/usr/include/ql/cashflows/cashflows.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 | /* -*- 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, 2010, 2011 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 */
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_reverse_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
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 BigInteger
accrualDays(const Leg& leg,
bool includeSettlementDateFlows,
Date settlementDate = Date());
static Time
accruedPeriod(const Leg& leg,
bool includeSettlementDateFlows,
Date settlementDate = Date());
static BigInteger
accruedDays(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());
//@{
//! NPV and BPS of the cash flows.
/*! The NPV and BPS of the cash flows calculated
together for performance reason
*/
static void npvbps(const Leg& leg,
const YieldTermStructure& discountCurve,
bool includeSettlementDateFlows,
Date settlementDate,
Date npvDate,
Real& npv,
Real& bps);
//! 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>& discount,
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,
Real npv,
const boost::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);
//! deprecated implied Z-spread.
static Spread zSpread(const Leg& leg,
const boost::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) {
return zSpread(leg, npv, d, dayCounter, compounding, frequency,
includeSettlementDateFlows, settlementDate, npvDate,
accuracy, maxIterations, guess);
}
//@}
};
}
#endif
|