IndexWrappedCashFlow Class Reference

indexed cashflow More...

#include <qle/cashflows/indexedcoupon.hpp>

Inheritance diagram for IndexWrappedCashFlow:

Collaboration diagram for IndexWrappedCashFlow:

Public Member Functions
	IndexWrappedCashFlow (const QuantLib::ext::shared_ptr< CashFlow > &c, const Real qty, const QuantLib::ext::shared_ptr< Index > &index, const Date &fixingDate)
	IndexWrappedCashFlow (const QuantLib::ext::shared_ptr< CashFlow > &c, const Real qty, const Real initialFixing)
Observer interface
void	update () override
Cashflow interface
Date	date () const override
Real	amount () const override
Inspectors
QuantLib::ext::shared_ptr< CashFlow >	underlying () const
Real	quantity () const
QuantLib::ext::shared_ptr< Index >	index () const
const Date &	fixingDate () const
Real	initialFixing () const
Real	multiplier () const

Visitability
QuantLib::ext::shared_ptr< CashFlow >	c_
Real	qty_
QuantLib::ext::shared_ptr< Index >	index_
Date	fixingDate_
Real	initialFixing_
void	accept (AcyclicVisitor &) override

Detailed Description

indexed cashflow

Definition at line 87 of file indexedcoupon.hpp.

Constructor & Destructor Documentation

IndexWrappedCashFlow() [1/2]

IndexWrappedCashFlow	(	const QuantLib::ext::shared_ptr< CashFlow > &	c,
		const Real	qty,
		const QuantLib::ext::shared_ptr< Index > &	index,
		const Date &	fixingDate
	)

pays c->amount() * qty * index(fixingDate)

Definition at line 77 of file indexedcoupon.cpp.

    : c_(c), qty_(qty), index_(index), fixingDate_(fixingDate), initialFixing_(Null<Real>()) {
    QL_REQUIRE(index, "IndexWrappedCashFlow: index is null");
    QL_REQUIRE(fixingDate != Date(), "IndexWrappedCashFlow: fixingDate is null");
    registerWith(c);
    registerWith(index);
}

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IndexWrappedCashFlow() [2/2]

IndexWrappedCashFlow	(	const QuantLib::ext::shared_ptr< CashFlow > &	c,
		const Real	qty,
		const Real	initialFixing
	)

pays c->amount() * qty * initialFixing

Definition at line 86 of file indexedcoupon.cpp.

    : c_(c), qty_(qty), initialFixing_(initialFixing) {
    QL_REQUIRE(initialFixing != Null<Real>(), "IndexWrappedCashFlow: initial fixing is null");
    registerWith(c);
}

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Member Function Documentation

update()

void update ( )

override

Definition at line 93 of file indexedcoupon.cpp.

{ notifyObservers(); }

date()

Date date ( ) const

override

Definition at line 95 of file indexedcoupon.cpp.

{ return c_->date(); }

amount()

Real amount ( ) const

override

Definition at line 96 of file indexedcoupon.cpp.

{ return c_->amount() * multiplier(); }

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underlying()

QuantLib::ext::shared_ptr< CashFlow > underlying

(

)

const

Definition at line 102 of file indexedcoupon.cpp.

{ return c_; }

quantity()

Real quantity

(

)

const

Definition at line 104 of file indexedcoupon.cpp.

{ return qty_; }

index()

QuantLib::ext::shared_ptr< Index > index

(

)

const

Definition at line 110 of file indexedcoupon.cpp.

{ return index_; }

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fixingDate()

const Date & fixingDate

(

)

const

Definition at line 106 of file indexedcoupon.cpp.

{ return fixingDate_; }

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initialFixing()

Real initialFixing

(

)

const

Definition at line 108 of file indexedcoupon.cpp.

{ return initialFixing_; }

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multiplier()

Real multiplier

(

)

const

Definition at line 98 of file indexedcoupon.cpp.

                                            {
    return index_ ? qty_ * index_->fixing(fixingDate_) : qty_ * initialFixing_;
}

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accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 112 of file indexedcoupon.cpp.

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

Member Data Documentation

c_

QuantLib::ext::shared_ptr<CashFlow> c_

private

Definition at line 122 of file indexedcoupon.hpp.

qty_

Real qty_

private

Definition at line 123 of file indexedcoupon.hpp.

index_

QuantLib::ext::shared_ptr<Index> index_

private

Definition at line 124 of file indexedcoupon.hpp.

fixingDate_

Date fixingDate_

private

Definition at line 125 of file indexedcoupon.hpp.

initialFixing_

Real initialFixing_

private

Definition at line 126 of file indexedcoupon.hpp.