External module "ql/cashflows/cashflows"

Index

Classes

Variables

basisPoint

Functions

Variables

Const basisPoint

basisPoint: Spread = 0.0001

Functions

aggregateRate

aggregateRate(leg: Leg, first: Size, last: Size): Rate

- Defined in ql/cashflows/cashflows.ts:1201
Coupon utility functions

Parameters
- leg: Leg
- first: Size
- last: Size
Returns Rate

getStepwiseDiscountTime

getStepwiseDiscountTime(cashFlow: CashFlow, dc: DayCounter, npvDate: Date, lastDate: Date): Time

- Defined in ql/cashflows/cashflows.ts:1279
helper fucntion used to calculate Time-To-Discount for each stage when calculating discount factor stepwisely

Parameters
- cashFlow: CashFlow
- dc: DayCounter
- npvDate: Date
- lastDate: Date
Returns Time

macaulayDuration

macaulayDuration(leg: Leg, y: InterestRate, includeSettlementDateFlows: boolean, settlementDate: Date, npvDate: Date): Real

- Defined in ql/cashflows/cashflows.ts:1428
Parameters
- leg: Leg
- y: InterestRate
- includeSettlementDateFlows: boolean
- settlementDate: Date
- npvDate: Date
Returns Real

modifiedDuration

modifiedDuration(leg: Leg, y: InterestRate, includeSettlementDateFlows: boolean, settlementDate: Date, npvDate: Date): Real

- Defined in ql/cashflows/cashflows.ts:1357
Parameters
- leg: Leg
- y: InterestRate
- includeSettlementDateFlows: boolean
- settlementDate: Date
- npvDate: Date
Returns Real

simpleDuration

simpleDuration(leg: Leg, y: InterestRate, includeSettlementDateFlows: boolean, settlementDate: Date, npvDate: Date): Real

- Defined in ql/cashflows/cashflows.ts:1314
Parameters
- leg: Leg
- y: InterestRate
- includeSettlementDateFlows: boolean
- settlementDate: Date
- npvDate: Date
Returns Real