QuantLib::CashFlows Namespace Reference


Detailed Description

Concrete implementations of the CashFlow interface.

See sect.


Compounds

class  BPSCalculator
 basis point sensitivity (BPS) calculator More...

class  Coupon
 coupon accruing over a fixed period More...

class  FixedRateCoupon
 coupon paying a fixed interest rate More...

class  FloatingRateCoupon
 coupon at par on a term structure More...

class  InArrearIndexedCoupon
 in arrear indexed coupon class More...

class  IndexedCoupon
 base indexed coupon class More...

class  ParCoupon
 coupon at par on a term structure More...

class  ShortFloatingRateCoupon
 short coupon at par on a term structure More...

class  Short
 short indexed coupon More...

class  SimpleCashFlow
 Predetermined cash flow. More...

class  UpFrontIndexedCoupon
 up front indexed coupon class More...


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

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

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

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

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

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

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 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 = Date()
 

helper function building a sequence of fixed rate coupons

Deprecated:
use the version taking a Scheduler instead

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

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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