BondTRSLeg Class Reference

helper class building a sequence of bond trs cashflows More...

#include <qle/cashflows/bondtrscashflow.hpp>

Collaboration diagram for BondTRSLeg:

Public Member Functions
	BondTRSLeg (const std::vector< Date > &valuationDates, const std::vector< Date > &paymentDates, const Real bondNotional, const QuantLib::ext::shared_ptr< BondIndex > &bondIndex, const QuantLib::ext::shared_ptr< FxIndex > &fxIndex=nullptr)
BondTRSLeg &	withInitialPrice (Real)
	operator Leg () const

Private Attributes
std::vector< Date >	valuationDates_
std::vector< Date >	paymentDates_
Real	bondNotional_
QuantLib::ext::shared_ptr< BondIndex >	bondIndex_
QuantLib::ext::shared_ptr< FxIndex >	fxIndex_
Real	initialPrice_ = QuantLib::Null<QuantLib::Real>()

Detailed Description

helper class building a sequence of bond trs cashflows

Definition at line 54 of file bondtrscashflow.hpp.

Constructor & Destructor Documentation

BondTRSLeg()

BondTRSLeg	(	const std::vector< Date > &	valuationDates,
		const std::vector< Date > &	paymentDates,
		const Real	bondNotional,
		const QuantLib::ext::shared_ptr< BondIndex > &	bondIndex,
		const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex = nullptr
	)

Definition at line 39 of file bondtrscashflow.cpp.

    : valuationDates_(valuationDates), paymentDates_(paymentDates), bondNotional_(bondNotional), bondIndex_(bondIndex),
      fxIndex_(fxIndex) {}

Member Function Documentation

withInitialPrice()

BondTRSLeg & withInitialPrice

(

Real

initialPrice

)

Definition at line 45 of file bondtrscashflow.cpp.

                                                          {
    initialPrice_ = initialPrice;
    return *this;
}

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operator Leg()

operator Leg

(

)

const

Definition at line 50 of file bondtrscashflow.cpp.

                               {
    Leg leg;
    Real initialPrice;
 
    for (Size i = 0; i < valuationDates_.size() - 1; ++i) {
        initialPrice = i == 0 ? initialPrice_ : Null<Real>();
        leg.push_back(QuantLib::ext::make_shared<BondTRSCashFlow>(paymentDates_[i], valuationDates_[i], valuationDates_[i + 1],
                                                          bondNotional_, bondIndex_, initialPrice, fxIndex_));
    }
    return leg;
}

Member Data Documentation

valuationDates_

std::vector<Date> valuationDates_

private

Definition at line 62 of file bondtrscashflow.hpp.

paymentDates_

std::vector<Date> paymentDates_

private

Definition at line 63 of file bondtrscashflow.hpp.

bondNotional_

Real bondNotional_

private

Definition at line 64 of file bondtrscashflow.hpp.

bondIndex_

QuantLib::ext::shared_ptr<BondIndex> bondIndex_

private

Definition at line 65 of file bondtrscashflow.hpp.

fxIndex_

QuantLib::ext::shared_ptr<FxIndex> fxIndex_

private

Definition at line 66 of file bondtrscashflow.hpp.

initialPrice_

Real initialPrice_ = QuantLib::Null<QuantLib::Real>()

private

Definition at line 67 of file bondtrscashflow.hpp.