indexedcashflow.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2009 Chris Kenyon
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
#include <ql/cashflows/indexedcashflow.hpp>
#include <ql/index.hpp>
#include <utility>
 
namespace QuantLib {
 
    IndexedCashFlow::IndexedCashFlow(Real notional,
                                     ext::shared_ptr<Index> index,
                                     const Date& baseDate,
                                     const Date& fixingDate,
                                     const Date& paymentDate,
                                     bool growthOnly)
    : notional_(notional), index_(std::move(index)), baseDate_(baseDate), fixingDate_(fixingDate),
      paymentDate_(paymentDate), growthOnly_(growthOnly) {
        QL_REQUIRE(index_, "no index provided");
        registerWith(index_);
    }
 
    Real IndexedCashFlow::amount() const {
        calculate();
        return amount_;
    }
 
    void IndexedCashFlow::performCalculations() const {
        Real I0 = baseFixing();
        Real I1 = indexFixing();
 
        if (growthOnly_)
            amount_ = notional_ * (I1 / I0 - 1.0);
        else
            amount_ = notional_ * (I1 / I0);
    }
}