/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2005 Charles Whitmore Copyright (C) 2005, 2006 StatPro Italia srl This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email <quantlib-dev@lists.sf.net>. The license is also available online at <http://quantlib.org/license.shtml>. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ /*! \file analysis.hpp \brief Cash-flow analysis functions */ #ifndef quantlib_cash_flow_analysis_hpp #define quantlib_cash_flow_analysis_hpp #include <ql/cashflow.hpp> #include <ql/interestrate.hpp> #include <ql/handle.hpp> #include <ql/utilities/null.hpp> #include <vector> namespace QuantLib { class YieldTermStructure; //! %duration type 00039 struct Duration { enum Type { Simple, Macaulay, Modified }; }; //! %cashflow-analysis functions /*! \todo add tests */ 00045 class CashFlows { private: CashFlows(); CashFlows(const CashFlows&); public: static Date startDate(const Leg& leg); static Date maturityDate(const Leg& leg); //! 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 Handle<YieldTermStructure>& discountCurve, const Date& settlementDate = Date(), const Date& npvDate = Date(), Integer exDividendDays = 0); //! 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 npv(const Leg& leg, const InterestRate&, Date settlementDate = Date()); //! 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 Handle<YieldTermStructure>& discountCurve, const Date& settlementDate = Date(), const Date& npvDate = Date(), Integer exDividendDays = 0); //! 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 Real bps(const Leg& leg, const InterestRate&, Date settlementDate = Date()); //! 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 atmRate(const Leg& leg, const Handle<YieldTermStructure>& discountCurve, const Date& settlementDate = Date(), const Date& npvDate = Date(), Integer exDividendDays = 0, Real npv = Null<Real>()); //! 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 Rate irr(const Leg& leg, 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); //! Cash-flow duration. /*! The simple duration of a string of cash flows is defined as \f[ D_{\mathrm{simple}} = \frac{\sum t_i c_i B(t_i)}{\sum c_i B(t_i)} \f] where \f$ c_i \f$ is the amount of the \f$ i \f$-th cash flow, \f$ t_i \f$ is its payment time, and \f$ B(t_i) \f$ is the corresponding discount according to the passed yield. The modified duration is defined as \f[ D_{\mathrm{modified}} = -\frac{1}{P} \frac{\partial P}{\partial y} \f] where \f$ P \f$ is the present value of the cash flows according to the given IRR \f$ y \f$. The Macaulay duration is defined for a compounded IRR as \f[ D_{\mathrm{Macaulay}} = \left( 1 + \frac{y}{N} \right) D_{\mathrm{modified}} \f] where \f$ y \f$ is the IRR and \f$ N \f$ is the number of cash flows per year. */ static Time duration(const Leg& leg, const InterestRate& y, Duration::Type type = Duration::Modified, Date settlementDate = Date()); //! Cash-flow convexity /*! The convexity of a string of cash flows is defined as \f[ C = \frac{1}{P} \frac{\partial^2 P}{\partial y^2} \f] where \f$ P \f$ is the present value of the cash flows according to the given IRR \f$ y \f$. */ static Real convexity(const Leg& leg, const InterestRate& y, Date settlementDate = Date()); }; } #endif

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