QuantLib 0.3.3
User manual
Introduction to QuantLib
QuantLib components
Reference manual
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QuantLib::CashFlows Namespace Reference
Detailed Description
Concrete implementations of the CashFlow interface.
See sect.
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Compounds |
class | BPSCalculator |
| basis point sensitivity (BPS) calculator More...
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class | Coupon |
| coupon accruing over a fixed period More...
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class | FixedRateCoupon |
| coupon paying a fixed interest rate More...
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class | FloatingRateCoupon |
| coupon at par on a term structure More...
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class | InArrearIndexedCoupon |
| in arrear indexed coupon class More...
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class | IndexedCoupon |
| base indexed coupon class More...
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class | ParCoupon |
| coupon at par on a term structure More...
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class | ShortFloatingRateCoupon |
| short coupon at par on a term structure More...
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class | Short |
| short indexed coupon More...
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class | SimpleCashFlow |
| Predetermined cash flow. More...
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class | UpFrontIndexedCoupon |
| up front indexed coupon class More...
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Functions |
std::vector< Handle< CashFlow > > | FixedRateCouponVector (const std::vector< double > &nominals, const std::vector< Rate > &couponRates, const Date &startDate, const Date &endDate, int frequency, const Calendar &calendar, RollingConvention rollingConvention, bool isAdjusted, const DayCounter &dayCount, const DayCounter &firstPeriodDayCount, const Date &stubDate) |
| helper function building a sequence of fixed rate coupons
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std::vector< Handle< CashFlow > > | FixedRateCouponVector (const std::vector< double > &nominals, const std::vector< Rate > &couponRates, const DayCounter &dayCount, const DayCounter &firstPeriodDayCount, const Scheduler &scheduler) |
| helper function building a sequence of fixed rate coupons
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std::vector< Handle< CashFlow > > | FixedRateCouponVector (const std::vector< double > &nominals, const std::vector< Rate > &couponRates, const std::vector< Date > &dates, const Calendar &calendar, RollingConvention roll, const DayCounter &dayCounter) |
| helper function building a sequence of fixed rate coupons
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std::vector< Handle< CashFlow > > | FloatingRateCouponVector (const std::vector< double > &nominals, const Date &startDate, const Date &endDate, int frequency, const Calendar &calendar, RollingConvention rollingConvention, const Handle< Xibor > &index, int fixingDays, const std::vector< Spread > &spreads, const Date &stubDate) |
std::vector< Handle< CashFlow > > | FloatingRateCouponVector (const std::vector< double > &nominals, const Handle< Xibor > &index, int fixingDays, const std::vector< Spread > &spreads, const Scheduler &scheduler) |
std::vector< Handle< CashFlow > > | FloatingRateCouponVector (const std::vector< double > &nominals, const std::vector< Spread > &spreads, const std::vector< Date > &dates, const Handle< Xibor > &index, int fixingDays, const Calendar &calendar, RollingConvention roll) |
std::vector< Handle< CashFlow > > | FloatingRateCouponVector (const std::vector< double > &nominals, const Date &startDate, const Date &endDate, int frequency, const Calendar &calendar, RollingConvention rollingConvention, const Handle< Indexes::Xibor > &index, int fixingDays, const std::vector< Spread > &spreads, const Date &stubDate=Date()) |
| helper function building a sequence of par coupons
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std::vector< Handle< CashFlow > > | FloatingRateCouponVector (const std::vector< double > &nominals, const Handle< Indexes::Xibor > &index, int fixingDays, const std::vector< Spread > &spreads, const Scheduler &scheduler) |
| helper function building a sequence of par coupons
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std::vector< Handle< CashFlow > > | FloatingRateCouponVector (const std::vector< double > &nominals, const std::vector< Spread > &spreads, const std::vector< Date > &dates, const Handle< Indexes::Xibor > &index, int fixingDays, const Calendar &calendar, RollingConvention roll) |
| helper function building a sequence of par coupons
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template<class IndexedCouponType> std::vector< Handle< CashFlow > > | IndexedCouponVector (const std::vector< double > &nominals, const Date &startDate, const Date &endDate, int frequency, const Calendar &calendar, RollingConvention rollingConvention, const Handle< Indexes::Xibor > &index, int fixingDays, const std::vector< Spread > &spreads, const Date &stubDate=Date(), const DayCounter &dayCounter=DayCounter()) |
Function Documentation
std::vector< Handle< CashFlow > > FixedRateCouponVector |
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const std::vector< double > & |
nominals, |
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const std::vector< Rate > & |
couponRates, |
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const Date & |
startDate, |
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const Date & |
endDate, |
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int |
frequency, |
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const Calendar & |
calendar, |
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RollingConvention |
rollingConvention, |
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bool |
isAdjusted, |
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const DayCounter & |
dayCount, |
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const DayCounter & |
firstPeriodDayCount, |
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const Date & |
stubDate = Date() |
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helper function building a sequence of fixed rate coupons
- Deprecated:
- use the version taking a Scheduler instead
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std::vector<Handle<CashFlow> > FloatingRateCouponVector |
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const std::vector< double > & |
nominals, |
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const Date & |
startDate, |
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const Date & |
endDate, |
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int |
frequency, |
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const Calendar & |
calendar, |
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RollingConvention |
rollingConvention, |
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const Handle< Indexes::Xibor > & |
index, |
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int |
fixingDays, |
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const std::vector< Spread > & |
spreads, |
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const Date & |
stubDate = Date() |
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helper function building a sequence of par coupons
- Warning:
- The passing of a non-null stub date - i.e., the creation of a short/long first coupon - is currently disabled.
- Todo:
- A suitable algorithm should be implemented for the calculation of the interpolated index fixing for a short/long first coupon.
- Deprecated:
- use the version taking a Scheduler instead.
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