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Classes | Public Member Functions | List of all members
CashFlows Class Reference

cashflow-analysis functions More...

#include <cashflows.hpp>

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Classes

class  IrrFinder
 

Public Member Functions

 CashFlows ()=delete
 
 CashFlows (CashFlows &&)=delete
 
 CashFlows (const CashFlows &)=delete
 
CashFlowsoperator= (CashFlows &&)=delete
 
CashFlowsoperator= (const CashFlows &)=delete
 
 ~CashFlows ()=default
 

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 More...
 
static Leg::const_iterator nextCashFlow (const Leg &leg, bool includeSettlementDateFlows, Date settlementDate=Date())
 the first cashflow paying after the given date More...
 
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 std::pair< Real, Realnpvbps (const Leg &leg, const YieldTermStructure &discountCurve, bool includeSettlementDateFlows, Date settlementDate=Date(), Date npvDate=Date())
 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. More...
 
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. More...
 

Detailed Description

cashflow-analysis functions

Definition at line 41 of file cashflows.hpp.

Constructor & Destructor Documentation

◆ CashFlows() [1/3]

CashFlows ( )
delete

◆ CashFlows() [2/3]

CashFlows ( CashFlows &&  )
delete

◆ CashFlows() [3/3]

CashFlows ( const CashFlows )
delete

◆ ~CashFlows()

~CashFlows ( )
default

Member Function Documentation

◆ operator=() [1/2]

CashFlows & operator= ( CashFlows &&  )
delete

◆ operator=() [2/2]

CashFlows & operator= ( const CashFlows )
delete

◆ startDate()

Date startDate ( const Leg leg)
static

Definition at line 38 of file cashflows.cpp.

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◆ maturityDate()

Date maturityDate ( const Leg leg)
static

Definition at line 52 of file cashflows.cpp.

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◆ isExpired()

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

Definition at line 66 of file cashflows.cpp.

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◆ previousCashFlow()

Leg::const_reverse_iterator previousCashFlow ( const Leg leg,
bool  includeSettlementDateFlows,
Date  settlementDate = Date() 
)
static

the last cashflow paying before or at the given date

Definition at line 84 of file cashflows.cpp.

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◆ nextCashFlow()

Leg::const_iterator nextCashFlow ( const Leg leg,
bool  includeSettlementDateFlows,
Date  settlementDate = Date() 
)
static

the first cashflow paying after the given date

Definition at line 102 of file cashflows.cpp.

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◆ previousCashFlowDate()

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

Definition at line 119 of file cashflows.cpp.

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◆ nextCashFlowDate()

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

Definition at line 131 of file cashflows.cpp.

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◆ previousCashFlowAmount()

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

Definition at line 143 of file cashflows.cpp.

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◆ nextCashFlowAmount()

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

Definition at line 159 of file cashflows.cpp.

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◆ previousCouponRate()

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

Definition at line 215 of file cashflows.cpp.

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◆ nextCouponRate()

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

Definition at line 224 of file cashflows.cpp.

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◆ nominal()

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

Definition at line 232 of file cashflows.cpp.

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◆ accrualStartDate()

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

Definition at line 247 of file cashflows.cpp.

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◆ accrualEndDate()

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

Definition at line 263 of file cashflows.cpp.

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◆ referencePeriodStart()

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

Definition at line 279 of file cashflows.cpp.

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◆ referencePeriodEnd()

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

Definition at line 295 of file cashflows.cpp.

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◆ accrualPeriod()

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

Definition at line 311 of file cashflows.cpp.

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◆ accrualDays()

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

Definition at line 326 of file cashflows.cpp.

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◆ accruedPeriod()

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

Definition at line 341 of file cashflows.cpp.

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◆ accruedDays()

Date::serial_type accruedDays ( const Leg leg,
bool  includeSettlementDateFlows,
Date  settlementDate = Date() 
)
static

Definition at line 359 of file cashflows.cpp.

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◆ accruedAmount()

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

Definition at line 377 of file cashflows.cpp.

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◆ npv() [1/4]

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.

Definition at line 425 of file cashflows.cpp.

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◆ bps() [1/3]

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.

Definition at line 450 of file cashflows.cpp.

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◆ npvbps()

std::pair< Real, Real > npvbps ( const Leg leg,
const YieldTermStructure discountCurve,
bool  includeSettlementDateFlows,
Date  settlementDate = Date(),
Date  npvDate = Date() 
)
static

NPV and BPS of the cash flows.

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

Definition at line 473 of file cashflows.cpp.

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◆ atmRate()

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.

Definition at line 510 of file cashflows.cpp.

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◆ npv() [2/4]

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.

Definition at line 812 of file cashflows.cpp.

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◆ npv() [3/4]

Real npv ( const Leg leg,
Rate  yield,
const DayCounter dayCounter,
Compounding  compounding,
Frequency  frequency,
bool  includeSettlementDateFlows,
Date  settlementDate = Date(),
Date  npvDate = Date() 
)
static

Definition at line 856 of file cashflows.cpp.

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◆ bps() [2/3]

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.

Definition at line 869 of file cashflows.cpp.

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◆ bps() [3/3]

Real bps ( const Leg leg,
Rate  yield,
const DayCounter dayCounter,
Compounding  compounding,
Frequency  frequency,
bool  includeSettlementDateFlows,
Date  settlementDate = Date(),
Date  npvDate = Date() 
)
static

Definition at line 891 of file cashflows.cpp.

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◆ yield() [1/2]

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.

Definition at line 904 of file cashflows.cpp.

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◆ yield() [2/2]

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

Definition at line 277 of file cashflows.hpp.

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◆ duration() [1/2]

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.

Definition at line 925 of file cashflows.cpp.

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◆ duration() [2/2]

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

Definition at line 959 of file cashflows.cpp.

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◆ convexity() [1/2]

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 \( y \).

Definition at line 974 of file cashflows.cpp.

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◆ convexity() [2/2]

Real convexity ( const Leg leg,
Rate  yield,
const DayCounter dayCounter,
Compounding  compounding,
Frequency  frequency,
bool  includeSettlementDateFlows,
Date  settlementDate = Date(),
Date  npvDate = Date() 
)
static

Definition at line 1045 of file cashflows.cpp.

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◆ basisPointValue() [1/2]

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.

Definition at line 1058 of file cashflows.cpp.

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◆ basisPointValue() [2/2]

Real basisPointValue ( const Leg leg,
Rate  yield,
const DayCounter dayCounter,
Compounding  compounding,
Frequency  frequency,
bool  includeSettlementDateFlows,
Date  settlementDate = Date(),
Date  npvDate = Date() 
)
static

Definition at line 1092 of file cashflows.cpp.

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◆ yieldValueBasisPoint() [1/2]

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

Definition at line 1105 of file cashflows.cpp.

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◆ yieldValueBasisPoint() [2/2]

Real yieldValueBasisPoint ( const Leg leg,
Rate  yield,
const DayCounter dayCounter,
Compounding  compounding,
Frequency  frequency,
bool  includeSettlementDateFlows,
Date  settlementDate = Date(),
Date  npvDate = Date() 
)
static

Definition at line 1131 of file cashflows.cpp.

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◆ npv() [4/4]

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.

Definition at line 1194 of file cashflows.cpp.

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◆ zSpread() [1/2]

Spread zSpread ( const Leg leg,
Real  npv,
const ext::shared_ptr< YieldTermStructure > &  discount,
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 
)
static

implied Z-spread.

Definition at line 1228 of file cashflows.cpp.

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◆ zSpread() [2/2]

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 
)
static

deprecated implied Z-spread.

Definition at line 429 of file cashflows.hpp.

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