Cashflows Class Reference

#include <ql/CashFlows/analysis.hpp>

List of all members.


Detailed Description

cashflows analysis functions

Todo:
add tests


Static Public Member Functions

static Real npv (const std::vector< boost::shared_ptr< CashFlow > > &, const Handle< YieldTermStructure > &)
 NPV of the cash flows.
static Real npv (const std::vector< boost::shared_ptr< CashFlow > > &, const InterestRate &, Date settlementDate=Date())
 NPV of the cash flows.
static Real bps (const std::vector< boost::shared_ptr< CashFlow > > &, const Handle< YieldTermStructure > &)
 Basis-point sensitivity of the cash flows.
static Real bps (const std::vector< boost::shared_ptr< CashFlow > > &, const InterestRate &, Date settlementDate=Date())
 Basis-point sensitivity of the cash flows.
static Rate irr (const std::vector< boost::shared_ptr< CashFlow > > &, Real marketPrice, const DayCounter &dayCounter, Compounding compounding, Frequency frequency=NoFrequency, Date settlementDate=Date(), Real tolerance=1.0e-10, Size maxIterations=10000, Rate guess=0.05)
 Internal rate of return.
static Time duration (const std::vector< boost::shared_ptr< CashFlow > > &, const InterestRate &y, Duration::Type type=Duration::Modified, Date settlementDate=Date())
 Cash-flow duration.
static Real convexity (const std::vector< boost::shared_ptr< CashFlow > > &, const InterestRate &y, Date settlementDate=Date())
 Cash-flow convexity.


Member Function Documentation

static Real npv const std::vector< boost::shared_ptr< CashFlow > > &  ,
const Handle< YieldTermStructure > & 
[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 std::vector< boost::shared_ptr< CashFlow > > &  ,
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 std::vector< boost::shared_ptr< CashFlow > > &  ,
const Handle< YieldTermStructure > & 
[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 std::vector< boost::shared_ptr< CashFlow > > &  ,
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 irr const std::vector< boost::shared_ptr< CashFlow > > &  ,
Real  marketPrice,
const DayCounter dayCounter,
Compounding  compounding,
Frequency  frequency = NoFrequency,
Date  settlementDate = Date(),
Real  tolerance = 1.0e-10,
Size  maxIterations = 10000,
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 std::vector< boost::shared_ptr< CashFlow > > &  ,
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

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

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.

static Real convexity const std::vector< boost::shared_ptr< CashFlow > > &  ,
const InterestRate y,
Date  settlementDate = 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 $.