Module cashflows 

Concrete cash flows.

Port of ql/cashflows/, built on the CashFlow base. The items are re-exported flat, so a coupon is cashflows::Coupon rather than cashflows::coupon::Coupon.

Structs

AmortizingPayment

A repayment of principal: a SimpleCashFlow that cash-flow analysis can single out.

BlackIborCouponPricer

Black-formula pricer for ibor coupons (BlackIborCouponPricer over the IborCouponPricer base in ql/cashflows/couponpricer.{hpp,cpp}).

CappedFlooredCoupon

A floating-rate coupon capped and/or floored.

CappedFlooredIborCoupon

Constructor for an ibor coupon wrapped in a cap and/or floor (CappedFlooredIborCoupon).

CompoundingOvernightIndexedCouponPricer

Prices an OvernightIndexedCoupon by daily compounding (CompoundingOvernightIndexedCouponPricer).

CouponBase

The dates and nominal every Coupon carries.

FixedDividend

A dividend paying a predetermined amount, whatever the underlying is worth.

FixedRateCoupon

A Coupon paying a fixed InterestRate over its accrual period.

FixedRateLeg

Builds a sequence of FixedRateCoupons from a Schedule.

FloatingRateCoupon

Base floating-rate coupon.

FractionalDividend

A dividend paying a fixed fraction of the underlying.

IborCoupon

A coupon paying a Libor-type index (ql/cashflows/iborcoupon.hpp).

IborLeg

Builds a sequence of IborCoupons from a Schedule.

OvernightIndexedCoupon

A coupon paying the compounded daily overnight rate (ql/cashflows/overnightindexedcoupon.hpp).

OvernightLeg

Builds a sequence of OvernightIndexedCoupons from a Schedule.

OvernightSchedule

The value-date schedule an OvernightIndexedCoupon compounds over.

Redemption

The redemption of a bond’s notional: a SimpleCashFlow that cash-flow analysis can single out.

SimpleCashFlow

A payment of a predetermined amount on a given date.

Enums

CashFlows

The CashFlows namespace of cashflows.hpp.

Duration

The duration convention CashFlows::duration computes.

RateAveraging

How the daily overnight fixings of a coupon are combined.

Traits

AttachPricer

A coupon a pricer can be attached to (an IborCoupon or a CappedFlooredCoupon), so set_coupon_pricer spans both.

Coupon

A CashFlow accruing over a fixed period.

Dividend

A cash flow paid on a stock, whose amount may be read off the underlying.

FloatingIndex

An InterestRateIndex viewed as its coupon needs it: the tenor face plus the one Index call the coupon makes at rate time.

FloatingRateCouponPricer

Generic pricer for floating-rate coupons.

Functions

dividend_vector

Builds a sequence of FixedDividends, one per date.

set_coupon_pricer

Attaches pricer to every coupon, overriding the default the builder set.