CashFlows Class Reference

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

#include <qle/cashflows/cashflows.hpp>

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.
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.
static std::vector< Rate >	couponRates (const Leg &leg)
static std::vector< Rate >	couponDcfRates (const Leg &leg)

Detailed Description

cashflow-analysis functions in addition to those in QuantLib

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.

couponRates()

std::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

couponDcfRates()

std::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