TRSCashFlow Class Reference

bond trs cashflow More...

#include <qle/cashflows/trscashflow.hpp>

Inheritance diagram for TRSCashFlow:

Collaboration diagram for TRSCashFlow:

Public Member Functions
	TRSCashFlow (const Date &paymentDate, const Date &fixingStartDate, const Date &fixingEndDate, const Real notional, const QuantLib::ext::shared_ptr< Index > &Index, const Real initialPrice=Null< Real >(), const QuantLib::ext::shared_ptr< FxIndex > &fxIndex=nullptr)
CashFlow interface
Real	amount () const override
Date	date () const override
Inspectors
const Date &	fixingStartDate () const
const Date &	fixingEndDate () const
virtual const Real	notional () const
virtual const Real	notional (Date date) const
const QuantLib::ext::shared_ptr< Index > &	index () const
const Real	initialPrice () const
const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex () const
Real	fxStart () const
Real	fxEnd () const
Real	assetStart () const
Real	assetEnd () const
Observer interface
void	update () override

Visitability
Date	paymentDate_
Date	fixingStartDate_
Date	fixingEndDate_
Real	notional_
QuantLib::ext::shared_ptr< Index >	index_
Real	initialPrice_ = QuantLib::Null<Real>()
QuantLib::ext::shared_ptr< FxIndex >	fxIndex_
virtual void	accept (AcyclicVisitor &) override

Detailed Description

bond trs cashflow

Definition at line 38 of file trscashflow.hpp.

Constructor & Destructor Documentation

TRSCashFlow()

TRSCashFlow	(	const Date &	paymentDate,
		const Date &	fixingStartDate,
		const Date &	fixingEndDate,
		const Real	notional,
		const QuantLib::ext::shared_ptr< Index > &	Index,
		const Real	initialPrice = Null<Real>(),
		const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex = nullptr
	)

Definition at line 23 of file trscashflow.cpp.

    : paymentDate_(paymentDate), fixingStartDate_(fixingStartDate), fixingEndDate_(fixingEndDate),
      notional_(notional), index_(index), initialPrice_(initialPrice), fxIndex_(fxIndex) {
    //QL_REQUIRE(!index->relative(), "TRSCashFlow: index should not use relative prices");
    registerWith(fxIndex_);
}

Member Function Documentation

amount()

Real amount ( ) const

override

Definition at line 32 of file trscashflow.cpp.

{ return notional_ * (assetEnd() * fxEnd() - assetStart() * fxStart()); }

Here is the call graph for this function:

date()

Date date ( ) const

override

Definition at line 34 of file trscashflow.cpp.

{ return paymentDate_; }

fixingStartDate()

const Date & fixingStartDate

(

)

const

Definition at line 52 of file trscashflow.hpp.

{ return fixingStartDate_; }

fixingEndDate()

const Date & fixingEndDate

(

)

const

Definition at line 53 of file trscashflow.hpp.

{ return fixingEndDate_; }

notional() [1/2]

virtual const Real notional ( ) const

virtual

Reimplemented in BondTRSCashFlow.

Definition at line 54 of file trscashflow.hpp.

{ return notional_; }

Here is the caller graph for this function:

notional() [2/2]

virtual const Real notional ( Date  date ) const

virtual

Reimplemented in BondTRSCashFlow.

Definition at line 55 of file trscashflow.hpp.

{ return notional_; }

index()

const QuantLib::ext::shared_ptr< Index > & index

(

)

const

Definition at line 56 of file trscashflow.hpp.

{ return index_; }

initialPrice()

const Real initialPrice

(

)

const

Definition at line 57 of file trscashflow.hpp.

{ return initialPrice_; }

fxIndex()

const QuantLib::ext::shared_ptr< FxIndex > & fxIndex

(

)

const

Definition at line 58 of file trscashflow.hpp.

{ return fxIndex_; }

fxStart()

Real fxStart

(

)

const

Definition at line 44 of file trscashflow.cpp.

                                {
    return fxIndex_ ? fxIndex_->fixing(fxIndex_->fixingCalendar().adjust(fixingStartDate_, Preceding)) : 1.0;
}

Here is the caller graph for this function:

fxEnd()

Real fxEnd

(

)

const

Definition at line 48 of file trscashflow.cpp.

                              {
    return fxIndex_ ? fxIndex_->fixing(fxIndex_->fixingCalendar().adjust(fixingEndDate_, Preceding)) : 1.0;
}

Here is the caller graph for this function:

assetStart()

Real assetStart

(

)

const

Definition at line 52 of file trscashflow.cpp.

                                   {
    return initialPrice_ != Null<Real>() ? initialPrice_ * notional(fixingStartDate_)
                                         : index_->fixing(fixingStartDate_);
}

Here is the call graph for this function:

Here is the caller graph for this function:

assetEnd()

Real assetEnd

(

)

const

Definition at line 57 of file trscashflow.cpp.

{ return index_->fixing(fixingEndDate_); }

Here is the caller graph for this function:

update()

void update ( )

override

Definition at line 67 of file trscashflow.hpp.

{ notifyObservers(); }

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Definition at line 36 of file trscashflow.cpp.

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

Member Data Documentation

paymentDate_

Date paymentDate_

protected

Definition at line 76 of file trscashflow.hpp.

fixingStartDate_

Date fixingStartDate_

protected

Definition at line 76 of file trscashflow.hpp.

fixingEndDate_

Date fixingEndDate_

protected

Definition at line 76 of file trscashflow.hpp.

notional_

Real notional_

protected

Definition at line 77 of file trscashflow.hpp.

index_

QuantLib::ext::shared_ptr<Index> index_

protected

Definition at line 78 of file trscashflow.hpp.

initialPrice_

Real initialPrice_ = QuantLib::Null<Real>()

protected

Definition at line 79 of file trscashflow.hpp.

fxIndex_

QuantLib::ext::shared_ptr<FxIndex> fxIndex_

protected

Definition at line 80 of file trscashflow.hpp.