IndexedCashFlow Class Reference

Cash flow dependent on an index ratio. More...

#include <ql/cashflows/indexedcashflow.hpp>

Inheritance diagram for IndexedCashFlow:

Public Member Functions
	IndexedCashFlow (Real notional, ext::shared_ptr< Index > index, const Date &baseDate, const Date &fixingDate, const Date &paymentDate, bool growthOnly=false)
Event interface
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
CashFlow interface
Real	amount () const override
	returns the amount of the cash flow
Visitability
void	accept (AcyclicVisitor &) override
Public Member Functions inherited from CashFlow
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
virtual Date	exCouponDate () const
	returns the date that the cash flow trades exCoupon
bool	tradingExCoupon (const Date &refDate=Date()) const
	returns true if the cashflow is trading ex-coupon on the refDate
Public Member Functions inherited from Event
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()

LazyObject interface
Real	amount_
void	performCalculations () const override

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

Detailed Description

Cash flow dependent on an index ratio.

This cash flow is not a coupon, i.e., there's no accrual. The amount is either i(T)/i(0) or i(T)/i(0) - 1, depending on the growthOnly parameter.

We expect this to be used inside an instrument that does all the date adjustment etc., so this takes just dates and does not change them. growthOnly = false means i(T)/i(0), which is a bond-type setting. growthOnly = true means i(T)/i(0) - 1, which is a swap-type setting.

Member Function Documentation

date()

Date date ( ) const

overridevirtual

Note

This is inherited from the event class

Implements CashFlow.

baseDate()

virtual Date baseDate ( ) const

virtual

Reimplemented in CPICashFlow.

baseFixing()

virtual Real baseFixing ( ) const

virtual

Reimplemented in CPICashFlow.

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.

Implements CashFlow.

accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from CashFlow.

performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Reimplemented from CashFlow.