AverageFXLinkedCashFlow Class Reference

Average FX Linked cash-flow. More...

#include <qle/cashflows/fxlinkedcashflow.hpp>

Inheritance diagram for AverageFXLinkedCashFlow:

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Public Member Functions
	AverageFXLinkedCashFlow (const Date &cashFlowDate, const std::vector< Date > &fixingDates, Real foreignAmount, QuantLib::ext::shared_ptr< FxIndex > fxIndex, const bool inverted=false)
CashFlow interface
Date	date () const override
Real	amount () const override
Visitability
void	accept (AcyclicVisitor &) override
Observer interface
void	update () override
Public Member Functions inherited from AverageFXLinked
	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

FXLinked interface
Date	cashFlowDate_
QuantLib::ext::shared_ptr< AverageFXLinked >	clone (QuantLib::ext::shared_ptr< FxIndex > fxIndex) override
std::map< Date, Real >	fixings () const

Additional Inherited Members
Protected Attributes inherited from AverageFXLinked
std::vector< Date >	fxFixingDates_
Real	foreignAmount_
QuantLib::ext::shared_ptr< FxIndex >	fxIndex_
bool	inverted_ = false

Detailed Description

Average FX Linked cash-flow.

Cashflow of Domestic currency where the amount is fx linked to some fixed foreign amount.

Difference to the FX Linked cash-flow: The FX rate is an arithmetic average across observation dates.

This is not a lazy object.

Definition at line 153 of file fxlinkedcashflow.hpp.

Constructor & Destructor Documentation

AverageFXLinkedCashFlow()

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

Definition at line 49 of file fxlinkedcashflow.cpp.

    : AverageFXLinked(fxFixingDates, foreignAmount, fxIndex, inverted), cashFlowDate_(cashFlowDate) {
    registerWith(AverageFXLinked::fxIndex());
}

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Member Function Documentation

date()

Date date ( ) const

override

Definition at line 160 of file fxlinkedcashflow.hpp.

{ return cashFlowDate_; }

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amount()

Real amount ( ) const

override

Definition at line 161 of file fxlinkedcashflow.hpp.

{ return foreignAmount() * fxRate(); }

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accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 186 of file fxlinkedcashflow.hpp.

                                                             {
    Visitor<AverageFXLinkedCashFlow>* v1 = dynamic_cast<Visitor<AverageFXLinkedCashFlow>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        CashFlow::accept(v);
}

update()

void update ( )

override

Definition at line 171 of file fxlinkedcashflow.hpp.

{ notifyObservers(); }

clone()

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

overridevirtual

Implements AverageFXLinked.

Definition at line 60 of file fxlinkedcashflow.cpp.

                                                                                                            {
    return QuantLib::ext::make_shared<AverageFXLinkedCashFlow>(date(), fxFixingDates(), foreignAmount(), fxIndex);
}

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fixings()

std::map< Date, Real > fixings

(

)

const

Definition at line 64 of file fxlinkedcashflow.cpp.

                                                          {
    std::map<Date, Real> result;
    for (auto const& d : fxFixingDates_)
        result[d] = inverted_ ? 1.0 / fxIndex_->fixing(d) : fxIndex_->fixing(d);
    return result;
}

Member Data Documentation

cashFlowDate_

Date cashFlowDate_

private

Definition at line 183 of file fxlinkedcashflow.hpp.