com.github.vonrosen.quantlib

Class CashFlows

java.lang.Object

com.github.vonrosen.quantlib.CashFlows

public class CashFlows
extends Object

Field Summary

Fields

Modifier and Type	Field and Description
protected boolean	swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	CashFlows(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
static double	atmRate(Leg leg, YieldTermStructure discountCurve, boolean includeSettlementDateFlows)
static double	atmRate(Leg leg, YieldTermStructure discountCurve, boolean includeSettlementDateFlows, Date settlementDate)
static double	atmRate(Leg leg, YieldTermStructure discountCurve, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	atmRate(Leg leg, YieldTermStructure discountCurve, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate, double npv)
static double	basisPointValue(Leg leg, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows)
static double	basisPointValue(Leg leg, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate)
static double	basisPointValue(Leg leg, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	basisPointValue(Leg leg, InterestRate yield, boolean includeSettlementDateFlows)
static double	basisPointValue(Leg leg, InterestRate yield, boolean includeSettlementDateFlows, Date settlementDate)
static double	basisPointValue(Leg leg, InterestRate yield, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	bps(Leg arg0, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows)
static double	bps(Leg arg0, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate)
static double	bps(Leg arg0, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	bps(Leg arg0, InterestRate arg1, boolean includeSettlementDateFlows)
static double	bps(Leg arg0, InterestRate arg1, boolean includeSettlementDateFlows, Date settlementDate)
static double	bps(Leg arg0, InterestRate arg1, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	bps(Leg leg, YieldTermStructure discountCurve, boolean includeSettlementDateFlows)
static double	bps(Leg leg, YieldTermStructure discountCurve, boolean includeSettlementDateFlows, Date settlementDate)
static double	bps(Leg leg, YieldTermStructure discountCurve, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	bps(Leg leg, YieldTermStructureHandle discountCurve, boolean includeSettlementDateFlows)
static double	bps(Leg leg, YieldTermStructureHandle discountCurve, boolean includeSettlementDateFlows, Date settlementDate)
static double	bps(Leg leg, YieldTermStructureHandle discountCurve, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	convexity(Leg arg0, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows)
static double	convexity(Leg arg0, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate)
static double	convexity(Leg arg0, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	convexity(Leg arg0, InterestRate arg1, boolean includeSettlementDateFlows)
static double	convexity(Leg arg0, InterestRate arg1, boolean includeSettlementDateFlows, Date settlementDate)
static double	convexity(Leg arg0, InterestRate arg1, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
void	delete()
static double	duration(Leg arg0, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, Duration.Type type, boolean includeSettlementDateFlows)
static double	duration(Leg arg0, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, Duration.Type type, boolean includeSettlementDateFlows, Date settlementDate)
static double	duration(Leg arg0, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, Duration.Type type, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	duration(Leg arg0, InterestRate arg1, Duration.Type type, boolean includeSettlementDateFlows)
static double	duration(Leg arg0, InterestRate arg1, Duration.Type type, boolean includeSettlementDateFlows, Date settlementDate)
protected void	finalize()
protected static long	getCPtr(CashFlows obj)
static Date	maturityDate(Leg arg0)
static double	npv(Leg arg0, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows)
static double	npv(Leg arg0, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate)
static double	npv(Leg arg0, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	npv(Leg arg0, InterestRate arg1, boolean includeSettlementDateFlows)
static double	npv(Leg arg0, InterestRate arg1, boolean includeSettlementDateFlows, Date settlementDate)
static double	npv(Leg arg0, InterestRate arg1, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	npv(Leg leg, YieldTermStructure discountCurve, double zSpread, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows)
static double	npv(Leg leg, YieldTermStructure discountCurve, double zSpread, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate)
static double	npv(Leg leg, YieldTermStructure discountCurve, double zSpread, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	npv(Leg leg, YieldTermStructureHandle discountCurve, boolean includeSettlementDateFlows)
static double	npv(Leg leg, YieldTermStructureHandle discountCurve, boolean includeSettlementDateFlows, Date settlementDate)
static double	npv(Leg leg, YieldTermStructureHandle discountCurve, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static Date	startDate(Leg arg0)
static double	yield(Leg arg0, double npv, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows)
static double	yield(Leg arg0, double npv, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate)
static double	yield(Leg arg0, double npv, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	yield(Leg arg0, double npv, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate, double accuracy)
static double	yield(Leg arg0, double npv, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate, double accuracy, long maxIterations)
static double	yield(Leg arg0, double npv, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate, double accuracy, long maxIterations, double guess)
static double	zSpread(Leg leg, double npv, YieldTermStructure arg2, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows)
static double	zSpread(Leg leg, double npv, YieldTermStructure arg2, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate)
static double	zSpread(Leg leg, double npv, YieldTermStructure arg2, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate)
static double	zSpread(Leg leg, double npv, YieldTermStructure arg2, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate, double accuracy)
static double	zSpread(Leg leg, double npv, YieldTermStructure arg2, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate, double accuracy, long maxIterations)
static double	zSpread(Leg leg, double npv, YieldTermStructure arg2, DayCounter dayCounter, Compounding compounding, Frequency frequency, boolean includeSettlementDateFlows, Date settlementDate, Date npvDate, double accuracy, long maxIterations, double guess)

