Cash flow paying the performance of a CPI (zero inflation) index. More...
#include <cpicoupon.hpp>
Inheritance diagram for CPICashFlow:
Collaboration diagram for CPICashFlow:
Public Member Functions | |
| CPICashFlow (Real notional, const ext::shared_ptr< ZeroInflationIndex > &index, const Date &baseDate, Real baseFixing, const Date &observationDate, const Period &observationLag, CPI::InterpolationType interpolation, const Date &paymentDate, bool growthOnly=false) | |
| Real | baseFixing () const override |
| value used on base date More... | |
| Date | baseDate () const override |
| you may not have a valid date More... | |
| Date | observationDate () const |
| Period | observationLag () const |
| virtual CPI::InterpolationType | interpolation () const |
| do you want linear/constant/as-index interpolation of future data? More... | |
| virtual Frequency | frequency () const |
| ext::shared_ptr< ZeroInflationIndex > | cpiIndex () const |
| Real | indexFixing () const override |
| Public Member Functions inherited from IndexedCashFlow | |
| IndexedCashFlow (Real notional, ext::shared_ptr< Index > index, const Date &baseDate, const Date &fixingDate, const Date &paymentDate, bool growthOnly=false) | |
| Date | date () const override |
| virtual Real | notional () const |
| virtual Date | fixingDate () const |
| virtual ext::shared_ptr< Index > | index () const |
| virtual bool | growthOnly () const |
| Real | amount () const override |
| returns the amount of the cash flow More... | |
| void | accept (AcyclicVisitor &) override |
| void | performCalculations () const override |
| Public Member Functions inherited from CashFlow | |
| ~CashFlow () override=default | |
| bool | hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const override |
| returns true if an event has already occurred before a date More... | |
| virtual Date | exCouponDate () const |
| returns the date that the cash flow trades exCoupon More... | |
| bool | tradingExCoupon (const Date &refDate=Date()) const |
| returns true if the cashflow is trading ex-coupon on the refDate More... | |
| Public Member Functions inherited from Event | |
| ~Event () override=default | |
| Public Member Functions inherited from Observable | |
| Observable ()=default | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from LazyObject | |
| LazyObject () | |
| ~LazyObject () override=default | |
| void | update () override |
| bool | isCalculated () const |
| void | forwardFirstNotificationOnly () |
| void | alwaysForwardNotifications () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~Observer () |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | update ()=0 |
| virtual void | deepUpdate () |
Protected Attributes | |
| Real | baseFixing_ |
| Date | observationDate_ |
| Period | observationLag_ |
| CPI::InterpolationType | interpolation_ |
| Frequency | frequency_ |
| Protected Attributes inherited from IndexedCashFlow | |
| Real | amount_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const |
Detailed Description
Cash flow paying the performance of a CPI (zero inflation) index.
It is NOT a coupon, i.e. no accruals.
Definition at line 164 of file cpicoupon.hpp.
Constructor & Destructor Documentation
◆ CPICashFlow()
| CPICashFlow | ( | Real | notional, |
| const ext::shared_ptr< ZeroInflationIndex > & | index, | ||
| const Date & | baseDate, | ||
| Real | baseFixing, | ||
| const Date & | observationDate, | ||
| const Period & | observationLag, | ||
| CPI::InterpolationType | interpolation, | ||
| const Date & | paymentDate, | ||
| bool | growthOnly = false |
||
| ) |
Member Function Documentation
◆ baseFixing()
|
overridevirtual |
value used on base date
This does not have to agree with index on that date.
Reimplemented from IndexedCashFlow.
Definition at line 168 of file cpicoupon.cpp.
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◆ baseDate()
|
overridevirtual |
you may not have a valid date
Reimplemented from IndexedCashFlow.
Definition at line 159 of file cpicoupon.cpp.
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◆ observationDate()
| Date observationDate | ( | ) | const |
Definition at line 182 of file cpicoupon.hpp.
◆ observationLag()
| Period observationLag | ( | ) | const |
Definition at line 183 of file cpicoupon.hpp.
◆ interpolation()
|
virtual |
do you want linear/constant/as-index interpolation of future data?
Definition at line 185 of file cpicoupon.hpp.
◆ frequency()
|
virtual |
Definition at line 188 of file cpicoupon.hpp.
◆ cpiIndex()
| ext::shared_ptr< ZeroInflationIndex > cpiIndex | ( | ) | const |
Definition at line 288 of file cpicoupon.hpp.
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◆ indexFixing()
|
overridevirtual |
Reimplemented from IndexedCashFlow.
Definition at line 175 of file cpicoupon.cpp.
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Member Data Documentation
◆ baseFixing_
|
protected |
Definition at line 195 of file cpicoupon.hpp.
◆ observationDate_
|
protected |
Definition at line 196 of file cpicoupon.hpp.
◆ observationLag_
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protected |
Definition at line 197 of file cpicoupon.hpp.
◆ interpolation_
|
protected |
Definition at line 198 of file cpicoupon.hpp.
◆ frequency_
|
protected |
Definition at line 199 of file cpicoupon.hpp.