org.jquantlib.cashflow

Class CashFlows

java.lang.Object

org.jquantlib.cashflow.CashFlows

public class CashFlows
extends java.lang.Object

Cashflow-analysis functions

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	CashFlows.Duration Duration type

Method Summary

Modifier and Type	Method and Description
double	atmRate(Leg leg, Handle<YieldTermStructure> discountCurve)
double	atmRate(Leg leg, Handle<YieldTermStructure> discountCurve, Date settlementDate, Date npvDate, int exDividendDays, double npv) At-the-money rate of the cash flows.
double	bps(Leg cashflows, Handle<YieldTermStructure> discountCurve)
double	bps(Leg cashflows, Handle<YieldTermStructure> discountCurve, Date settlementDate)
double	bps(Leg cashflows, Handle<YieldTermStructure> discountCurve, Date settlementDate, Date npvDate)
double	bps(Leg cashflows, Handle<YieldTermStructure> discountCurve, Date settlementDate, Date npvDate, int exDividendDays) Basis-point sensitivity of the cash flows.
double	bps(Leg cashflows, InterestRate irr, Date settlementDate) Basis-point sensitivity of the cash flows.
double	convexity(Leg leg, InterestRate y)
double	convexity(Leg cashFlows, InterestRate rate, Date settlementDate) Cash-flow convexity
double	couponRate(Leg leg, Leg iteratorLeg, int iteratorIndex)
double	duration(Leg leg, InterestRate y)
double	duration(Leg leg, InterestRate y, CashFlows.Duration duration, Date settlementDate) Cash-flow duration.
static CashFlows	getInstance()
double	irr(Leg leg, double marketPrice, DayCounter dayCounter, Compounding compounding)
double	irr(Leg cashflows, double marketPrice, DayCounter dayCounter, Compounding compounding, Frequency frequency, Date settlementDate, double tolerance, int maxIterations, double guess) Internal rate of return.
Date	maturityDate(Leg cashflows)
CashFlow	nextCashFlow(Leg cashFlows)
CashFlow	nextCashFlow(Leg cashFlows, Date settlement) NOTE: should return null when no cashflow could be found!
int	nextCashFlowIndex(Leg cashFlows, Date settlement) NOTE: returns the index! for cashflow.end() the returned index would throw a index out of bounds exception
double	nextCouponRate(Leg leg)
double	nextCouponRate(Leg cashFlows, Date settlement)
double	npv(Leg leg, Handle<YieldTermStructure> discountCurve)
double	npv(Leg cashflows, Handle<YieldTermStructure> discountCurve, Date settlementDate, Date npvDate)
double	npv(Leg cashflows, Handle<YieldTermStructure> discountCurve, Date settlementDate, Date npvDate, int exDividendDays) NPV of the cash flows.
double	npv(Leg leg, InterestRate interestRate)
double	npv(Leg cashflows, InterestRate irr, Date settlementDate) NPV of the cash flows.
int	previousCashFlow(Leg leg)
int	previousCashFlow(Leg leg, Date refDate)
double	previousCouponRate(Leg cashFlows)
double	previousCouponRate(Leg cashFlows, Date settlement)
Date	startDate(Leg cashflows)
double	yieldValueBasisPoint(Leg leg, InterestRate y)
double	yieldValueBasisPoint(Leg leg, InterestRate y, Date settlementDate) 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

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

getInstance

public static CashFlows getInstance()

startDate

public Date startDate(Leg cashflows)

maturityDate

public Date maturityDate(Leg cashflows)

npv

public double npv(Leg cashflows,
                  Handle<YieldTermStructure> discountCurve,
                  Date settlementDate,
                  Date npvDate)

npv

public double npv(Leg cashflows,
                  Handle<YieldTermStructure> discountCurve,
                  Date settlementDate,
                  Date npvDate,
                  int exDividendDays)

NPV of the cash flows.

The NPV is the sum of the cash flows, each discounted according to the given term structure.

