ql XL - SimpleCashFlowVector

[Circo Giuseppe (DAM)]

Hi all,
There is a function named SimpleCashFlowVector() within ql XL, how can
you add a pricing egine above it? Is there any way to consider the
inputed cash flows as an instrument in order to compute present value
and risks?
Regards,


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[Kim Kuen Tang]

Hi Giuseppe,

Circo Giuseppe (DAM) schrieb:
> Hi all,
> There is a function named SimpleCashFlowVector() within ql XL, how can
> you add a pricing egine above it?
just my imho thoughts on this chat. You will get more responds if you
give a small description what you are trying to price.

But now back to your question.
The function SimpleCashflowVector is mainly there to create a leg. (
See: qlo\leg.hpp(106):    class SimpleCashFlowVector : public Leg)
And pricingengines only accept instruments. So you cant directly price a
leg.
You can use this function to create a leg and pass this leg for example
to a swap or bond.
And after that you can price this swap or bond.

To get you started you will find in the attachment a toy excel sheet
where the function SimpleCashflowVector is used.
Hth.

Cheers,
Kim
> Is there any way to consider the
> inputed cash flows as an instrument in order to compute present value
> and risks?
> Regards,
>
>
> ------------------------------------------------------------------------
>  


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[Ferdinando M. Ametrano-3]

Hi Kim and Giuseppe

> The function SimpleCashflowVector is mainly there to create a leg. ( See:
> qlo\leg.hpp(106):    class SimpleCashFlowVector : public Leg)

that's why in the next release qlSimpleCashFlowVector will be called qlLeg

>> There is a function named SimpleCashFlowVector() within ql XL, how can
>> you add a pricing egine above it?
> [...]
> And pricingengines only accept instruments. So you cant directly price a
> leg.
> You can use this function to create a leg and pass this leg for example to a
> swap or bond.
> And after that you can price this swap or bond.

that's correct, but anyway you can apply to a QuantLibAddin::Leg
object all existing qlLegXXX functions, qlLegNPV included.
In the next release all QuantLib::CashFlows::XXX functions defined in
ql/cashflows/cashflows.hpp will be available in Excel as qlLegXXX

ciao -- Nando

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[Circo Giuseppe (DAM)]

Ciao Ferdinando,

First thank you for your reply,

I also had a thought about inflation instruments and cash flow vector that could be dependent on inflation (in my case indexed liabilities), is there anything foreseen on this side for next release?

Regards,


-----Original Message-----
From: [hidden email] [mailto:[hidden email]] On Behalf Of Ferdinando Ametrano
Sent: 23 March 2010 15:09
To: Kim Kuen Tang
Cc: Circo Giuseppe (DAM); [hidden email]
Subject: Re: [Quantlib-users] ql XL - SimpleCashFlowVector

Hi Kim and Giuseppe

> The function SimpleCashflowVector is mainly there to create a leg. ( See:
> qlo\leg.hpp(106):    class SimpleCashFlowVector : public Leg)

that's why in the next release qlSimpleCashFlowVector will be called qlLeg

>> There is a function named SimpleCashFlowVector() within ql XL, how
>> can you add a pricing egine above it?
> [...]
> And pricingengines only accept instruments. So you cant directly price
> a leg.
> You can use this function to create a leg and pass this leg for
> example to a swap or bond.
> And after that you can price this swap or bond.

that's correct, but anyway you can apply to a QuantLibAddin::Leg object all existing qlLegXXX functions, qlLegNPV included.
In the next release all QuantLib::CashFlows::XXX functions defined in ql/cashflows/cashflows.hpp will be available in Excel as qlLegXXX

ciao -- Nando

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[Ferdinando M. Ametrano-3]

On Tue, Mar 23, 2010 at 3:40 PM, Circo Giuseppe (DAM)
<[hidden email]> wrote:
> I also had a thought about inflation instruments and cash flow vector that could be dependent
> on inflation (in my case indexed liabilities), is there anything foreseen on this side for next release?

not that I'm aware of.

ciao -- Nando

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