Leg

Overview

functions to construct and use Leg objects.

Function List

qlInterestRate ()
qlInterestRateCompoundFactor ()
qlInterestRateCompounding ()
qlInterestRateDayCounter ()
qlInterestRateDiscountFactor ()
qlInterestRateEquivalentRate ()
qlInterestRateFrequency ()
qlInterestRateImpliedRate ()
qlInterestRateRate ()
qlLeg ()
qlLegAccrualDays ()
qlLegAccrualEndDate ()
qlLegAccrualPeriod ()
qlLegAccrualStartDate ()
qlLegAccruedAmount ()
qlLegAccruedDays ()
qlLegAccruedPeriod ()
qlLegAtmRate ()
qlLegBPS ()
qlLegBPSFromYield ()
qlLegBasisPointValue ()
qlLegConvexity ()
qlLegDuration ()
qlLegFlowAnalysis ()
qlLegFromCapFloor ()
qlLegFromSwap ()
qlLegIsExpired ()
qlLegMaturityDate ()
qlLegNPV ()
qlLegNPVFromYield ()
qlLegNPVFromZSpread ()
qlLegNextCashFlowAmount ()
qlLegNextCashFlowDate ()
qlLegNextCouponRate ()
qlLegNominal ()
qlLegPreviousCashFlowAmount ()
qlLegPreviousCashFlowDate ()
qlLegPreviousCouponRate ()
qlLegReferencePeriodEnd ()
qlLegReferencePeriodStart ()
qlLegSetCouponPricers ()
qlLegStartDate ()
qlLegYield ()
qlLegYieldValueBasisPoint ()
qlLegZSpread ()
qlMultiPhaseLeg ()

Function Documentation

qlInterestRate

string returnValue
 
qlInterestRate(
        string ObjectId
        double Rate
        string DayCounter
        string Compounding
        string Frequency
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class InterestRate and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Rate	rate.
DayCounter	Irr DayCounter ID.
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}).
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlInterestRateCompoundFactor

double returnValue
 
qlInterestRateCompoundFactor(
        string ObjectId
        long StartDate
        long EndDate
        long RefPeriodStart
        long RefPeriodEnd
        any Trigger)

Description:

Returns the compound factor between two dates based on the given InterestRate object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::InterestRate object
StartDate	compounding period start.
EndDate	compounding period end.
RefPeriodStart	reference period start date needed by some daycounter. Default value = QuantLib::Date().
RefPeriodEnd	reference period end date needed by some daycounter. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlInterestRateCompounding

string returnValue
 
qlInterestRateCompounding(
        string ObjectId
        any Trigger)

Description:

Returns the Compounding in the given InterestRate object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::InterestRate object
Trigger	dependency tracking trigger

qlInterestRateDayCounter

string returnValue
 
qlInterestRateDayCounter(
        string ObjectId
        any Trigger)

Description:

Returns the DayCounter in the given InterestRate object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::InterestRate object
Trigger	dependency tracking trigger

qlInterestRateDiscountFactor

double returnValue
 
qlInterestRateDiscountFactor(
        string ObjectId
        long StartDate
        long EndDate
        long RefPeriodStart
        long RefPeriodEnd
        any Trigger)

Description:

Returns the discount factor between two dates based on the given InterestRate object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::InterestRate object
StartDate	compounding period start.
EndDate	compounding period end.
RefPeriodStart	reference period start date needed by some daycounter. Default value = QuantLib::Date().
RefPeriodEnd	reference period end date needed by some daycounter. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlInterestRateEquivalentRate

double returnValue
 
qlInterestRateEquivalentRate(
        string ObjectId
        string DayCounter
        string Compounding
        string Frequency
        long StartDate
        long EndDate
        long RefPeriodStart
        long RefPeriodEnd
        any Trigger)

Description:

Returns the equivalent rate for a compounding period between two dates based on the given InterestRate object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::InterestRate object
DayCounter	rate DayCounter ID.
Compounding	interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}).
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
StartDate	compounding period start.
EndDate	compounding period end.
RefPeriodStart	reference period start date needed by some daycounter. Default value = QuantLib::Date().
RefPeriodEnd	reference period end date needed by some daycounter. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlInterestRateFrequency

string returnValue
 
qlInterestRateFrequency(
        string ObjectId
        any Trigger)

Description:

Returns the Frequency in the given InterestRate object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::InterestRate object
Trigger	dependency tracking trigger

qlInterestRateImpliedRate

double returnValue
 
qlInterestRateImpliedRate(
        double Compound
        string DayCounter
        string Compounding
        string Frequency
        long StartDate
        long EndDate
        long RefPeriodStart
        long RefPeriodEnd
        any Trigger)

Description:

Returns the implied rate between two dates based on the given a compound factor.

