indexedcashflow.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2009 Chris Kenyon
 Copyright (C) 2022 Quaternion Risk Management Ltd
 
 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.
 */
 
#ifndef quantlib_indexed_cash_flow_hpp
#define quantlib_indexed_cash_flow_hpp
 
#include <ql/patterns/visitor.hpp>
#include <ql/cashflow.hpp>
#include <ql/index.hpp>
 
namespace QuantLib {
 
 
    class IndexedCashFlow : public CashFlow {
      public:
        IndexedCashFlow(Real notional,
                        ext::shared_ptr<Index> index,
                        const Date& baseDate,
                        const Date& fixingDate,
                        const Date& paymentDate,
                        bool growthOnly = false);
 
        Date date() const override { return paymentDate_; }
        virtual Real notional() const { return notional_; }
        virtual Date baseDate() const { return baseDate_; }
        virtual Date fixingDate() const { return fixingDate_; }
        virtual ext::shared_ptr<Index> index() const { return index_; }
        virtual bool growthOnly() const { return growthOnly_; }
        virtual Real baseFixing() const { return index_->fixing(baseDate()); }
        virtual Real indexFixing() const { return index_->fixing(fixingDate_); }
 
        Real amount() const override; // already virtual
 
        void accept(AcyclicVisitor&) override;
 
        void performCalculations() const override;
      private:
        Real notional_;
        ext::shared_ptr<Index> index_;
        Date baseDate_, fixingDate_, paymentDate_;
        bool growthOnly_;
        mutable Real amount_;
    };
 
 
    // inline definitions
 
    inline void IndexedCashFlow::accept(AcyclicVisitor& v) {
        auto* v1 = dynamic_cast<Visitor<IndexedCashFlow>*>(&v);
        if (v1 != nullptr)
            v1->visit(*this);
        else
            CashFlow::accept(v);
    }
 
}
 
#endif