AccrualBondRepoEngine Class Reference

Accrual Bond Repo Engine. More...

#include <qle/pricingengines/accrualbondrepoengine.hpp>

Inheritance diagram for AccrualBondRepoEngine:

Collaboration diagram for AccrualBondRepoEngine:

Public Member Functions
	AccrualBondRepoEngine (const bool includeSecurityLeg=true)
void	calculate () const override

Private Attributes
const bool	includeSecurityLeg_

Detailed Description

Accrual Bond Repo Engine.

Definition at line 26 of file accrualbondrepoengine.hpp.

Constructor & Destructor Documentation

AccrualBondRepoEngine()

AccrualBondRepoEngine ( const bool  includeSecurityLeg = true )

explicit

Definition at line 27 of file accrualbondrepoengine.cpp.

: includeSecurityLeg_(includeSecurityLeg) {}

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 29 of file accrualbondrepoengine.cpp.

                                            {
    Date today = Settings::instance().evaluationDate();
    Real multiplier = arguments_.cashLegPays ? -1.0 : 1.0;
    Real cashLegAccrual = 0.0, cashLegNominal = 0.0, cashLegNpv = 0.0;
    auto cf = CashFlows::nextCashFlow(arguments_.cashLeg, false);
    if (cf != arguments_.cashLeg.end()) {
        auto cpn = QuantLib::ext::dynamic_pointer_cast<Coupon>(*cf);
        cashLegNominal = multiplier * cpn->nominal();
        cashLegAccrual = multiplier * CashFlows::accruedAmount(arguments_.cashLeg, false);
        cashLegNpv = cashLegNominal + cashLegAccrual;
    }
    Real securityLegNpv = -multiplier * arguments_.security->NPV() * arguments_.securityMultiplier;
    Real securityLegAccrual = -multiplier * arguments_.security->accruedAmount(today) / 100.0 *
                              arguments_.security->notional(today) * arguments_.securityMultiplier;
    results_.additionalResults["CashLegNominal"] = cashLegNominal;
    results_.additionalResults["CashLegAccrual"] = cashLegAccrual;
    results_.additionalResults["CashLegNPV"] = cashLegNpv;
    results_.additionalResults["SecurityQuantity"] = arguments_.securityMultiplier;
    results_.additionalResults["SecurityLegCleanNPV"] = securityLegNpv - securityLegAccrual;
    results_.additionalResults["SecurityLegAccrual"] = securityLegAccrual;
    results_.additionalResults["SecurityLegNPV"] = securityLegNpv;
    results_.value = cashLegNpv + (includeSecurityLeg_ ? securityLegNpv : 0.0);
}

Member Data Documentation

includeSecurityLeg_

const bool includeSecurityLeg_

private

Definition at line 33 of file accrualbondrepoengine.hpp.