CashFlows Class Reference

cashflow-analysis functions in addition to those in QuantLib More...

#include <qle/cashflows/cashflows.hpp>

Collaboration diagram for CashFlows:

Static Public Member Functions
YieldTermStructure functions
static Real	spreadNpv (const Leg &leg, const YieldTermStructure &discountCurve, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())
	NPV due to any spreads on a leg. More...
static Real	sumCashflows (const Leg &leg, const Date &startDate, const Date &endDate)
	Return the sum of the cashflows on leg after startDate and before or on endDate. More...
static std::vector< Rate >	couponRates (const Leg &leg)
static std::vector< Rate >	couponDcfRates (const Leg &leg)

Private Member Functions
	CashFlows ()
	CashFlows (const CashFlows &)

Detailed Description

cashflow-analysis functions in addition to those in QuantLib

Definition at line 33 of file cashflows.hpp.

Constructor & Destructor Documentation

CashFlows() [1/2]

CashFlows ( )

private

CashFlows() [2/2]

CashFlows ( const CashFlows &  )

private

Member Function Documentation

spreadNpv()

Real spreadNpv ( const Leg &  leg, const YieldTermStructure &  discountCurve, bool  includeSettlementDateFlows, Date  settlementDate = Date(), Date  npvDate = Date()  )

static

NPV due to any spreads on a leg.

The spread NPV is the sum of the spread-related cash flows on the leg, each discounted according to the given term structure.

• If there are no spreads on the leg, then zero is returned.
• Only applicable to FloatingRateCoupon. Should be expanded if needed for other coupon types e.g. YoYInflationCoupon.

Definition at line 27 of file cashflows.cpp.

                                                             {
 
    if (leg.empty())
        return 0.0;
 
    if (settlementDate == Date())
        settlementDate = Settings::instance().evaluationDate();
 
    if (npvDate == Date())
        npvDate = settlementDate;
 
    Real spreadNpv = 0.0;
    for (Size i = 0; i < leg.size(); ++i) {
 
        QuantLib::ext::shared_ptr<FloatingRateCoupon> floatCoupon = QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(leg[i]);
 
        if (floatCoupon && !floatCoupon->hasOccurred(settlementDate, includeSettlementDateFlows)) {
 
            spreadNpv += floatCoupon->nominal() * floatCoupon->accrualPeriod() * floatCoupon->spread() *
                         discountCurve.discount(floatCoupon->date());
        }
    }
 
    return spreadNpv / discountCurve.discount(npvDate);
}

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sumCashflows()

Real sumCashflows ( const Leg &  leg, const Date &  startDate, const Date &  endDate  )

static

Return the sum of the cashflows on leg after startDate and before or on endDate.

Definition at line 54 of file cashflows.cpp.

                                                                                       {
 
    // Empty leg return 0
    if (leg.empty())
        return 0.0;
 
    // If leg is not empty
    Real sumCashflows = 0.0;
    for (Size i = 0; i < leg.size(); ++i) {
        Date cashflowDate = leg[i]->date();
        if (startDate < cashflowDate && cashflowDate <= endDate)
            sumCashflows += leg[i]->amount();
    }
    return sumCashflows;
}

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couponRates()

vector< Rate > couponRates ( const Leg &  leg )

static

Return only the coupon rates from a leg i.e. only Cashflow that casts to Coupon Maintains the order of the coupon rates

Definition at line 70 of file cashflows.cpp.

                                                  {
 
    vector<Rate> couponRates;
    // Non-empty leg
    for (Size i = 0; i < leg.size(); ++i) {
        QuantLib::ext::shared_ptr<Coupon> coupon = QuantLib::ext::dynamic_pointer_cast<Coupon>(leg[i]);
        if (coupon)
            couponRates.push_back(coupon->rate());
    }
    return couponRates;
}

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couponDcfRates()

vector< Rate > couponDcfRates ( const Leg &  leg )

static

Return the coupon rates multiplied by day count fraction from a leg i.e. only Cashflow that casts to Coupon. Maintains the order of the coupon rates

Definition at line 82 of file cashflows.cpp.

                                                     {
 
    vector<Rate> couponDcfRates;
    // Non-empty leg
    for (Size i = 0; i < leg.size(); ++i) {
        QuantLib::ext::shared_ptr<Coupon> coupon = QuantLib::ext::dynamic_pointer_cast<Coupon>(leg[i]);
        if (coupon)
            couponDcfRates.push_back(coupon->rate() * coupon->accrualPeriod());
    }
    return couponDcfRates;
}

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