/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2005, 2006 StatPro Italia srl Copyright (C) 2005 Charles Whitmore Copyright (C) 2007, 2008, 2009 Ferdinando Ametrano Copyright (C) 2008 Toyin Akin 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 cashflows.hpp \brief Cash-flow analysis functions */ #ifndef quantlib_cashflows_hpp #define quantlib_cashflows_hpp #include <ql/cashflows/duration.hpp> #include <ql/cashflow.hpp> #include <ql/interestrate.hpp> #include <boost/shared_ptr.hpp> namespace QuantLib { class YieldTermStructure; //! %cashflow-analysis functions /*! \todo add tests */ 00041 class CashFlows { private: CashFlows(); CashFlows(const CashFlows&); public: //! \name 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()); //@} //! \name CashFlow functions //@{ //! the last cashflow paying before or at the given date static Leg::const_iterator previousCashFlow(const Leg& leg, bool includeSettlementDateFlows, Date settlementDate = Date()); //! the first cashflow paying after the given date static Leg::const_iterator nextCashFlow(const Leg& leg, bool includeSettlementDateFlows, Date settlementDate = Date()); 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()); //@} //! \name 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 accruedAmount(const Leg& leg, bool includeSettlementDateFlows, Date settlementDate = Date()); //@} //! \name YieldTermStructure functions //@{ //! 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 YieldTermStructure& discountCurve, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = 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 YieldTermStructure& discountCurve, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = 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 YieldTermStructure& discountCurve, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date(), Real npv = Null<Real>()); //@} //! \name Yield (a.k.a. Internal Rate of Return, i.e. IRR) functions /*! The IRR is the interest rate at which the NPV of the cash flows equals the dirty price. */ //@{ //! 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& yield, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()); static Real npv(const Leg& leg, Rate yield, const DayCounter& dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = 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 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& yield, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()); static Real bps(const Leg& leg, Rate yield, const DayCounter& dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()); //! Implied internal rate of return. /*! The function verifies the theoretical existance of an IRR and numerically establishes the IRR to the desired precision. */ 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); //! 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& yield, Duration::Type type, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()); 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()); //! 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& yield, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()); static Real convexity(const Leg& leg, Rate yield, const DayCounter& dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()); //! Basis-point value /*! Obtained by setting dy = 0.0001 in the 2nd-order Taylor series expansion. */ static Real basisPointValue(const Leg& leg, const InterestRate& yield, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()); static Real basisPointValue(const Leg& leg, Rate yield, const DayCounter& dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()); //! 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 */ static Real yieldValueBasisPoint(const Leg& leg, const InterestRate& yield, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()); static Real yieldValueBasisPoint(const Leg& leg, Rate yield, const DayCounter& dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()); //@} //! \name Z-spread functions /*! For details on z-spread refer to: "Credit Spreads Explained", Lehman Brothers European Fixed Income Research - March 2004, D. O'Kane */ //@{ //! NPV of the cash flows. /*! 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. */ static Real npv(const Leg& leg, const boost::shared_ptr<YieldTermStructure>&, Spread zSpread, const DayCounter& dayCounter, Compounding compounding, Frequency frequency, bool includeSettlementDateFlows, Date settlementDate = Date(), Date npvDate = Date()); //! implied Z-spread. static Spread zSpread(const Leg& leg, const boost::shared_ptr<YieldTermStructure>&, 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); //@} }; } #endif

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