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

swigCMemOwn

protected transient boolean swigCMemOwn

Constructor Detail

CashFlows

protected CashFlows(long cPtr,
                    boolean cMemoryOwn)

Method Detail

getCPtr

protected static long getCPtr(CashFlows obj)

finalize

protected void finalize()

Overrides:

finalize in class Object

delete

public void delete()

startDate

public static Date startDate(Leg arg0)

maturityDate

public static Date maturityDate(Leg arg0)

npv

public static double npv(Leg leg,
                         YieldTermStructure discountCurve,
                         double zSpread,
                         DayCounter dayCounter,
                         Compounding compounding,
                         Frequency frequency,
                         boolean includeSettlementDateFlows,
                         Date settlementDate,
                         Date npvDate)

npv

public static double npv(Leg leg,
                         YieldTermStructure discountCurve,
                         double zSpread,
                         DayCounter dayCounter,
                         Compounding compounding,
                         Frequency frequency,
                         boolean includeSettlementDateFlows,
                         Date settlementDate)

npv

public static double npv(Leg leg,
                         YieldTermStructure discountCurve,
                         double zSpread,
                         DayCounter dayCounter,
                         Compounding compounding,
                         Frequency frequency,
                         boolean includeSettlementDateFlows)

npv

public static double npv(Leg leg,
                         YieldTermStructureHandle discountCurve,
                         boolean includeSettlementDateFlows,
                         Date settlementDate,
                         Date npvDate)

npv

public static double npv(Leg leg,
                         YieldTermStructureHandle discountCurve,
                         boolean includeSettlementDateFlows,
                         Date settlementDate)

npv

public static double npv(Leg leg,
                         YieldTermStructureHandle discountCurve,
                         boolean includeSettlementDateFlows)

npv

public static double npv(Leg arg0,
                         InterestRate arg1,
                         boolean includeSettlementDateFlows,
                         Date settlementDate,
                         Date npvDate)

npv

public static double npv(Leg arg0,
                         InterestRate arg1,
                         boolean includeSettlementDateFlows,
                         Date settlementDate)

npv

public static double npv(Leg arg0,
                         InterestRate arg1,
                         boolean includeSettlementDateFlows)

npv

public static double npv(Leg arg0,
                         double yield,
                         DayCounter dayCounter,
                         Compounding compounding,
                         Frequency frequency,
                         boolean includeSettlementDateFlows,
                         Date settlementDate,
                         Date npvDate)

npv

public static double npv(Leg arg0,
                         double yield,
                         DayCounter dayCounter,
                         Compounding compounding,
                         Frequency frequency,
                         boolean includeSettlementDateFlows,
                         Date settlementDate)

npv

public static double npv(Leg arg0,
                         double yield,
                         DayCounter dayCounter,
                         Compounding compounding,
                         Frequency frequency,
                         boolean includeSettlementDateFlows)

bps

public static double bps(Leg leg,
                         YieldTermStructure discountCurve,
                         boolean includeSettlementDateFlows,
                         Date settlementDate,
                         Date npvDate)

bps

public static double bps(Leg leg,
                         YieldTermStructure discountCurve,
                         boolean includeSettlementDateFlows,
                         Date settlementDate)

bps

public static double bps(Leg leg,
                         YieldTermStructure discountCurve,
                         boolean includeSettlementDateFlows)

bps

public static double bps(Leg leg,
                         YieldTermStructureHandle discountCurve,
                         boolean includeSettlementDateFlows,
                         Date settlementDate,
                         Date npvDate)

