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Modelling Non-Standard Cash Flows

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Charles Allderman

Modelling Non-Standard Cash Flows

Is there functionality to model non-standard cash flows that may be associated with liability streams typically seen in insurance companies?

If not is there a work around that could be employed.

Thanks

igitur

Re: Modelling Non-Standard Cash Flows

Hi Charles,

I typically use Cashflows.npv() for valuing custom liability streams with a yield term structure of our own choice.

http://quantlib.org/reference/class_quant_lib_1_1_cash_flows.html#a935030a697b942fe432e020706a21fc8

Francois Botha

On 31 January 2017 at 11:35, Charles Allderman <[hidden email]> wrote:

Is there functionality to model non-standard cash flows that may be
associated with liability streams typically seen in insurance companies?

If not is there a work around that could be employed.

Thanks

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Charles Allderman

Re: Modelling Non-Standard Cash Flows

Hi Francois

Thanks for this. How does one instantiate the cashflow class.

I tried:

ql.FixedRateLeg(Schedule, dayCount, nominals, rates)

as the cashflow becomes a function of the rate vector/list and we need the cashflow to be the full nominal.

Thanks

Charles

On Tue, Jan 31, 2017 at 12:04 PM, Francois Botha [via QuantLib] <[hidden email]> wrote:

Hi Charles,

I typically use Cashflows.npv() for valuing custom liability streams with a yield term structure of our own choice.

http://quantlib.org/reference/class_quant_lib_1_1_cash_flows.html#a935030a697b942fe432e020706a21fc8

Francois Botha

On 31 January 2017 at 11:35, Charles Allderman <[hidden email]> wrote:
Is there functionality to model non-standard cash flows that may be
associated with liability streams typically seen in insurance companies?

If not is there a work around that could be employed.

Thanks

--
View this message in context: http://quantlib.10058.n7.nabble.com/Modelling-Non-Standard-Cash-Flows-tp18048.html
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igitur

Re: Modelling Non-Standard Cash Flows

Does this help:

std::vector<shared_ptr<CashFlow> > leg;

for (Integer i=0; i<3; ++i)

leg.push_back(shared_ptr<CashFlow>(new SimpleCashFlow(1.0, today+i)));

From the test in QuantLib\test-suite\cashflows.cpp

Francois Botha

On 31 January 2017 at 15:25, Charles Allderman <[hidden email]> wrote:

Hi Francois

Thanks for this. How does one instantiate the cashflow class.

I tried:
ql.FixedRateLeg(Schedule, dayCount, nominals, rates)

as the cashflow becomes a function of the rate vector/list and we need the cashflow to be the full nominal.

Thanks
Charles

On Tue, Jan 31, 2017 at 12:04 PM, Francois Botha [via QuantLib] <[hidden email]> wrote:

Hi Charles,

I typically use Cashflows.npv() for valuing custom liability streams with a yield term structure of our own choice.

http://quantlib.org/reference/class_quant_lib_1_1_cash_flows.html#a935030a697b942fe432e020706a21fc8

Francois Botha

On 31 January 2017 at 11:35, Charles Allderman <[hidden email]> wrote:
Is there functionality to model non-standard cash flows that may be
associated with liability streams typically seen in insurance companies?

If not is there a work around that could be employed.

Thanks

--
View this message in context: http://quantlib.10058.n7.nabble.com/Modelling-Non-Standard-Cash-Flows-tp18048.html
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Charles Allderman

Re: Modelling Non-Standard Cash Flows

Thanks for pointing me in the right direction!

ql.CashFlows.npv(listofcashflows,spotCurve,spread,dayCount,ql.Continuous,ql.Annual,False)

On Tue, Jan 31, 2017 at 3:32 PM, Francois Botha [via QuantLib] <[hidden email]> wrote:

Does this help:

std::vector<shared_ptr<CashFlow> > leg;
for (Integer i=0; i<3; ++i)
leg.push_back(shared_ptr<CashFlow>(new SimpleCashFlow(1.0, today+i)));

From the test in QuantLib\test-suite\cashflows.cpp

Francois Botha

On 31 January 2017 at 15:25, Charles Allderman <[hidden email]> wrote:
Hi Francois

Thanks for this. How does one instantiate the cashflow class.

I tried:
ql.FixedRateLeg(Schedule, dayCount, nominals, rates)

as the cashflow becomes a function of the rate vector/list and we need the cashflow to be the full nominal.

Thanks
Charles

On Tue, Jan 31, 2017 at 12:04 PM, Francois Botha [via QuantLib] <[hidden email]> wrote:

Hi Charles,

I typically use Cashflows.npv() for valuing custom liability streams with a yield term structure of our own choice.

http://quantlib.org/reference/class_quant_lib_1_1_cash_flows.html#a935030a697b942fe432e020706a21fc8

Francois Botha

On 31 January 2017 at 11:35, Charles Allderman <[hidden email]> wrote:
Is there functionality to model non-standard cash flows that may be
associated with liability streams typically seen in insurance companies?

If not is there a work around that could be employed.

Thanks

--
View this message in context: http://quantlib.10058.n7.nabble.com/Modelling-Non-Standard-Cash-Flows-tp18048.html
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