Modelling Non-Standard Cash Flows

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Modelling Non-Standard Cash Flows

Charles Allderman
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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Re: Modelling Non-Standard Cash Flows

igitur
Hi Charles,

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



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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Re: Modelling Non-Standard Cash Flows

Charles Allderman
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.



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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Re: Modelling Non-Standard Cash Flows

igitur
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.



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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Re: Modelling Non-Standard Cash Flows

Charles Allderman
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.



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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