bps

public static double bps(Leg leg,
                         YieldTermStructureHandle discountCurve,
                         boolean includeSettlementDateFlows,
                         Date settlementDate)

bps

public static double bps(Leg leg,
                         YieldTermStructureHandle discountCurve,
                         boolean includeSettlementDateFlows)

bps

public static double bps(Leg arg0,
                         InterestRate arg1,
                         boolean includeSettlementDateFlows,
                         Date settlementDate,
                         Date npvDate)

bps

public static double bps(Leg arg0,
                         InterestRate arg1,
                         boolean includeSettlementDateFlows,
                         Date settlementDate)

bps

public static double bps(Leg arg0,
                         InterestRate arg1,
                         boolean includeSettlementDateFlows)

bps

public static double bps(Leg arg0,
                         double yield,
                         DayCounter dayCounter,
                         Compounding compounding,
                         Frequency frequency,
                         boolean includeSettlementDateFlows,
                         Date settlementDate,
                         Date npvDate)

bps

public static double bps(Leg arg0,
                         double yield,
                         DayCounter dayCounter,
                         Compounding compounding,
                         Frequency frequency,
                         boolean includeSettlementDateFlows,
                         Date settlementDate)

bps

public static double bps(Leg arg0,
                         double yield,
                         DayCounter dayCounter,
                         Compounding compounding,
                         Frequency frequency,
                         boolean includeSettlementDateFlows)

atmRate

public static double atmRate(Leg leg,
                             YieldTermStructure discountCurve,
                             boolean includeSettlementDateFlows,
                             Date settlementDate,
                             Date npvDate,
                             double npv)

atmRate

public static double atmRate(Leg leg,
                             YieldTermStructure discountCurve,
                             boolean includeSettlementDateFlows,
                             Date settlementDate,
                             Date npvDate)

atmRate

public static double atmRate(Leg leg,
                             YieldTermStructure discountCurve,
                             boolean includeSettlementDateFlows,
                             Date settlementDate)

atmRate

public static double atmRate(Leg leg,
                             YieldTermStructure discountCurve,
                             boolean includeSettlementDateFlows)

yield

public static double yield(Leg arg0,
                           double npv,
                           DayCounter dayCounter,
                           Compounding compounding,
                           Frequency frequency,
                           boolean includeSettlementDateFlows,
                           Date settlementDate,
                           Date npvDate,
                           double accuracy,
                           long maxIterations,
                           double guess)

yield

public static double yield(Leg arg0,
                           double npv,
                           DayCounter dayCounter,
                           Compounding compounding,
                           Frequency frequency,
                           boolean includeSettlementDateFlows,
                           Date settlementDate,
                           Date npvDate,
                           double accuracy,
                           long maxIterations)

yield

public static double yield(Leg arg0,
                           double npv,
                           DayCounter dayCounter,
                           Compounding compounding,
                           Frequency frequency,
                           boolean includeSettlementDateFlows,
                           Date settlementDate,
                           Date npvDate,
                           double accuracy)

yield

public static double yield(Leg arg0,
                           double npv,
                           DayCounter dayCounter,
                           Compounding compounding,
                           Frequency frequency,
                           boolean includeSettlementDateFlows,
                           Date settlementDate,
                           Date npvDate)

yield

public static double yield(Leg arg0,
                           double npv,
                           DayCounter dayCounter,
                           Compounding compounding,
                           Frequency frequency,
                           boolean includeSettlementDateFlows,
                           Date settlementDate)

yield

public static double yield(Leg arg0,
                           double npv,
                           DayCounter dayCounter,
                           Compounding compounding,
                           Frequency frequency,
                           boolean includeSettlementDateFlows)

duration

public static double duration(Leg arg0,
                              InterestRate arg1,
                              Duration.Type type,
                              boolean includeSettlementDateFlows,
                              Date settlementDate)

duration

public static double duration(Leg arg0,
                              InterestRate arg1,
                              Duration.Type type,
                              boolean includeSettlementDateFlows)

duration

public static double duration(Leg arg0,
                              double yield,
                              DayCounter dayCounter,
                              Compounding compounding,
                              Frequency frequency,
                              Duration.Type type,
                              boolean includeSettlementDateFlows,
                              Date settlementDate,
                              Date npvDate)

duration

public static double duration(Leg arg0,
                              double yield,
                              DayCounter dayCounter,
                              Compounding compounding,
                              Frequency frequency,
                              Duration.Type type,
                              boolean includeSettlementDateFlows,
                              Date settlementDate)

