Payment schedule. More...

#include <schedule.hpp>

Collaboration diagram for Schedule:

Public Member Functions
	Schedule (const std::vector< Date > &, Calendar calendar=NullCalendar(), BusinessDayConvention convention=Unadjusted, const ext::optional< BusinessDayConvention > &terminationDateConvention=ext::nullopt, const ext::optional< Period > &tenor=ext::nullopt, const ext::optional< DateGeneration::Rule > &rule=ext::nullopt, const ext::optional< bool > &endOfMonth=ext::nullopt, std::vector< bool > isRegular=std::vector< bool >(0))

	Schedule (Date effectiveDate, const Date &terminationDate, const Period &tenor, Calendar calendar, BusinessDayConvention convention, BusinessDayConvention terminationDateConvention, DateGeneration::Rule rule, bool endOfMonth, const Date &firstDate=Date(), const Date &nextToLastDate=Date())

	Schedule ()=default

Date access
Size	size () const

const Date &	operator[] (Size i) const

const Date &	at (Size i) const

const Date &	date (Size i) const

Date	previousDate (const Date &refDate) const

Date	nextDate (const Date &refDate) const

const std::vector< Date > &	dates () const

bool	hasIsRegular () const

bool	isRegular (Size i) const

const std::vector< bool > &	isRegular () const

Other inspectors
bool	empty () const

const Calendar &	calendar () const

const Date &	startDate () const

const Date &	endDate () const

bool	hasTenor () const

const Period &	tenor () const

BusinessDayConvention	businessDayConvention () const

bool	hasTerminationDateBusinessDayConvention () const

BusinessDayConvention	terminationDateBusinessDayConvention () const

bool	hasRule () const

DateGeneration::Rule	rule () const

bool	hasEndOfMonth () const

bool	endOfMonth () const

Iterators
typedef std::vector< Date >::const_iterator	const_iterator

const_iterator	begin () const

const_iterator	end () const

const_iterator	lower_bound (const Date &d=Date()) const

Utilities
ext::optional< Period >	tenor_

Calendar	calendar_

BusinessDayConvention	convention_

ext::optional< BusinessDayConvention >	terminationDateConvention_

ext::optional< DateGeneration::Rule >	rule_

ext::optional< bool >	endOfMonth_

Date	firstDate_

Date	nextToLastDate_

std::vector< Date >	dates_

std::vector< bool >	isRegular_

Schedule	after (const Date &truncationDate) const
	truncated schedule More...

Schedule	until (const Date &truncationDate) const

Detailed Description

Payment schedule.

Examples: BermudanSwaption.cpp, Bonds.cpp, CDS.cpp, CallableBonds.cpp, ConvertibleBonds.cpp, FittedBondCurve.cpp, Gaussian1dModels.cpp, MulticurveBootstrapping.cpp, and Repo.cpp.

Definition at line 40 of file schedule.hpp.

Member Typedef Documentation

◆ const_iterator

typedef std::vector<Date>::const_iterator const_iterator

Definition at line 98 of file schedule.hpp.

Constructor & Destructor Documentation

◆ Schedule() [1/3]

Schedule	(	const std::vector< Date > &	dates,
		Calendar	calendar = `NullCalendar()`,
		BusinessDayConvention	convention = `Unadjusted`,
		const ext::optional< BusinessDayConvention > &	terminationDateConvention = `ext::nullopt`,
		const ext::optional< Period > &	tenor = `ext::nullopt`,
		const ext::optional< DateGeneration::Rule > &	rule = `ext::nullopt`,
		const ext::optional< bool > &	endOfMonth = `ext::nullopt`,
		std::vector< bool >	isRegular = `std::vector<bool>(0)`
	)

constructor that takes any list of dates, and optionally meta information that can be used by client classes. Note that neither the list of dates nor the meta information is checked for plausibility in any sense.

Definition at line 58 of file schedule.cpp.

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◆ Schedule() [2/3]

Schedule	(	Date	effectiveDate,
		const Date &	terminationDate,
		const Period &	tenor,
		Calendar	calendar,
		BusinessDayConvention	convention,
		BusinessDayConvention	terminationDateConvention,
		DateGeneration::Rule	rule,
		bool	endOfMonth,
		const Date &	firstDate = `Date()`,
		const Date &	nextToLastDate = `Date()`
	)

rule based constructor

Definition at line 81 of file schedule.cpp.

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◆ Schedule() [3/3]

Schedule ( )

default

Member Function Documentation

◆ size()

Size size ( ) const

Definition at line 69 of file schedule.hpp.

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◆ operator[]()

const Date & operator[] ( Size i ) const

Definition at line 164 of file schedule.hpp.

◆ at()

const Date & at ( Size i ) const

Definition at line 172 of file schedule.hpp.

◆ date()

const Date & date ( Size i ) const

Examples: ConvertibleBonds.cpp.

Definition at line 160 of file schedule.hpp.

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◆ previousDate()

Date previousDate ( const Date & refDate ) const

Definition at line 508 of file schedule.cpp.

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◆ nextDate()

Date nextDate ( const Date & refDate ) const

Definition at line 500 of file schedule.cpp.

