#include <qle/instruments/forwardbond.hpp>

Inheritance diagram for ForwardBond::arguments:

Collaboration diagram for ForwardBond::arguments:

Public Member Functions
void	validate () const override

Public Attributes
QuantLib::ext::shared_ptr< QuantLib::Bond >	underlying

QuantLib::ext::shared_ptr< Payoff >	payoff

Real	lockRate

boost::optional< bool >	longInForward

DayCounter	lockRateDayCounter

Date	fwdMaturityDate

Date	fwdSettlementDate

bool	isPhysicallySettled

bool	settlementDirty

Real	compensationPayment

Date	compensationPaymentDate

Real	bondNotional

Real	dv01

Detailed Description

Definition at line 90 of file forwardbond.hpp.

Member Function Documentation

◆ validate()

void validate ( ) const

override

Definition at line 82 of file forwardbond.cpp.

                                          {
    QL_REQUIRE(underlying, "bond pointer is null");
    QL_REQUIRE((payoff != nullptr && lockRate == Null<Real>()) || (payoff == nullptr && lockRate != Null<Real>()),
               "exactly one of payoff or lockRate must be filled");
    QL_REQUIRE(lockRate == Null<Real>() || longInForward, "if lockRate is given, longInForward must be given as well");
}

Member Data Documentation

◆ underlying

QuantLib::ext::shared_ptr<QuantLib::Bond> underlying

Definition at line 92 of file forwardbond.hpp.

◆ payoff

QuantLib::ext::shared_ptr<Payoff> payoff

Definition at line 93 of file forwardbond.hpp.

◆ lockRate

Real lockRate

Definition at line 94 of file forwardbond.hpp.

◆ longInForward

boost::optional<bool> longInForward

Definition at line 95 of file forwardbond.hpp.

◆ lockRateDayCounter

DayCounter lockRateDayCounter

Definition at line 96 of file forwardbond.hpp.

◆ fwdMaturityDate

Date fwdMaturityDate

Definition at line 97 of file forwardbond.hpp.

◆ fwdSettlementDate

Date fwdSettlementDate

Definition at line 98 of file forwardbond.hpp.

◆ isPhysicallySettled

bool isPhysicallySettled

Definition at line 99 of file forwardbond.hpp.

◆ settlementDirty

bool settlementDirty

Definition at line 100 of file forwardbond.hpp.

◆ compensationPayment

Real compensationPayment

Definition at line 101 of file forwardbond.hpp.

◆ compensationPaymentDate

Date compensationPaymentDate

Definition at line 102 of file forwardbond.hpp.

◆ bondNotional

Real bondNotional

Definition at line 103 of file forwardbond.hpp.

◆ dv01

Real dv01

Definition at line 104 of file forwardbond.hpp.

Public Member Functions

Public Attributes