ZeroInflationCashFlow Class Reference

Cash flow dependent on a zero inflation index ratio. More...

#include <ql/cashflows/zeroinflationcashflow.hpp>

Inheritance diagram for ZeroInflationCashFlow:

Collaboration diagram for ZeroInflationCashFlow:

Public Member Functions
	ZeroInflationCashFlow (Real notional, const ext::shared_ptr< ZeroInflationIndex > &index, CPI::InterpolationType observationInterpolation, const Date &startDate, const Date &endDate, const Period &observationLag, const Date &paymentDate, bool growthOnly=false)
ZeroInflationCashFlow interface
ext::shared_ptr< ZeroInflationIndex >	zeroInflationIndex () const
CPI::InterpolationType	observationInterpolation () const
CashFlow interface
Real	amount () const override
	returns the amount of the cash flow More...
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	baseDate () const
virtual Date	fixingDate () const
virtual ext::shared_ptr< Index >	index () const
virtual bool	growthOnly () const
virtual Real	baseFixing () const
virtual Real	indexFixing () const
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 ()
	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 ()

Visitability
ext::shared_ptr< ZeroInflationIndex >	zeroInflationIndex_
CPI::InterpolationType	observationInterpolation_
Date	startDate_
Date	endDate_
Period	observationLag_
void	accept (AcyclicVisitor &) override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from LazyObject
virtual void	calculate () const
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Cash flow dependent on a zero inflation index ratio.

The ratio is taken between fixings observed at the start date and the end date minus the observation lag; that is, if the start and end dates are, e.g., in June and the observation lag is three months, the ratio will be taken between March fixings.

Definition at line 38 of file zeroinflationcashflow.hpp.

Constructor & Destructor Documentation

ZeroInflationCashFlow()

ZeroInflationCashFlow	(	Real	notional,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		CPI::InterpolationType	observationInterpolation,
		const Date &	startDate,
		const Date &	endDate,
		const Period &	observationLag,
		const Date &	paymentDate,
		bool	growthOnly = false
	)

The fixings dates for the index are startDate - observationLag and endDate - observationLag.

Definition at line 27 of file zeroinflationcashflow.cpp.

Member Function Documentation

zeroInflationIndex()

ext::shared_ptr< ZeroInflationIndex > zeroInflationIndex

(

)

const

Definition at line 54 of file zeroinflationcashflow.hpp.

observationInterpolation()

CPI::InterpolationType observationInterpolation

(

)

const

Definition at line 57 of file zeroinflationcashflow.hpp.

amount()

Real amount ( ) const

overridevirtual

returns the amount of the cash flow

Note

The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.

Reimplemented from IndexedCashFlow.

Definition at line 41 of file zeroinflationcashflow.cpp.

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accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from IndexedCashFlow.

Definition at line 59 of file zeroinflationcashflow.cpp.

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Member Data Documentation

zeroInflationIndex_

ext::shared_ptr<ZeroInflationIndex> zeroInflationIndex_

private

Definition at line 72 of file zeroinflationcashflow.hpp.

observationInterpolation_

CPI::InterpolationType observationInterpolation_

private

Definition at line 73 of file zeroinflationcashflow.hpp.

startDate_

Date startDate_

private

Definition at line 74 of file zeroinflationcashflow.hpp.

endDate_

Date endDate_

private

Definition at line 74 of file zeroinflationcashflow.hpp.

observationLag_

Period observationLag_

private

Definition at line 75 of file zeroinflationcashflow.hpp.