QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Discounting engine for swaps. More...
#include <discountingswapengine.hpp>
Public Member Functions | |
DiscountingSwapEngine (Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >(), const ext::optional< bool > &includeSettlementDateFlows=ext::nullopt, Date settlementDate=Date(), Date npvDate=Date()) | |
void | calculate () const override |
Handle< YieldTermStructure > | discountCurve () const |
Public Member Functions inherited from GenericEngine< Swap::arguments, Swap::results > | |
PricingEngine::arguments * | getArguments () const override |
const PricingEngine::results * | getResults () const override |
void | reset () override |
void | update () override |
Public Member Functions inherited from PricingEngine | |
~PricingEngine () override=default | |
virtual arguments * | getArguments () const =0 |
virtual const results * | getResults () const =0 |
virtual void | reset ()=0 |
virtual void | calculate () const =0 |
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 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 () |
Private Attributes | |
Handle< YieldTermStructure > | discountCurve_ |
ext::optional< bool > | includeSettlementDateFlows_ |
Date | settlementDate_ |
Date | npvDate_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Attributes inherited from GenericEngine< Swap::arguments, Swap::results > | |
Swap::arguments | arguments_ |
Swap::results | results_ |
Discounting engine for swaps.
This engine discounts future swap cashflows to the reference date of the discount curve.
Definition at line 39 of file discountingswapengine.hpp.
DiscountingSwapEngine | ( | Handle< YieldTermStructure > | discountCurve = Handle<YieldTermStructure>() , |
const ext::optional< bool > & | includeSettlementDateFlows = ext::nullopt , |
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Date | settlementDate = Date() , |
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Date | npvDate = Date() |
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) |
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overridevirtual |
Implements PricingEngine.
Definition at line 40 of file discountingswapengine.cpp.
Handle< YieldTermStructure > discountCurve | ( | ) | const |
Definition at line 47 of file discountingswapengine.hpp.
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private |
Definition at line 51 of file discountingswapengine.hpp.
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private |
Definition at line 52 of file discountingswapengine.hpp.
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private |
Definition at line 53 of file discountingswapengine.hpp.
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private |
Definition at line 53 of file discountingswapengine.hpp.