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◆ dates()

const std::vector< Date > & dates ( ) const

Definition at line 75 of file schedule.hpp.

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◆ hasIsRegular()

bool hasIsRegular ( ) const

Definition at line 516 of file schedule.cpp.

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◆ isRegular() [1/2]

bool isRegular ( Size i ) const

Definition at line 518 of file schedule.cpp.

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◆ isRegular() [2/2]

const std::vector< bool > & isRegular ( ) const

Definition at line 527 of file schedule.cpp.

◆ empty()

bool empty ( ) const

Definition at line 82 of file schedule.hpp.

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◆ calendar()

const Calendar & calendar ( ) const

Definition at line 176 of file schedule.hpp.

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◆ startDate()

const Date & startDate ( ) const

Definition at line 180 of file schedule.hpp.

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◆ endDate()

const Date & endDate ( ) const

Definition at line 184 of file schedule.hpp.

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◆ hasTenor()

bool hasTenor ( ) const

Definition at line 186 of file schedule.hpp.

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◆ tenor()

const Period & tenor ( ) const

Definition at line 190 of file schedule.hpp.

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◆ businessDayConvention()

BusinessDayConvention businessDayConvention ( ) const

Definition at line 196 of file schedule.hpp.

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◆ hasTerminationDateBusinessDayConvention()

bool hasTerminationDateBusinessDayConvention ( ) const

Definition at line 201 of file schedule.hpp.

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◆ terminationDateBusinessDayConvention()

BusinessDayConvention terminationDateBusinessDayConvention ( ) const

Definition at line 206 of file schedule.hpp.

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◆ hasRule()

bool hasRule ( ) const

Definition at line 212 of file schedule.hpp.

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◆ rule()

DateGeneration::Rule rule ( ) const

Definition at line 216 of file schedule.hpp.

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◆ hasEndOfMonth()

bool hasEndOfMonth ( ) const

Definition at line 221 of file schedule.hpp.

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◆ endOfMonth()

bool endOfMonth ( ) const

Definition at line 225 of file schedule.hpp.

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◆ begin()

const_iterator begin ( ) const

Examples: CDS.cpp.

Definition at line 99 of file schedule.hpp.

◆ end()

const_iterator end ( ) const

Examples: CDS.cpp.

Definition at line 100 of file schedule.hpp.

◆ lower_bound()

std::vector< Date >::const_iterator lower_bound ( const Date & d = Date() ) const

Definition at line 493 of file schedule.cpp.

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◆ after()

Schedule after ( const Date & truncationDate ) const

truncated schedule

Definition at line 425 of file schedule.cpp.

◆ until()

Schedule until ( const Date & truncationDate ) const

Definition at line 459 of file schedule.cpp.

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Member Data Documentation

◆ tenor_

ext::optional<Period> tenor_

private

Definition at line 110 of file schedule.hpp.

◆ calendar_

Calendar calendar_

private

Definition at line 111 of file schedule.hpp.

◆ convention_

BusinessDayConvention convention_

private

Definition at line 112 of file schedule.hpp.

◆ terminationDateConvention_

ext::optional<BusinessDayConvention> terminationDateConvention_

private

Definition at line 113 of file schedule.hpp.

◆ rule_

ext::optional<DateGeneration::Rule> rule_

private

Definition at line 114 of file schedule.hpp.

◆ endOfMonth_

ext::optional<bool> endOfMonth_

private

Definition at line 115 of file schedule.hpp.

◆ firstDate_

Date firstDate_

private

Definition at line 116 of file schedule.hpp.

◆ nextToLastDate_

Date nextToLastDate_

private

Definition at line 116 of file schedule.hpp.

◆ dates_

std::vector<Date> dates_

private

Definition at line 117 of file schedule.hpp.

◆ isRegular_

std::vector<bool> isRegular_

private

Definition at line 118 of file schedule.hpp.

Public Member Functions

Iterators

Utilities

Detailed Description

Member Typedef Documentation

◆ const_iterator

Constructor & Destructor Documentation

◆ Schedule() [1/3]

◆ Schedule() [2/3]

◆ Schedule() [3/3]

Member Function Documentation

◆ size()

◆ operator[]()

◆ at()

◆ date()

◆ previousDate()

◆ nextDate()

◆ dates()

◆ hasIsRegular()

◆ isRegular() [1/2]

◆ isRegular() [2/2]

◆ empty()

◆ calendar()

◆ startDate()

◆ endDate()

◆ hasTenor()

◆ tenor()

◆ businessDayConvention()

◆ hasTerminationDateBusinessDayConvention()

◆ terminationDateBusinessDayConvention()

◆ hasRule()

◆ rule()

◆ hasEndOfMonth()

◆ endOfMonth()

◆ begin()

◆ end()

◆ lower_bound()

◆ after()

◆ until()

Member Data Documentation

◆ tenor_

◆ calendar_

◆ convention_

◆ terminationDateConvention_

◆ rule_

◆ endOfMonth_

◆ firstDate_

◆ nextToLastDate_

◆ dates_

◆ isRegular_