Payment discounting engine. More...

#include <qle/pricingengines/paymentdiscountingengine.hpp>

Inheritance diagram for PaymentDiscountingEngine:

Collaboration diagram for PaymentDiscountingEngine:

Public Member Functions
Constructors
	PaymentDiscountingEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &spotFX=Handle< Quote >(), boost::optional< bool > includeSettlementDateFlows=boost::none, const Date &settlementDate=Date(), const Date &npvDate=Date())

PricingEngine interface
void	calculate () const override

Inspectors
Handle< YieldTermStructure >	discountCurve_

Handle< Quote >	spotFX_

boost::optional< bool >	includeSettlementDateFlows_

Date	settlementDate_

Date	npvDate_

const Handle< YieldTermStructure > &	discountCurve () const

const Handle< Quote > &	spotFX () const

Detailed Description

Payment discounting engine.

This class implements a discounting engine for a single cash flow. The cash flow is discounted using its currency's discount curve. Optionally, the NPV is converted into a different NPV currency. The FX spot rate for that purpose converts the in-currency NPV by multiplication.

Definition at line 42 of file paymentdiscountingengine.hpp.

Constructor & Destructor Documentation

◆ PaymentDiscountingEngine()

PaymentDiscountingEngine	(	const Handle< YieldTermStructure > &	discountCurve,
		const Handle< Quote > &	spotFX = `Handle<Quote>()`,
		boost::optional< bool >	includeSettlementDateFlows = `boost::none`,
		const Date &	settlementDate = `Date()`,
		const Date &	npvDate = `Date()`
	)

Parameters

discountCurve	Discount curve for the cash flow
spotFX	The market spot rate quote for multiplicative conversion into the NPV currency, can be empty
includeSettlementDateFlows,settlementDate	If includeSettlementDateFlows is true (false), cashflows on the settlementDate are (not) included in the NPV. If not given the settlement date is set to the npv date.
npvDate	Discount to this date. If not given the npv date is set to the evaluation date

Definition at line 24 of file paymentdiscountingengine.cpp.

    : discountCurve_(discountCurve), spotFX_(spotFX), includeSettlementDateFlows_(includeSettlementDateFlows),
      settlementDate_(settlementDate), npvDate_(npvDate) {
    QL_REQUIRE(!discountCurve_.empty(), "empty discount curve");
    registerWith(discountCurve_);
    if (!spotFX.empty())
        registerWith(spotFX);
}

Here is the call graph for this function:

Member Function Documentation

◆ calculate()

void calculate ( ) const

override

Definition at line 36 of file paymentdiscountingengine.cpp.

                                               {
    QL_REQUIRE(!discountCurve_.empty(), "discounting term structure handle is empty");
 
    results_.value = 0.0;
    results_.errorEstimate = Null<Real>();
 
    Date refDate = discountCurve_->referenceDate();
 
    Date settlementDate = settlementDate_;
    if (settlementDate_ == Date()) {
        settlementDate = refDate;
    } else {
        QL_REQUIRE(settlementDate >= refDate, "settlement date (" << settlementDate
                                                                  << ") before discount curve reference date ("
                                                                  << refDate << ")");
    }
 
    Date valuationDate = npvDate_;
    if (npvDate_ == Date()) {
        valuationDate = refDate;
    } else {
        QL_REQUIRE(npvDate_ >= refDate,
                   "npv date (" << npvDate_ << ") before discount curve reference date (" << refDate << ")");
    }
 
    bool includeRefDateFlows =
        includeSettlementDateFlows_ ? *includeSettlementDateFlows_ : Settings::instance().includeReferenceDateEvents();
 
    Real NPV = 0.0;
    if (!arguments_.cashflow->hasOccurred(settlementDate, includeRefDateFlows))
        NPV = arguments_.cashflow->amount() * discountCurve_->discount(arguments_.cashflow->date());
 
    if (!spotFX_.empty())
        NPV *= spotFX_->value();
 
    results_.value = NPV / discountCurve_->discount(valuationDate);
 
} // calculate