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. More... | |
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) |
cashflow-analysis functions in addition to those in QuantLib
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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.
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Return only the coupon rates from a leg
i.e. only Cashflow that casts to Coupon Maintains the order of the coupon rates
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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