Parameters:

cashflows -

discountCurve -

settlementDate -

npvDate -

exDividendDays -

Returns:

npv

public double npv(Leg leg,
                  Handle<YieldTermStructure> discountCurve)

npv

public double npv(Leg cashflows,
                  InterestRate irr,
                  Date settlementDate)

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.

npv

public double npv(Leg leg,
                  InterestRate interestRate)

bps

public double bps(Leg cashflows,
                  Handle<YieldTermStructure> discountCurve)

bps

public double bps(Leg cashflows,
                  Handle<YieldTermStructure> discountCurve,
                  Date settlementDate)

bps

public double bps(Leg cashflows,
                  Handle<YieldTermStructure> discountCurve,
                  Date settlementDate,
                  Date npvDate)

bps

public double bps(Leg cashflows,
                  Handle<YieldTermStructure> discountCurve,
                  Date settlementDate,
                  Date npvDate,
                  int exDividendDays)

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.

bps

public double bps(Leg cashflows,
                  InterestRate irr,
                  Date settlementDate)

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.

atmRate

public double atmRate(Leg leg,
                      Handle<YieldTermStructure> discountCurve,
                      Date settlementDate,
                      Date npvDate,
                      int exDividendDays,
                      double npv)

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.

atmRate

public double atmRate(Leg leg,
                      Handle<YieldTermStructure> discountCurve)

irr

public double irr(Leg cashflows,
                  double marketPrice,
                  DayCounter dayCounter,
                  Compounding compounding,
                  Frequency frequency,
                  Date settlementDate,
                  double tolerance,
                  int maxIterations,
                  double guess)

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.

irr

public double irr(Leg leg,
                  double marketPrice,
                  DayCounter dayCounter,
                  Compounding compounding)

duration

public double duration(Leg leg,
                       InterestRate y,
                       CashFlows.Duration duration,
                       Date settlementDate)

Cash-flow duration.

The simple duration of a string of cash flows is defined as where is the amount of the -th cash flow, is its payment time, and is the corresponding discount according to the passed yield.

The modified duration is defined as where is the present value of the cash flows according to the given IRR .

The Macaulay duration is defined for a compounded IRR as where is the IRR and is the number of cash flows per year.

duration

public double duration(Leg leg,
                       InterestRate y)

convexity

public double convexity(Leg cashFlows,
                        InterestRate rate,
                        Date settlementDate)

Cash-flow convexity

The convexity of a string of cash flows is defined as where is the present value of the cash flows according to the given IRR .

convexity

public double convexity(Leg leg,
                        InterestRate y)

previousCashFlow

public final int previousCashFlow(Leg leg)

previousCashFlow

public final int previousCashFlow(Leg leg,
                                  Date refDate)

previousCouponRate

public final double previousCouponRate(Leg cashFlows)

previousCouponRate

public final double previousCouponRate(Leg cashFlows,
                                       Date settlement)

nextCouponRate

public final double nextCouponRate(Leg leg)

nextCouponRate

public final double nextCouponRate(Leg cashFlows,
                                   Date settlement)

nextCashFlow

public final CashFlow nextCashFlow(Leg cashFlows,
                                   Date settlement)

NOTE: should return null when no cashflow could be found!

Parameters:

cashFlows -

settlement -

Returns:

nextCashFlowIndex

public final int nextCashFlowIndex(Leg cashFlows,
                                   Date settlement)

NOTE: returns the index! for cashflow.end() the returned index would throw a index out of bounds exception

Parameters:

cashFlows -

settlement -

Returns:

nextCashFlow

public final CashFlow nextCashFlow(Leg cashFlows)

yieldValueBasisPoint

public final double yieldValueBasisPoint(Leg leg,
                                         InterestRate y,
                                         Date settlementDate)

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

Parameters:

leg -

y -

settlmentDate -

Returns:

yieldValueBasisPoint

public final double yieldValueBasisPoint(Leg leg,
                                         InterestRate y)

couponRate

public final double couponRate(Leg leg,
                               Leg iteratorLeg,
                               int iteratorIndex)