The Cash Flow module consists of a library of financial functions/components related to cash flow analysis and simulation. See the Context below.

The module includes a number of utility functions that are often needed for cash flow generation and pricing. These functions include AccruedInterest, UnionCashFlow, AddCashFlows, SubtractCashFlows, MultiplyCashFlow and MakeCashFlowMatrix. A large collection of calendar functions can be utilized in this context, for example to restrict cash flow dates to business days. Many functions can be generated in non-calendar time as well as in calendar time.

Context

 In the Bonds module there are functions that can generate a variety of different cash flows for the bond types: Annuity, Bullet, Consol, Serial and Zero. These functions include CashFlow, Repayment, OutstandingPrincipal and Coupon.

The Floaters module contains functions for calculating the coupons and the cash flows of generalized floating rate securities/instruments (Float). With these functions, a long list of factors can be included in the calculations, namely reset lag, reference interest index duration, cap, floor, the underlying interest index multiplied by a constant and a fixed interest rate part (a spread). Furthermore, it is possible to have different amortization schedules for the coupon and cash flow calculations.

Functions for calculating the cash flows of generalized forward rate agreements (ForwardRateAgreement), generalized money market forwards (MoneyMarketForward) and foreign exchange forwards (ForeignExchangeForward) are included in the Forwards mobule.

Functions that can generate a variety of different cash flows for mortgage backed obligations (MBO's) of the type PassThrough are also covered. Pass throughs are the basis of many different kinds of mortgage backed instruments (collateral mortgage backed obligations, principal only's, interest only's etc.). Prepayment schedules and survival rates can also be calculated. These functions include: PeriodicPrepaymentRate, SurvivalRate, OutstandingPrincipal, ScheduledRepayment, ScheduledCoupon, ScheduledCashFlow, Prepayment and CashFlow.

Cash flows of interest rate swaps (InterestRateSwap) and currency swaps that include plain currency swaps (PlainCurrencySwap), basis swaps (BasisSwap) and fixed swaps (FixedSwap) and their legs are encompassed in the Swaps module. It is easy to construct the cash flows of much more complicated swaps by first constructing the cash flows for each leg separately, and then using e.g. the function SubtractCashFlows to get the total net cash flow. Basis swaps and fixed swaps can also be constructed in this way.

The intrinsic value (the payoff at maturity) can be generated for general options of the types CallOption, PutOption, EuropeanCallOption, EuropeanPutOption, AmericanCallOption and AmericanPutOption. Refer to the Options module.

Contents

5.1 Introduction

Summary -- Context -- This Opens the Package

5.2 Utility Functions/Components

AccruedInterest -- UnionCashFlow
AddCashFlows -- SubtractCashFlows
MultiplyCashFlow -- MakeCashFlowMatrix

5.3 General Functions/Components

CashFlow -- Repayment -- Coupon -- OutstandingPrincipal