FloatingRateFXLinkedNotionalCoupon Class Reference

#include <qle/cashflows/floatingratefxlinkednotionalcoupon.hpp>

Inheritance diagram for FloatingRateFXLinkedNotionalCoupon:

Collaboration diagram for FloatingRateFXLinkedNotionalCoupon:

Public Member Functions
	FloatingRateFXLinkedNotionalCoupon (const Date &fxFixingDate, Real foreignAmount, QuantLib::ext::shared_ptr< FxIndex > fxIndex, const QuantLib::ext::shared_ptr< FloatingRateCoupon > &underlying)
	FloatingRateFXLinkedNotionalCoupon. More...
FXLinked interface
QuantLib::ext::shared_ptr< FXLinked >	clone (QuantLib::ext::shared_ptr< FxIndex > fxIndex) override
Obverver interface
void	deepUpdate () override
LazyObject interface
void	performCalculations () const override
void	alwaysForwardNotifications () override
Coupon interface
Rate	nominal () const override
FloatingRateCoupon interface
Rate	indexFixing () const override
void	setPricer (const ext::shared_ptr< FloatingRateCouponPricer > &p) 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

Visitability
const QuantLib::ext::shared_ptr< FloatingRateCoupon >	underlying_
void	accept (AcyclicVisitor &) override
QuantLib::ext::shared_ptr< FloatingRateCoupon >	underlying () const
	more inspectors More...

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

Detailed Description

Coupon paying a Libor-type index on an fx-linked nominal

Definition at line 36 of file floatingratefxlinkednotionalcoupon.hpp.

Constructor & Destructor Documentation

FloatingRateFXLinkedNotionalCoupon()

FloatingRateFXLinkedNotionalCoupon	(	const Date &	fxFixingDate,
		Real	foreignAmount,
		QuantLib::ext::shared_ptr< FxIndex >	fxIndex,
		const QuantLib::ext::shared_ptr< FloatingRateCoupon > &	underlying
	)

FloatingRateFXLinkedNotionalCoupon.

Definition at line 39 of file floatingratefxlinkednotionalcoupon.hpp.

        : FloatingRateCoupon(underlying->date(), Null<Real>(), underlying->accrualStartDate(),
                             underlying->accrualEndDate(), underlying->fixingDate(), underlying->index(),
                             underlying->gearing(), underlying->spread(), underlying->referencePeriodStart(),
                             underlying->referencePeriodEnd(), underlying->dayCounter(), underlying->isInArrears()),
          FXLinked(fxFixingDate, foreignAmount, fxIndex), underlying_(underlying) {
        fixingDays_ = underlying->fixingDays() == Null<Natural>()
                          ? (underlying->index() ? underlying->index()->fixingDays() : 0)
                                                                  : underlying->fixingDays();
        registerWith(FXLinked::fxIndex());
        registerWith(underlying_);
    }

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Member Function Documentation

clone()

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

overridevirtual

Implements FXLinked.

Definition at line 106 of file floatingratefxlinkednotionalcoupon.hpp.

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

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deepUpdate()

void deepUpdate ( )

override

Definition at line 60 of file floatingratefxlinkednotionalcoupon.hpp.

                               {
        update();
        underlying_->deepUpdate();
    }

performCalculations()

void performCalculations ( ) const

override

Definition at line 68 of file floatingratefxlinkednotionalcoupon.hpp.

{ rate_ = underlying_->rate(); }

alwaysForwardNotifications()

void alwaysForwardNotifications ( )

override

Definition at line 69 of file floatingratefxlinkednotionalcoupon.hpp.

                                               {
    LazyObject::alwaysForwardNotifications();
        underlying_->alwaysForwardNotifications();
    }

nominal()

Rate nominal ( ) const

override

Definition at line 76 of file floatingratefxlinkednotionalcoupon.hpp.

{ return foreignAmount() * fxRate(); }

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indexFixing()

Rate indexFixing ( ) const

override

Definition at line 81 of file floatingratefxlinkednotionalcoupon.hpp.

{ return underlying_->indexFixing(); } // might be overwritten in underlying

setPricer()

void setPricer ( const ext::shared_ptr< FloatingRateCouponPricer > &  p )

override

Definition at line 82 of file floatingratefxlinkednotionalcoupon.hpp.

{ underlying_->setPricer(p); }

accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 98 of file floatingratefxlinkednotionalcoupon.hpp.

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

underlying()

QuantLib::ext::shared_ptr< FloatingRateCoupon > underlying

(

)

const

more inspectors

Definition at line 91 of file floatingratefxlinkednotionalcoupon.hpp.

{ return underlying_; }

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Member Data Documentation

underlying_

const QuantLib::ext::shared_ptr<FloatingRateCoupon> underlying_

private

Definition at line 94 of file floatingratefxlinkednotionalcoupon.hpp.