Supported Platforms:

Excel

Parameters

Compound	compound factor used to calculate the implicit rate.
DayCounter	rate DayCounter ID.
Compounding	interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}).
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
StartDate	compounding period start.
EndDate	compounding period end.
RefPeriodStart	reference period start date needed by some daycounter. Default value = QuantLib::Date().
RefPeriodEnd	reference period end date needed by some daycounter. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlInterestRateRate

double returnValue
 
qlInterestRateRate(
        string ObjectId
        any Trigger)

Description:

Returns the rate in the given InterestRate object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::InterestRate object
Trigger	dependency tracking trigger

qlLeg

string returnValue
 
qlLeg(
        string ObjectId
        vector<double> Amounts
        vector<long> Dates
        bool ToBeSorted
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Leg and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Amounts	list of cash to be received/paid.
Dates	payment dates corresponding to amounts.
ToBeSorted	TRUE if the CashFlows must be sorted by ascending dates. Default value = true.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlLegAccrualDays

long returnValue
 
qlLegAccrualDays(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the total number of accrual days for the current coupon of the given Leg.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegAccrualEndDate

long returnValue
 
qlLegAccrualEndDate(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the accrual end date for the current coupon of the given Leg.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegAccrualPeriod

double returnValue
 
qlLegAccrualPeriod(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the total accrual period for the current coupon of the given Leg.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegAccrualStartDate

long returnValue
 
qlLegAccrualStartDate(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the accrual start date for the current coupon of the given Leg.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegAccruedAmount

double returnValue
 
qlLegAccruedAmount(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the accrued amount for the given Leg.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegAccruedDays

long returnValue
 
qlLegAccruedDays(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the accrued days for the current coupon of the given Leg.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegAccruedPeriod

double returnValue
 
qlLegAccruedPeriod(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the accrued period for the current coupon of the given Leg.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegAtmRate

double returnValue
 
qlLegAtmRate(
        string ObjectId
        string DiscountCurve
        bool IncludeSettlDate
        long SettlementDate
        long NpvDate
        double NPV
        any Trigger)

Description:

Returns the at-the-money rate for the given Leg object, i.e. the fixed rate for which an equivalent vector of fixed-rate cash flows would have the same NPV.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
DiscountCurve	discounting YieldTermStructure object ID.
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
NpvDate	all cashflows are discounted to this date. If missing it is assumed equal to the settlement date Default value = QuantLib::Date().
NPV	target net present value. If missing the NPV is calculated using the provided discount curve Default value = QuantLib::Null<QuantLib::Real>().
Trigger	dependency tracking trigger

qlLegBPS

double returnValue
 
qlLegBPS(
        string ObjectId
        string DiscountCurve
        bool IncludeSettlDate
        long SettlementDate
        long NpvDate
        any Trigger)

Description:

Returns the basis point sensitivity for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
DiscountCurve	discounting YieldTermStructure object ID.
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
NpvDate	all cashflows are discounted to this date. If missing it is assumed equal to the settlement date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegBPSFromYield

double returnValue
 
qlLegBPSFromYield(
        string ObjectId
        double Yield
        string DayCounter
        string Compounding
        string Frequency
        bool IncludeSettlDate
        long SettlementDate
        long NpvDate
        any Trigger)

Description:

Returns the basis point sensitivity for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
Yield	Yield (a.k.a. IRR).
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
NpvDate	all cashflows are discounted to this date. If missing it is assumed equal to the settlement date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegBasisPointValue

double returnValue
 
qlLegBasisPointValue(
        string ObjectId
        double Yield
        string DayCounter
        string Compounding
        string Frequency
        bool IncludeSettlDate
        long SettlementDate
        long NpvDate
        any Trigger)

Description:

