Cashflows

Files
file	bondtrscashflow.hpp
	cashflow paying the total return of a bond
file	cappedflooredaveragebmacoupon.hpp
	coupon paying a capped / floored average bma rate
file	couponpricer.hpp
	Utility functions for setting coupon pricers on legs.
file	durationadjustedcmscoupon.hpp
	cms coupon scaled by a duration number
file	equitycoupon.hpp
	coupon paying the return on an equity
file	equitycouponpricer.hpp
	Pricer for equity coupons.
file	equitymargincoupon.hpp
	coupon paying the return on an equity
file	equitymargincouponpricer.hpp
	Pricer for equity margin coupons.
file	fixedratefxlinkednotionalcoupon.hpp
	Coupon paying a fixed rate but with an FX linked notional.
file	floatingannuitycoupon.hpp
	Coupon paying a Libor-type index.
file	floatingannuitynominal.hpp
	Nominal flow associated with a floating annuity coupon.
file	floatingratefxlinkednotionalcoupon.hpp
	Coupon paying a Libor-type index but with an FX linked notional.
file	formulabasedcoupon.hpp
	formula based coupon
file	indexedcoupon.hpp
	coupon with an indexed notional
file	mcgaussianformulabasedcouponpricer.hpp
	formula based coupon pricer
file	nonstandardyoyinflationcoupon.hpp
	capped floored coupon which generalize the yoy inflation coupon it pays: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with an arbitrary time s<t, instead of a fixed 1y offset
file	nonstandardinflationcouponpricer.hpp
	pricer for the generalized (nonstandard) yoy coupon the payoff of the coupon is: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with arbitrary s < t. In the regular coupon the period between s and t is hardcoded to one year. This pricer ignores any convexity adjustments in the YoY coupon.
file	nonstandardyoyinflationcoupon.hpp
	capped floored coupon which generalize the yoy inflation coupon it pays: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with an arbitrary time s<t, instead of a fixed 1y offset
file	scaledcoupon.hpp
	Coupon / Cashflow paying scaled amounts.
file	trscashflow.hpp
	cashflow paying the total return of an asset
file	indexedcoupon.hpp
	coupon with an indexed notional
file	zerofixedcoupon.hpp
	Nominal flow associated with a floating annuity coupon.

Classes
class	AverageONLeg
	helper class building a sequence of overnight coupons More...
class	AverageONIndexedCouponPricer
	Pricer for average overnight indexed coupons. More...
class	BondTRSLeg
	helper class building a sequence of bond trs cashflows More...
class	EquityCoupon
	equity coupon More...
class	EquityLeg
	helper class building a sequence of equity coupons More...
class	EquityCouponPricer
	Pricer for equity coupons. More...
class	EquityMarginCoupon
	equity coupon More...
class	EquityMarginLeg
	helper class building a sequence of equity margin coupons More...
class	EquityMarginCouponPricer
	Pricer for equity margin coupons. More...
class	FixedRateFXLinkedNotionalCoupon
class	FloatingAnnuityCoupon
	floating annuity coupon More...
class	FloatingAnnuityNominal
class	FloatingRateFXLinkedNotionalCoupon
class	FXLinkedCashFlow
	FX Linked cash-flow. More...
class	AverageFXLinkedCashFlow
	Average FX Linked cash-flow. More...
class	IndexedCoupon
	indexed coupon More...
class	IndexWrappedCashFlow
	indexed cashflow More...
class	IndexedCouponLeg
	indexed coupon leg More...
class	ScaledCashFlow
	scalable cashflow More...
class	ScaledCoupon
	scalable coupon More...
class	SubPeriodsLeg1
	helper class building a sequence of sub-period coupons More...
class	SubPeriodsCouponPricer1
	Pricer for sub-period coupons. More...
class	TRSLeg
	helper class building a sequence of trs cashflows More...
class	ZeroFixedCoupon

Functions
void	setCouponPricer (const Leg &leg, const QuantLib::ext::shared_ptr< FloatingRateCouponPricer > &)
	Set Coupon Pricer. More...
void	setCouponPricers (const Leg &leg, const std::vector< QuantLib::ext::shared_ptr< FloatingRateCouponPricer > > &)
	Set Coupon Pricers. More...

Detailed Description

Grouping of all cashflow related classes, functions and files

Function Documentation

setCouponPricer()

void setCouponPricer	(	const Leg &	leg,
		const QuantLib::ext::shared_ptr< FloatingRateCouponPricer > &	pricer
	)

Set Coupon Pricer.

Definition at line 122 of file couponpricer.cpp.

                                                                                                    {
    PricerSetter setter(pricer);
    for (Size i = 0; i < leg.size(); ++i) {
        leg[i]->accept(setter);
    }
}

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setCouponPricers()

void setCouponPricers	(	const Leg &	leg,
		const std::vector< QuantLib::ext::shared_ptr< FloatingRateCouponPricer > > &	pricers
	)

Set Coupon Pricers.

Definition at line 129 of file couponpricer.cpp.

                                                                                                                  {
 
    Size nCashFlows = leg.size();
    QL_REQUIRE(nCashFlows > 0, "No cashflows");
 
    Size nPricers = pricers.size();
    QL_REQUIRE(nCashFlows >= nPricers,
               "Mismatch between leg size (" << nCashFlows << ") and number of pricers (" << nPricers << ")");
 
    for (Size i = 0; i < nCashFlows; ++i) {
        PricerSetter setter(i < nPricers ? pricers[i] : pricers[nPricers - 1]);
        leg[i]->accept(setter);
    }
}