FXLinkedCashFlow Class Reference

FX Linked cash-flow. More...

#include <qle/cashflows/fxlinkedcashflow.hpp>

Inheritance diagram for FXLinkedCashFlow:

Collaboration diagram for FXLinkedCashFlow:

Public Member Functions
	FXLinkedCashFlow (const Date &cashFlowDate, const Date &fixingDate, Real foreignAmount, QuantLib::ext::shared_ptr< FxIndex > fxIndex)
CashFlow interface
Date	date () const override
Real	amount () const override
Visitability
void	accept (AcyclicVisitor &) override
Observer interface
void	update () override
Public Member Functions inherited from FXLinked
	FXLinked (const Date &fixingDate, Real foreignAmount, QuantLib::ext::shared_ptr< FxIndex > fxIndex)
virtual	~FXLinked ()
Date	fxFixingDate () const
Real	foreignAmount () const
const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex () const
Real	fxRate () const
virtual QuantLib::ext::shared_ptr< FXLinked >	clone (QuantLib::ext::shared_ptr< FxIndex > fxIndex)=0

FXLinked interface
Date	cashFlowDate_
QuantLib::ext::shared_ptr< FXLinked >	clone (QuantLib::ext::shared_ptr< FxIndex > fxIndex) override

Additional Inherited Members
Protected Attributes inherited from FXLinked
Date	fxFixingDate_
Real	foreignAmount_
QuantLib::ext::shared_ptr< FxIndex >	fxIndex_

Detailed Description

FX Linked cash-flow.

Cashflow of Domestic currency where the amount is fx linked to some fixed foreign amount.

For example: a JPY flow based off 1M USD, if the USDJPY FX rate is 123.45 then the JPY amount is 123.45 M JPY.

FXLinkedCashFlow checks the FX fixing date against the eval date

For future fixings (date > eval) this class calculates the FX Fwd rate (using the provided FX Spot rate and FOR and DOM yield curves)

For todays fixing (date = eval) this class converts the foreign amount using the provided FX Spot rate.

For previous fixings (date < eval) this class checks the QuantLib IndexManager to get the FX fixing at which the foreign rate should be converted at. The name of the index is a parameter to the constructor.

This is not a lazy object.

Definition at line 101 of file fxlinkedcashflow.hpp.

Constructor & Destructor Documentation

FXLinkedCashFlow()

FXLinkedCashFlow	(	const Date &	cashFlowDate,
		const Date &	fixingDate,
		Real	foreignAmount,
		QuantLib::ext::shared_ptr< FxIndex >	fxIndex
	)

Definition at line 43 of file fxlinkedcashflow.cpp.

    : FXLinked(fxFixingDate, foreignAmount, fxIndex), cashFlowDate_(cashFlowDate) {
    registerWith(FXLinked::fxIndex());
}

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Member Function Documentation

date()

Date date ( ) const

override

Definition at line 108 of file fxlinkedcashflow.hpp.

{ return cashFlowDate_; }

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amount()

Real amount ( ) const

override

Definition at line 109 of file fxlinkedcashflow.hpp.

{ return foreignAmount() * fxRate(); }

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accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 133 of file fxlinkedcashflow.hpp.

                                                      {
    Visitor<FXLinkedCashFlow>* v1 = dynamic_cast<Visitor<FXLinkedCashFlow>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        CashFlow::accept(v);
}

update()

void update ( )

override

Definition at line 119 of file fxlinkedcashflow.hpp.

{ notifyObservers(); }

clone()

QuantLib::ext::shared_ptr< FXLinked > clone ( QuantLib::ext::shared_ptr< FxIndex >  fxIndex )

overridevirtual

Implements FXLinked.

Definition at line 56 of file fxlinkedcashflow.cpp.

                                                                                              {
    return QuantLib::ext::make_shared<FXLinkedCashFlow>(date(), fxFixingDate(), foreignAmount(), fxIndex);
}

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Member Data Documentation

cashFlowDate_

Date cashFlowDate_

private

Definition at line 128 of file fxlinkedcashflow.hpp.