cashflow-analysis functions More...

#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 Date::serial_type	accrualDays (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())

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

static Date::serial_type	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. More...

static Real	bps (const Leg &leg, const YieldTermStructure &discountCurve, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())
	Basis-point sensitivity of the cash flows. More...

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. More...

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. More...

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. More...

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. More...

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. More...

template<typename Solver >
static Rate	yield (const Solver &solver, 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, Rate guess=0.05)

static Time	duration (const Leg &leg, const InterestRate &yield, Duration::Type type, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())
	Cash-flow duration. More...

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. More...

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. More...

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. More...

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 ext::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. More...

static Spread	zSpread (const Leg &leg, Real npv, const ext::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 ext::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

◆ npv() [1/3]

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.

◆ bps() [1/2]

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.

◆ npvbps()

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

◆ atmRate()

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.

◆ npv() [2/3]

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.

◆ bps() [2/2]

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.

◆ yield()

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 existence of an IRR and numerically establishes the IRR to the desired precision.

◆ duration()

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

\[ D_{\mathrm{simple}} = \frac{\sum t_i c_i B(t_i)}{\sum c_i B(t_i)} \]

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

\[ D_{\mathrm{modified}} = -\frac{1}{P} \frac{\partial P}{\partial y} \]

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

\[ D_{\mathrm{Macaulay}} = \left( 1 + \frac{y}{N} \right) D_{\mathrm{modified}} \]

where \( y \) is the IRR and \( N \) is the number of cash flows per year.

◆ convexity()

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

\[ C = \frac{1}{P} \frac{\partial^2 P}{\partial y^2} \]

where \( P \) is the present value of the cash flows according to the given IRR \( y \).

◆ basisPointValue()

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.

◆ yieldValueBasisPoint()

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

◆ npv() [3/3]

static Real npv	(	const Leg &	leg,
		const ext::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.

Static Public Member Functions

Detailed Description

Member Function Documentation

◆ npv() [1/3]

◆ bps() [1/2]

◆ npvbps()

◆ atmRate()

◆ npv() [2/3]

◆ bps() [2/2]

◆ yield()

◆ duration()

◆ convexity()

◆ basisPointValue()

◆ yieldValueBasisPoint()

◆ npv() [3/3]