Discounting Bond Repo Engine. More...

#include <qle/pricingengines/discountingbondrepoengine.hpp>

Inheritance diagram for DiscountingBondRepoEngine:

Collaboration diagram for DiscountingBondRepoEngine:

Public Member Functions
	DiscountingBondRepoEngine (const Handle< YieldTermStructure > &repoCurve, const bool includeSecurityLeg=true)

void	calculate () const override

const Handle< YieldTermStructure > &	repoCurve () const

Private Attributes
const Handle< YieldTermStructure >	repoCurve_

const bool	includeSecurityLeg_

Detailed Description

Discounting Bond Repo Engine.

Definition at line 30 of file discountingbondrepoengine.hpp.

Constructor & Destructor Documentation

◆ DiscountingBondRepoEngine()

DiscountingBondRepoEngine	(	const Handle< YieldTermStructure > &	repoCurve,
		const bool	includeSecurityLeg = `true`
	)

Definition at line 25 of file discountingbondrepoengine.cpp.

27 : repoCurve_(repoCurve), includeSecurityLeg_(includeSecurityLeg) {}

QuantExt::DiscountingBondRepoEngine::repoCurve

const Handle< YieldTermStructure > & repoCurve() const

Definition: discountingbondrepoengine.hpp:36

QuantExt::DiscountingBondRepoEngine::includeSecurityLeg_

const bool includeSecurityLeg_

Definition: discountingbondrepoengine.hpp:40

QuantExt::DiscountingBondRepoEngine::repoCurve_

const Handle< YieldTermStructure > repoCurve_

Definition: discountingbondrepoengine.hpp:39

Member Function Documentation

◆ calculate()

void calculate ( ) const

override

Definition at line 29 of file discountingbondrepoengine.cpp.

                                                {
    QL_REQUIRE(!repoCurve_.empty(), "DiscountingBondRepoEngine::calculate(): repoCurve_ is empty()");
    Real multiplier = arguments_.cashLegPays ? -1.0 : 1.0;
    Real cashLegNpv = multiplier * CashFlows::npv(arguments_.cashLeg, **repoCurve_, false);
    Real securityLegNpv = -multiplier * arguments_.security->NPV() * arguments_.securityMultiplier;
    results_.additionalResults["CashLegNPV"] = cashLegNpv;
    results_.additionalResults["SecurityLegNPV"] = securityLegNpv;
    results_.value = cashLegNpv + (includeSecurityLeg_ ? securityLegNpv : 0.0);
}

◆ repoCurve()

const Handle< YieldTermStructure > & repoCurve ( ) const

Definition at line 36 of file discountingbondrepoengine.hpp.

36{ return repoCurve_; }

Member Data Documentation

◆ repoCurve_

const Handle<YieldTermStructure> repoCurve_

private

Definition at line 39 of file discountingbondrepoengine.hpp.

◆ includeSecurityLeg_