Deposit Class Reference

Deposit Instrument. More...

#include <qle/instruments/deposit.hpp>

Inheritance diagram for Deposit:

Collaboration diagram for Deposit:

Classes
class	arguments
class	engine
class	results

Public Member Functions
	Deposit (const Real nominal, const Rate rate, const Period &tenor, const Natural fixingDays, const Calendar &calendar, const BusinessDayConvention convention, const bool endOfMonth, const DayCounter &dayCounter, const Date &tradeDate, const bool isLong=true, const Period forwardStart=0 *Days)
Additional interface
Date	fixingDate () const
Date	startDate () const
Date	maturityDate () const
Real	fairRate () const
const Leg &	leg () const

Instrument interface
Date	fixingDate_
Date	startDate_
Date	maturityDate_
QuantLib::ext::shared_ptr< IborIndex >	index_
Leg	leg_
Real	fairRate_
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override
void	setupExpired () const override

Detailed Description

Deposit Instrument.

This class holds the term sheet data for a Deposit Instrument.

\ingroup instruments

Definition at line 43 of file deposit.hpp.

Constructor & Destructor Documentation

Deposit()

Deposit	(	const Real	nominal,
		const Rate	rate,
		const Period &	tenor,
		const Natural	fixingDays,
		const Calendar &	calendar,
		const BusinessDayConvention	convention,
		const bool	endOfMonth,
		const DayCounter &	dayCounter,
		const Date &	tradeDate,
		const bool	isLong = true,
		const Period	forwardStart = 0 * Days
	)

Definition at line 30 of file deposit.cpp.

                                                                                                                    {
 
    leg_.resize(3);
    index_ = QuantLib::ext::make_shared<IborIndex>("deposit-helper-index", tenor, fixingDays, Currency(), calendar, convention,
                                           endOfMonth, dayCounter);
    // move to next good day
    Date referenceDate = calendar.adjust(tradeDate);
    startDate_ = index_->valueDate(referenceDate);
    fixingDate_ = index_->fixingDate(startDate_);
    maturityDate_ = index_->maturityDate(startDate_);
    Real w = isLong ? 1.0 : -1.0;
    leg_[0] = QuantLib::ext::make_shared<Redemption>(-w * nominal, startDate_);
    leg_[1] =
        QuantLib::ext::make_shared<FixedRateCoupon>(maturityDate_, w * nominal, rate, dayCounter, startDate_, maturityDate_);
    leg_[2] = QuantLib::ext::make_shared<Redemption>(w * nominal, maturityDate_);
}

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 49 of file deposit.cpp.

{ return detail::simple_event(maturityDate_).hasOccurred(); }

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 56 of file deposit.cpp.

                                                               {
 
    Deposit::arguments* arguments = dynamic_cast<Deposit::arguments*>(args);
    QL_REQUIRE(arguments, "wrong argument type in deposit");
    arguments->leg = leg_;
    arguments->index = index_;
    arguments->maturityDate = maturityDate_;
}

fetchResults()

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

override

Definition at line 65 of file deposit.cpp.

                                                              {
 
    Instrument::fetchResults(r);
    const Deposit::results* results = dynamic_cast<const Deposit::results*>(r);
    QL_REQUIRE(results, "wrong result type");
    fairRate_ = results->fairRate;
}

fixingDate()

Date fixingDate

(

)

const

Definition at line 62 of file deposit.hpp.

{ return fixingDate_; }

startDate()

Date startDate

(

)

const

Definition at line 63 of file deposit.hpp.

{ return startDate_; }

maturityDate()

Date maturityDate

(

)

const

Definition at line 64 of file deposit.hpp.

{ return maturityDate_; }

fairRate()

Real fairRate

(

)

const

Definition at line 65 of file deposit.hpp.

                          {
        calculate();
        QL_REQUIRE(fairRate_ != Null<Real>(), "Deposit::fairRate(): not provided");
        return fairRate_;
    }

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leg()

const Leg & leg

(

)

const

Definition at line 70 of file deposit.hpp.

{ return leg_; }

setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 51 of file deposit.cpp.

                                 {
    Instrument::setupExpired();
    fairRate_ = Null<Real>();
}

Member Data Documentation

fixingDate_

Date fixingDate_

private

Definition at line 78 of file deposit.hpp.

startDate_

Date startDate_

private

Definition at line 78 of file deposit.hpp.

maturityDate_

Date maturityDate_

private

Definition at line 78 of file deposit.hpp.

index_

QuantLib::ext::shared_ptr<IborIndex> index_

private

Definition at line 79 of file deposit.hpp.

leg_

Leg leg_

private

Definition at line 80 of file deposit.hpp.

fairRate_

Real fairRate_

mutableprivate

Definition at line 82 of file deposit.hpp.