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How to calculate IRR using Cashflows:yield()

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Kenneth.Xiao.Jun Wang

How to calculate IRR using Cashflows:yield()

Hi All,

I'm new to Quantlib. I want to calculate IRR of cash flows using the QuantLib::CashFlows::yield() function. But there is no examples about how to use the class QuantLib::CashFlows in the Examples folder. I don't know how to deal with it. Do you have any example about this?

Thanks very much!

Kenneth

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Peter Caspers-2

Re: How to calculate IRR using Cashflows:yield()

Hello Kenneth,

        Leg l;
    Date d = Settings::instance().evaluationDate();
        l.push_back(boost::shared_ptr<CashFlow>(new SimpleCashFlow(-1.0,d)));
        l.push_back(boost::shared_ptr<CashFlow>(new SimpleCashFlow(1.05,TARGET().advance(d,1*Years))));
        std::cout << "yield = " << CashFlows::yield(l,0.0,Actual365Fixed(),Continuous,NoFrequency,true,d,d) << std::endl;

is a simple example.

By the way, I think there is a litte bug in lines 625 and following in cashflows.cpp, which should be

            if (settlementDate == Date())
                settlementDate_ = Settings::instance().evaluationDate();

                if (npvDate == Date())
                    npvDate_ = settlementDate;

otherwise you can not leave out the defaulted parameters settlementDate und npvDate in the yield( ) - call.

Peter

Am 13.02.2012 09:35, schrieb Kenneth.Xiao.Jun Wang:

Hi All,

I'm new to Quantlib. I want to calculate IRR of cash flows using the QuantLib::CashFlows::yield() function. But there is no examples about how to use the class QuantLib::CashFlows in the Examples folder. I don't know how to deal with it. Do you have any example about this?

Thanks very much!

Kenneth
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Luigi Ballabio

Re: How to calculate IRR using Cashflows:yield()

On Tue, Feb 14, 2012 at 9:53 PM, Peter Caspers <[hidden email]> wrote:

> By the way, I think there is a litte bug in lines 625 and following in
> cashflows.cpp, which should be
>
>             if (settlementDate == Date())
>                 settlementDate_ = Settings::instance().evaluationDate();
>
>                 if (npvDate == Date())
>                     npvDate_ = settlementDate;
>
> otherwise you can not leave out the defaulted parameters settlementDate und
> npvDate in the yield( ) - call.

Yes, you're right---it was already so in the other methods. I've just
committed the fix.

Thanks for the heads-up,
Luigi

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