Returns the basisPointValue for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
Yield	Yield (a.k.a. IRR).
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
NpvDate	all cashflows are discounted to this date. If missing it is assumed equal to the settlement date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegConvexity

double returnValue
 
qlLegConvexity(
        string ObjectId
        double Yield
        string DayCounter
        string Compounding
        string Frequency
        bool IncludeSettlDate
        long SettlementDate
        long NpvDate
        any Trigger)

Description:

Returns the Cash-flow convexity for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
Yield	Yield (a.k.a. IRR).
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
NpvDate	all cashflows are discounted to this date. If missing it is assumed equal to the settlement date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegDuration

double returnValue
 
qlLegDuration(
        string ObjectId
        double Yield
        string DayCounter
        string Compounding
        string Frequency
        string DurationType
        bool IncludeSettlDate
        long SettlementDate
        long NpvDate
        any Trigger)

Description:

Returns the Cash-flow duration for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
Yield	Yield (a.k.a. IRR).
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
DurationType	Duration type (Simple, Macaulay, or Modified). Default value = Modified.
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
NpvDate	all cashflows are discounted to this date. If missing it is assumed equal to the settlement date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegFlowAnalysis

vector<vector<any> > returnValue
 
qlLegFlowAnalysis(
        string ObjectId
        long AfterDate
        any Trigger)

Description:

Returns the flow analysis for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::Leg object
AfterDate	Shows only cashflows after given date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegFromCapFloor

string returnValue
 
qlLegFromCapFloor(
        string ObjectId
        string CapFloor
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Leg and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
CapFloor	CapFloor object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlLegFromSwap

string returnValue
 
qlLegFromSwap(
        string ObjectId
        string Swap
        long LegNumber
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Leg and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Swap	Swap object ID.
LegNumber	Zero based leg number (e.g. use 0 for the first leg, 1 for the second leg, etc.).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlLegIsExpired

bool returnValue
 
qlLegIsExpired(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns TRUE if the Leg is expired

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegMaturityDate

long returnValue
 
qlLegMaturityDate(
        string ObjectId
        any Trigger)

Description:

Returns the maturity (i.e. last payment) date for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
Trigger	dependency tracking trigger

qlLegNPV

double returnValue
 
qlLegNPV(
        string ObjectId
        string DiscountCurve
        bool IncludeSettlDate
        long SettlementDate
        long NpvDate
        any Trigger)

Description:

Returns the net present value for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
DiscountCurve	discounting YieldTermStructure object ID.
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
NpvDate	all cashflows are discounted to this date. If missing it is assumed equal to the settlement date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegNPVFromYield

double returnValue
 
qlLegNPVFromYield(
        string ObjectId
        double Yield
        string DayCounter
        string Compounding
        string Frequency
        bool IncludeSettlDate
        long SettlementDate
        long NpvDate
        any Trigger)

Description:

Returns the net present value for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
Yield	Yield (a.k.a. IRR).
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
NpvDate	all cashflows are discounted to this date. If missing it is assumed equal to the settlement date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegNPVFromZSpread

double returnValue
 
qlLegNPVFromZSpread(
        string ObjectId
        string DiscountCurve
        double ZSpread
        string DayCounter
        string Compounding
        string Frequency
        bool IncludeSettlDate
        long SettlementDate
        long NpvDate
        any Trigger)

Description:

Returns the net present value for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
DiscountCurve	discounting YieldTermStructure object ID.
ZSpread	Z-spread.
DayCounter	Not Used: DiscountCurve's DayCounter used instead. Default value = Actual/365 (Fixed).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
NpvDate	all cashflows are discounted to this date. If missing it is assumed equal to the settlement date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegNextCashFlowAmount

double returnValue
 
qlLegNextCashFlowAmount(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the next cash flow amount.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegNextCashFlowDate

long returnValue
 
qlLegNextCashFlowDate(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the next cash flow date.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegNextCouponRate

double returnValue
 
qlLegNextCouponRate(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the next coupon rate. Depending on (the Leg and) the given date it can be historic, deterministic or expected in a stochastic sense. When the current date is used the coupon is the already-fixed not-yet-paid one.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegNominal

double returnValue
 
qlLegNominal(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the nominal for the current coupon of the given Leg.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegPreviousCashFlowAmount

double returnValue
 
qlLegPreviousCashFlowAmount(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the previous cash flow amount.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegPreviousCashFlowDate

long returnValue
 
qlLegPreviousCashFlowDate(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the previous cash flow date.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegPreviousCouponRate

double returnValue
 
qlLegPreviousCouponRate(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the previous coupon rate. Depending on (the Leg and) the given date it can be historic, deterministic or expected in a stochastic sense. When the current date is used the coupon is the last paid one.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegReferencePeriodEnd

long returnValue
 
qlLegReferencePeriodEnd(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the reference period end date for the current coupon of the given Leg.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegReferencePeriodStart

long returnValue
 
qlLegReferencePeriodStart(
        string ObjectId
        bool IncludeSettlDate
        long SettlementDate
        any Trigger)

