DepositEngine Class Reference

#include <qle/pricingengines/depositengine.hpp>

Inheritance diagram for DepositEngine:

Collaboration diagram for DepositEngine:

Public Member Functions
	DepositEngine (const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), boost::optional< bool > includeSettlementDateFlows=boost::none, Date settlementDate=Date(), Date npvDate=Date())
void	calculate () const override
Handle< YieldTermStructure >	discountCurve () const

Private Attributes
Handle< YieldTermStructure >	discountCurve_
boost::optional< bool >	includeSettlementDateFlows_
Date	settlementDate_
Date	npvDate_

Detailed Description

Deposit engine

Definition at line 34 of file depositengine.hpp.

Constructor & Destructor Documentation

DepositEngine()

DepositEngine	(	const Handle< YieldTermStructure > &	discountCurve = Handle<YieldTermStructure>(),
		boost::optional< bool >	includeSettlementDateFlows = boost::none,
		Date	settlementDate = Date(),
		Date	npvDate = Date()
	)

Definition at line 24 of file depositengine.cpp.

    : discountCurve_(discountCurve), includeSettlementDateFlows_(includeSettlementDateFlows),
      settlementDate_(settlementDate), npvDate_(npvDate) {
    registerWith(discountCurve_);
}

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 31 of file depositengine.cpp.

                                    {
    QL_REQUIRE(!discountCurve_.empty(), "discounting term structure handle is empty");
 
    results_.value = 0.0;
    results_.errorEstimate = Null<Real>();
 
    Date refDate = discountCurve_->referenceDate();
 
    Date settlementDate = settlementDate_;
    if (settlementDate_ == Date()) {
        settlementDate = refDate;
    } else {
        QL_REQUIRE(settlementDate >= refDate, "settlement date (" << settlementDate
                                                                  << ") before "
                                                                     "discount curve reference date ("
                                                                  << refDate << ")");
    }
 
    Date valuationDate = npvDate_;
    if (npvDate_ == Date()) {
        valuationDate = refDate;
    } else {
        QL_REQUIRE(npvDate_ >= refDate, "npv date (" << npvDate_
                                                     << ") before "
                                                        "discount curve reference date ("
                                                     << refDate << ")");
    }
 
    bool includeRefDateFlows =
        includeSettlementDateFlows_ ? *includeSettlementDateFlows_ : Settings::instance().includeReferenceDateEvents();
 
    results_.value =
        CashFlows::npv(arguments_.leg, **discountCurve_, includeRefDateFlows, settlementDate, valuationDate);
 
    // calculate the fair rate of a hypothetical deposit instrument traded on the refDate with maturity as the original
    // instrument; this is only possible if the maturity date is later than the start date of that new deposit
    Date startDate = arguments_.index->valueDate(arguments_.index->fixingCalendar().adjust(refDate));
    if (arguments_.maturityDate > startDate)
        results_.fairRate =
            (discountCurve_->discount(startDate) / discountCurve_->discount(arguments_.maturityDate) - 1.0) /
            arguments_.index->dayCounter().yearFraction(startDate, arguments_.maturityDate);
 
} // calculate

discountCurve()

Handle< YieldTermStructure > discountCurve

(

)

const

Definition at line 40 of file depositengine.hpp.

{ return discountCurve_; }

Member Data Documentation

discountCurve_

Handle<YieldTermStructure> discountCurve_

private

Definition at line 43 of file depositengine.hpp.

includeSettlementDateFlows_

boost::optional<bool> includeSettlementDateFlows_

private

Definition at line 44 of file depositengine.hpp.

settlementDate_

Date settlementDate_

private

Definition at line 45 of file depositengine.hpp.

npvDate_

Date npvDate_

private

Definition at line 45 of file depositengine.hpp.