duration

public static double duration(Leg arg0,
                              double yield,
                              DayCounter dayCounter,
                              Compounding compounding,
                              Frequency frequency,
                              Duration.Type type,
                              boolean includeSettlementDateFlows)

convexity

public static double convexity(Leg arg0,
                               InterestRate arg1,
                               boolean includeSettlementDateFlows,
                               Date settlementDate,
                               Date npvDate)

convexity

public static double convexity(Leg arg0,
                               InterestRate arg1,
                               boolean includeSettlementDateFlows,
                               Date settlementDate)

convexity

public static double convexity(Leg arg0,
                               InterestRate arg1,
                               boolean includeSettlementDateFlows)

convexity

public static double convexity(Leg arg0,
                               double yield,
                               DayCounter dayCounter,
                               Compounding compounding,
                               Frequency frequency,
                               boolean includeSettlementDateFlows,
                               Date settlementDate,
                               Date npvDate)

convexity

public static double convexity(Leg arg0,
                               double yield,
                               DayCounter dayCounter,
                               Compounding compounding,
                               Frequency frequency,
                               boolean includeSettlementDateFlows,
                               Date settlementDate)

convexity

public static double convexity(Leg arg0,
                               double yield,
                               DayCounter dayCounter,
                               Compounding compounding,
                               Frequency frequency,
                               boolean includeSettlementDateFlows)

basisPointValue

public static double basisPointValue(Leg leg,
                                     InterestRate yield,
                                     boolean includeSettlementDateFlows,
                                     Date settlementDate,
                                     Date npvDate)

basisPointValue

public static double basisPointValue(Leg leg,
                                     InterestRate yield,
                                     boolean includeSettlementDateFlows,
                                     Date settlementDate)

basisPointValue

public static double basisPointValue(Leg leg,
                                     InterestRate yield,
                                     boolean includeSettlementDateFlows)

basisPointValue

public static double basisPointValue(Leg leg,
                                     double yield,
                                     DayCounter dayCounter,
                                     Compounding compounding,
                                     Frequency frequency,
                                     boolean includeSettlementDateFlows,
                                     Date settlementDate,
                                     Date npvDate)

basisPointValue

public static double basisPointValue(Leg leg,
                                     double yield,
                                     DayCounter dayCounter,
                                     Compounding compounding,
                                     Frequency frequency,
                                     boolean includeSettlementDateFlows,
                                     Date settlementDate)

basisPointValue

public static double basisPointValue(Leg leg,
                                     double yield,
                                     DayCounter dayCounter,
                                     Compounding compounding,
                                     Frequency frequency,
                                     boolean includeSettlementDateFlows)

zSpread

public static double zSpread(Leg leg,
                             double npv,
                             YieldTermStructure arg2,
                             DayCounter dayCounter,
                             Compounding compounding,
                             Frequency frequency,
                             boolean includeSettlementDateFlows,
                             Date settlementDate,
                             Date npvDate,
                             double accuracy,
                             long maxIterations,
                             double guess)

zSpread

public static double zSpread(Leg leg,
                             double npv,
                             YieldTermStructure arg2,
                             DayCounter dayCounter,
                             Compounding compounding,
                             Frequency frequency,
                             boolean includeSettlementDateFlows,
                             Date settlementDate,
                             Date npvDate,
                             double accuracy,
                             long maxIterations)

zSpread

public static double zSpread(Leg leg,
                             double npv,
                             YieldTermStructure arg2,
                             DayCounter dayCounter,
                             Compounding compounding,
                             Frequency frequency,
                             boolean includeSettlementDateFlows,
                             Date settlementDate,
                             Date npvDate,
                             double accuracy)

zSpread

public static double zSpread(Leg leg,
                             double npv,
                             YieldTermStructure arg2,
                             DayCounter dayCounter,
                             Compounding compounding,
                             Frequency frequency,
                             boolean includeSettlementDateFlows,
                             Date settlementDate,
                             Date npvDate)

zSpread

public static double zSpread(Leg leg,
                             double npv,
                             YieldTermStructure arg2,
                             DayCounter dayCounter,
                             Compounding compounding,
                             Frequency frequency,
                             boolean includeSettlementDateFlows,
                             Date settlementDate)

zSpread

public static double zSpread(Leg leg,
                             double npv,
                             YieldTermStructure arg2,
                             DayCounter dayCounter,
                             Compounding compounding,
                             Frequency frequency,
                             boolean includeSettlementDateFlows)