Description:

Returns the reference period start date for the current coupon of the given Leg.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegSetCouponPricers

void returnValue
 
qlLegSetCouponPricers(
        string ObjectId
        vector<string> FloatingRateCouponPricer
        any Trigger)

Description:

Set the coupon pricer at the given Leg object.

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of existing QuantLibAddin::Leg object
FloatingRateCouponPricer	FloatingRate coupon pricer object ID.
Trigger	dependency tracking trigger

qlLegStartDate

long returnValue
 
qlLegStartDate(
        string ObjectId
        any Trigger)

Description:

Returns the start (i.e. first accrual) date for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
Trigger	dependency tracking trigger

qlLegYield

double returnValue
 
qlLegYield(
        string ObjectId
        double NPV
        string DayCounter
        string Compounding
        string Frequency
        bool IncludeSettlDate
        long SettlementDate
        long NpvDate
        double Accuracy
        long MaxIterations
        double Guess
        any Trigger)

Description:

Returns the Internal rate of return for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
NPV	Net present (dirty) value.
DayCounter	Irr DayCounter ID.
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Continuous.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
NpvDate	all cashflows are discounted to this date. If missing it is assumed equal to the settlement date Default value = QuantLib::Date().
Accuracy	tolerance. Default value = 1.0e-10.
MaxIterations	max number of iterations. Default value = 100.
Guess	guess. Default value = 0.05.
Trigger	dependency tracking trigger

qlLegYieldValueBasisPoint

double returnValue
 
qlLegYieldValueBasisPoint(
        string ObjectId
        double Yield
        string DayCounter
        string Compounding
        string Frequency
        bool IncludeSettlDate
        long SettlementDate
        long NpvDate
        any Trigger)

Description:

Returns the yieldValueBasisPoint for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
Yield	Yield (a.k.a. IRR).
DayCounter	Yield DayCounter ID. Default value = Actual/Actual (ISDA).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Compounded.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing the current EvaluationDate is used. Default value = QuantLib::Date().
NpvDate	all cashflows are discounted to this date. If missing it is assumed equal to the settlement date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlLegZSpread

double returnValue
 
qlLegZSpread(
        string ObjectId
        double NPV
        string DiscountCurve
        string DayCounter
        string Compounding
        string Frequency
        bool IncludeSettlDate
        long SettlementDate
        long NpvDate
        double Accuracy
        long MaxIterations
        double Guess
        any Trigger)

Description:

Returns the z-spread for the given Leg object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Leg object
NPV	Net present (dirty) value.
DiscountCurve	discounting YieldTermStructure object ID.
DayCounter	Not Used: DiscountCurve's DayCounter used instead. Default value = Actual/365 (Fixed).
Compounding	Interest rate coumpounding rule (Simple:1+rt, Compounded:(1+r)^t, Continuous:e^{rt}). Default value = Continuous.
Frequency	frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly). Default value = Annual.
IncludeSettlDate	TRUE if cashflows paid at the settlement date must be taken into account. Default value = true.
SettlementDate	cashflows before this date are not taken into account. If missing it defaults to the current evaluation date. Default value = QuantLib::Date().
NpvDate	all cashflows are discounted to this date. If missing it is assumed equal to the settlement date Default value = QuantLib::Date().
Accuracy	tolerance. Default value = 1.0e-10.
MaxIterations	max number of iterations. Default value = 100.
Guess	guess. Default value = 0.0.
Trigger	dependency tracking trigger

qlMultiPhaseLeg

string returnValue
 
qlMultiPhaseLeg(
        string ObjectId
        vector<string> LegIDs
        bool ToBeSorted
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class MultiPhaseLeg and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
LegIDs	leg object IDs, one for each phase.
ToBeSorted	TRUE if the CashFlows must be sorted by ascending dates. Default value = true.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag