previousCouponRate (3) - Linux Manuals

previousCouponRate: cashflow-analysis functions

NAME

QuantLib::CashFlows - cashflow-analysis functions

SYNOPSIS

#include <ql/cashflows/cashflows.hpp>

Static Public Member Functions

static Leg::const_iterator previousCashFlow (const Leg &leg, Date refDate=Date())

static Leg::const_iterator nextCashFlow (const Leg &leg, Date refDate=Date())

static Rate previousCouponRate (const Leg &leg, const Date &refDate=Date())

static Rate nextCouponRate (const Leg &leg, const Date &refDate=Date())

static Date startDate (const Leg &leg)

static Date maturityDate (const Leg &leg)

static Real npv (const Leg &leg, const YieldTermStructure &discountCurve, Date settlementDate=Date(), const Date &npvDate=Date(), Natural exDividendDays=0)
NPV of the cash flows.
static Real npv (const Leg &leg, const InterestRate &, Date settlementDate=Date())
NPV of the cash flows.
static Real bps (const Leg &leg, const YieldTermStructure &discountCurve, Date settlementDate=Date(), const Date &npvDate=Date(), Natural exDividendDays=0)
Basis-point sensitivity of the cash flows.
static Real bps (const Leg &leg, const InterestRate &, Date settlementDate=Date())
Basis-point sensitivity of the cash flows.
static Rate atmRate (const Leg &leg, const YieldTermStructure &discountCurve, const Date &settlementDate=Date(), const Date &npvDate=Date(), Natural exDividendDays=0, Real npv=Null< Real >())
At-the-money rate of the cash flows.
static Rate irr (const Leg &leg, Real marketPrice, const DayCounter &dayCounter, Compounding compounding, Frequency frequency=NoFrequency, Date settlementDate=Date(), Real accuracy=1.0e-10, Size maxIterations=100, Rate guess=0.05)
Internal rate of return.
static Time duration (const Leg &leg, const InterestRate &y, Duration::Type type=Duration::Modified, Date settlementDate=Date())
Cash-flow duration.
static Real convexity (const Leg &leg, const InterestRate &y, Date settlementDate=Date())
Cash-flow convexity.
static Real basisPointValue (const Leg &leg, const InterestRate &y, Date settlementDate=Date())
Basis-point value.
static Real yieldValueBasisPoint (const Leg &leg, const InterestRate &y, Date settlementDate=Date())
Yield value of a basis point.

Detailed Description

cashflow-analysis functions

Possible enhancements

add tests

Member Function Documentation

static Real npv (const Leg & leg, const YieldTermStructure & discountCurve, Date settlementDate = Date(), const Date & npvDate = Date(), Natural exDividendDays = 0) [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 npv (const Leg & leg, const InterestRate &, Date settlementDate = Date()) [static]

NPV of the cash flows.

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 YieldTermStructure & discountCurve, Date settlementDate = Date(), const Date & npvDate = Date(), Natural exDividendDays = 0) [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 Real bps (const Leg & leg, const InterestRate &, Date settlementDate = 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 atmRate (const Leg & leg, const YieldTermStructure & discountCurve, const Date & settlementDate = Date(), const Date & npvDate = Date(), Natural exDividendDays = 0, 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 Rate irr (const Leg & leg, Real marketPrice, const DayCounter & dayCounter, Compounding compounding, Frequency frequency = NoFrequency, Date settlementDate = Date(), Real accuracy = 1.0e-10, Size maxIterations = 100, Rate guess = 0.05) [static]

Internal rate of return.

The IRR is the interest rate at which the NPV of the cash flows equals the given market price. 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 & y, Duration::Type type = Duration::Modified, Date settlementDate = Date()) [static]

Cash-flow duration.

The simple duration of a string of cash flows is defined as [ D_{mathrm{simple}} = ac{um t_i c_i B(t_i)}{um 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{
artial P}{
artial 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}} =

---

d}} ] where $ y $ is the IRR and $ N $ is the number of cash flows per year.

static Real convexity (const Leg & leg, const InterestRate & y, Date settlementDate = Date()) [static]

Cash-flow convexity.

The convexity of a string of cash flows is defined as [ C = ac{1}{P} ac{
artial^2 P}{
artial 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 & y, Date settlementDate = 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 & y, Date settlementDate = 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

Author

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