Sorting QuantLib Cash Flows by Date

Article Quant Q&A · Author: mele

Summary

The document shows how to order a QuantLib leg of cash flows by their dates in C++. A default call to the standard sorting algorithm cannot infer the desired ordering from cash-flow pointers, so the comparison must explicitly use each object’s date.

The suggested approach supplies a comparator lambda to the sorting function and compares the dates of two cash flows. With C++14, generic lambda parameters can make the comparator shorter. The method applies to cash-flow types generally, rather than only simple cash flows. The example explains date ordering in a software library, but offers no discussion of valuation, trading strategy, or market evidence.

Key ideas

Sort cash flows by providing a comparator that compares their dates.
A lambda can access the date through each cash-flow pointer.
C++14 generic lambda parameters can simplify the comparator.
The same date-based approach applies to different cash-flow types.

Tags

Fixed income Execution

Full text

# Sorting SimpleCashFlows in QuantLib


# Sorting SimpleCashFlows in QuantLib












I would like to sort SimpleCashFlow(s) according to date. I am having trouble incorporing the the less than function < in std::sort

```
#include <iostream>
#include <algorithm> 
#include <ql/time/date.hpp>
#include <ql/time/period.hpp>
#include <ql/cashflows/simplecashflow.hpp>

using namespace QuantLib;
int main()
{
  Date date(1, January, 2021);
  Date date2(1, January, 2020);
  Real amount = 100.0;

 
  ext::shared_ptr<SimpleCashFlow> cf1(new SimpleCashFlow(amount,date));
  ext::shared_ptr<SimpleCashFlow> cf2(new SimpleCashFlow(amount,date2));
  Leg leg;
  leg.push_back(cf1);
  leg.push_back(cf2);

  std::sort(leg.begin(),leg.end());
 
  for (auto& c : leg){ 
    std::cout << c->date() << " , " << c->amount()  << std::endl;
  }
  
  return 0;
}
```

## Answer by Luigi Ballabio (score 4)

https://quant.stackexchange.com/a/63447

Using a lambda, you can write something like

```
std::sort(leg.begin(), leg.end(),
          [](const ext::shared_ptr<CashFlow>& c1,
             const ext::shared_ptr<CashFlow>& c2){ return c1->date() < c2->date() });
```

If you can use C++14, the above can be simplified to

```
std::sort(leg.begin(), leg.end(),
          [](auto c1, auto c2){ return c1->date() < c2->date() });
```

This works for all cashflow types, not just `SimpleCashFlow`.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.

Sorting QuantLib Cash Flows by Payment Date

Summary

Key ideas

Tags