BondRepo Class Reference

Bond repo instrument. More...

#include <qle/instruments/bondrepo.hpp>

Inheritance diagram for BondRepo:

Collaboration diagram for BondRepo:

Classes
class	arguments

Public Types
using	results = QuantLib::Instrument::results
using	engine = QuantLib::GenericEngine< arguments, results >

Public Member Functions
	BondRepo (const Leg &cashLeg, const bool cashLegPays, const QuantLib::ext::shared_ptr< Bond > &security, const Real securityMultiplier)
void	deepUpdate () override
bool	isExpired () const override
void	setupArguments (QuantLib::PricingEngine::arguments *) const override
void	fetchResults (const QuantLib::PricingEngine::results *) const override
const Leg &	cashLeg () const
	Inspectors. More...
bool	cashLegPays () const
QuantLib::ext::shared_ptr< Bond >	security () const
Real	securityMultiplier () const

Private Member Functions
void	setupExpired () const override

Private Attributes
const Leg	cashLeg_
const bool	cashLegPays_
const QuantLib::ext::shared_ptr< Bond >	security_
const Real	securityMultiplier_

Detailed Description

Bond repo instrument.

Definition at line 34 of file bondrepo.hpp.

Member Typedef Documentation

results

using results = QuantLib::Instrument::results

Definition at line 44 of file bondrepo.hpp.

engine

using engine = QuantLib::GenericEngine<arguments, results>

Definition at line 45 of file bondrepo.hpp.

Constructor & Destructor Documentation

BondRepo()

BondRepo	(	const Leg &	cashLeg,
		const bool	cashLegPays,
		const QuantLib::ext::shared_ptr< Bond > &	security,
		const Real	securityMultiplier
	)

Definition at line 28 of file bondrepo.cpp.

    : cashLeg_(cashLeg), cashLegPays_(cashLegPays), security_(security), securityMultiplier_(securityMultiplier) {
    for (auto const& c : cashLeg_)
        registerWith(c);
    registerWith(security_);
}

Member Function Documentation

deepUpdate()

void deepUpdate ( )

override

Definition at line 36 of file bondrepo.cpp.

                          {
    security_->deepUpdate();
    update();
}

isExpired()

bool isExpired ( ) const

override

Definition at line 41 of file bondrepo.cpp.

                               {
    for (auto const& c : cashLeg_)
        if (!c->hasOccurred())
            return false;
    return true;
}

setupArguments()

void setupArguments ( QuantLib::PricingEngine::arguments *  args ) const

override

Definition at line 48 of file bondrepo.cpp.

                                                                        {
    BondRepo::arguments* arguments = dynamic_cast<BondRepo::arguments*>(args);
    QL_REQUIRE(arguments != 0, "BondRepo::setupArguments(): wrong argument type");
    arguments->cashLeg = cashLeg_;
    arguments->cashLegPays = cashLegPays_;
    arguments->security = security_;
    arguments->securityMultiplier = securityMultiplier_;
}

fetchResults()

void fetchResults ( const QuantLib::PricingEngine::results *  r ) const

override

Definition at line 57 of file bondrepo.cpp.

{ Instrument::fetchResults(r); }

cashLeg()

const Leg & cashLeg

(

)

const

Inspectors.

Definition at line 58 of file bondrepo.hpp.

{ return cashLeg_; }

cashLegPays()

bool cashLegPays

(

)

const

Definition at line 59 of file bondrepo.hpp.

{ return cashLegPays_; }

security()

QuantLib::ext::shared_ptr< Bond > security

(

)

const

Definition at line 60 of file bondrepo.hpp.

{ return security_; }

securityMultiplier()

Real securityMultiplier

(

)

const

Definition at line 61 of file bondrepo.hpp.

{ return securityMultiplier_; }

setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 58 of file bondrepo.cpp.

{ Instrument::setupExpired(); }

Member Data Documentation

cashLeg_

const Leg cashLeg_

private

Definition at line 64 of file bondrepo.hpp.

cashLegPays_

const bool cashLegPays_

private

Definition at line 65 of file bondrepo.hpp.

security_

const QuantLib::ext::shared_ptr<Bond> security_

private

Definition at line 66 of file bondrepo.hpp.

securityMultiplier_

const Real securityMultiplier_

private

Definition at line 67 of file bondrepo.hpp.