AverageFXLinked Class Reference

#include <qle/cashflows/fxlinkedcashflow.hpp>

Inheritance diagram for AverageFXLinked:

Collaboration diagram for AverageFXLinked:

Public Member Functions
	AverageFXLinked (const std::vector< Date > &fixingDates, Real foreignAmount, QuantLib::ext::shared_ptr< FxIndex > fxIndex, const bool inverted=false)
virtual	~AverageFXLinked ()
const std::vector< Date > &	fxFixingDates () const
Real	foreignAmount () const
const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex () const
Real	fxRate () const
virtual QuantLib::ext::shared_ptr< AverageFXLinked >	clone (QuantLib::ext::shared_ptr< FxIndex > fxIndex)=0

Protected Attributes
std::vector< Date >	fxFixingDates_
Real	foreignAmount_
QuantLib::ext::shared_ptr< FxIndex >	fxIndex_
bool	inverted_ = false

Detailed Description

Definition at line 56 of file fxlinkedcashflow.hpp.

Constructor & Destructor Documentation

AverageFXLinked()

AverageFXLinked	(	const std::vector< Date > &	fixingDates,
		Real	foreignAmount,
		QuantLib::ext::shared_ptr< FxIndex >	fxIndex,
		const bool	inverted = false
	)

Definition at line 27 of file fxlinkedcashflow.cpp.

    : fxFixingDates_(fxFixingDates), foreignAmount_(foreignAmount), fxIndex_(fxIndex), inverted_(inverted) {}

~AverageFXLinked()

virtual ~AverageFXLinked ( )

virtual

Definition at line 62 of file fxlinkedcashflow.hpp.

{}

Member Function Documentation

fxFixingDates()

const std::vector< Date > & fxFixingDates

(

)

const

Definition at line 63 of file fxlinkedcashflow.hpp.

{ return fxFixingDates_; }

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foreignAmount()

Real foreignAmount

(

)

const

Definition at line 64 of file fxlinkedcashflow.hpp.

{ return foreignAmount_; }

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fxIndex()

const QuantLib::ext::shared_ptr< FxIndex > & fxIndex

(

)

const

Definition at line 65 of file fxlinkedcashflow.hpp.

{ return fxIndex_; }

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fxRate()

Real fxRate

(

)

const

Definition at line 35 of file fxlinkedcashflow.cpp.

                                   {
    Real fx = 0;
    for (auto const& d: fxFixingDates_)
        fx += inverted_ ? 1.0 / fxIndex_->fixing(d) : fxIndex_->fixing(d);
    fx /= fxFixingDates_.size();
    return inverted_ ? 1.0 / fx : fx;
}

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clone()

virtual QuantLib::ext::shared_ptr< AverageFXLinked > clone ( QuantLib::ext::shared_ptr< FxIndex >  fxIndex )

pure virtual

Implemented in AverageFXLinkedCashFlow.

Member Data Documentation

fxFixingDates_

std::vector<Date> fxFixingDates_

protected

Definition at line 71 of file fxlinkedcashflow.hpp.

foreignAmount_

Real foreignAmount_

protected

Definition at line 72 of file fxlinkedcashflow.hpp.

fxIndex_

QuantLib::ext::shared_ptr<FxIndex> fxIndex_

protected

Definition at line 73 of file fxlinkedcashflow.hpp.

inverted_

bool inverted_ = false

protected

Definition at line 74 of file fxlinkedcashflow.hpp.