = left( 1 + ac{y}{N} right) D_{mathrm{modified}} ] where $ y $ is the IRR and $ N $ is the number of cash flows per year.

static Real convexity (const Leg & leg, const InterestRate & yield, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()) [static]

Cash-flow convexity. The convexity of a string of cash flows is defined as [ C = ac{1}{P} ac{partial^2 P}{partial y^2} ] where $ P $ is the present value of the cash flows according to the given IRR $ y $.

static Real basisPointValue (const Leg & leg, const InterestRate & yield, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()) [static]

Basis-point value. Obtained by setting dy = 0.0001 in the 2nd-order Taylor series expansion.

static Real yieldValueBasisPoint (const Leg & leg, const InterestRate & yield, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()) [static]

Yield value of a basis point. The yield value of a one basis point change in price is the derivative of the yield with respect to the price multiplied by 0.01

static Real npv (const Leg & leg, const boost::shared_ptr< YieldTermStructure > & discount, Spread zSpread, const DayCounter & dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()) [static]

NPV of the cash flows. For details on z-spread refer to: 'Credit Spreads Explained', Lehman Brothers European Fixed Income Research - March 2004, D. O'Kane

The NPV is the sum of the cash flows, each discounted according to the z-spreaded term structure. The result is affected by the choice of the z-spread compounding and the relative frequency and day counter.

Author

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Referenced By

npv(3) and npvbps(3) are aliases of QuantLib_CashFlows(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib