Schedule Class Reference

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
Element access
Size	size () const
const Date &	operator[] (Size i) const
const Date &	at (Size i) const
const Date &	date (Size i) const
const std::vector< Date > &	dates () const
bool	empty () const
const Date &	front () const
const Date &	back () const
Other inspectors
Date	previousDate (const Date &refDate) const
Date	nextDate (const Date &refDate) const
bool	hasIsRegular () const
bool	isRegular (Size i) const
const std::vector< bool > &	isRegular () 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 100 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 166 of file schedule.hpp.

at()

const Date & at

(

Size

i

)

const

Definition at line 174 of file schedule.hpp.

date()

const Date & date

(

Size

i

)

const

Examples

ConvertibleBonds.cpp.

Definition at line 162 of file schedule.hpp.

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dates()

const std::vector< Date > & dates

(

)

const

Definition at line 73 of file schedule.hpp.

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empty()

bool empty

(

)

const

Definition at line 74 of file schedule.hpp.

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front()

const Date & front

(

)

const

Definition at line 178 of file schedule.hpp.

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back()

const Date & back

(

)

const

Definition at line 183 of file schedule.hpp.

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previousDate()

Date previousDate

(

const Date &

refDate

)

const

Definition at line 503 of file schedule.cpp.

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nextDate()

Date nextDate

(

const Date &

refDate

)

const

Definition at line 495 of file schedule.cpp.

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hasIsRegular()

bool hasIsRegular

(

)

const

Definition at line 511 of file schedule.cpp.

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isRegular() [1/2]

bool isRegular

(

Size

i

)

const

Definition at line 513 of file schedule.cpp.

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isRegular() [2/2]

const std::vector< bool > & isRegular

(

)

const

Definition at line 522 of file schedule.cpp.

calendar()

const Calendar & calendar

(

)

const

Definition at line 188 of file schedule.hpp.

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startDate()

const Date & startDate

(

)

const

Definition at line 192 of file schedule.hpp.

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endDate()

const Date & endDate

(

)

const

Definition at line 196 of file schedule.hpp.

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hasTenor()

bool hasTenor

(

)

const

Definition at line 198 of file schedule.hpp.

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tenor()

const Period & tenor

(

)

const

Definition at line 202 of file schedule.hpp.

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businessDayConvention()

BusinessDayConvention businessDayConvention

(

)

const

Definition at line 208 of file schedule.hpp.

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hasTerminationDateBusinessDayConvention()

bool hasTerminationDateBusinessDayConvention

(

)

const

Definition at line 213 of file schedule.hpp.

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terminationDateBusinessDayConvention()

BusinessDayConvention terminationDateBusinessDayConvention

(

)

const

Definition at line 218 of file schedule.hpp.

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hasRule()

bool hasRule

(

)

const

Definition at line 224 of file schedule.hpp.

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rule()

DateGeneration::Rule rule

(

)

const

Definition at line 228 of file schedule.hpp.

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hasEndOfMonth()

bool hasEndOfMonth

(

)

const

Definition at line 233 of file schedule.hpp.

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endOfMonth()

bool endOfMonth

(

)

const

Definition at line 237 of file schedule.hpp.

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begin()

const_iterator begin

(

)

const

Examples

CDS.cpp.

Definition at line 101 of file schedule.hpp.

end()

const_iterator end

(

)

const

Examples

CDS.cpp.

Definition at line 102 of file schedule.hpp.

lower_bound()

std::vector< Date >::const_iterator lower_bound

(

const Date &

d = Date()

)

const

Definition at line 488 of file schedule.cpp.

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after()

Schedule after

(

const Date &

truncationDate

)

const

truncated schedule

Definition at line 420 of file schedule.cpp.

until()

Schedule until

(

const Date &

truncationDate

)

const

Definition at line 454 of file schedule.cpp.

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Member Data Documentation

tenor_

ext::optional<Period> tenor_

private

Definition at line 112 of file schedule.hpp.

calendar_

Calendar calendar_

private

Definition at line 113 of file schedule.hpp.

convention_

BusinessDayConvention convention_

private

Definition at line 114 of file schedule.hpp.

terminationDateConvention_

ext::optional<BusinessDayConvention> terminationDateConvention_

private

Definition at line 115 of file schedule.hpp.

rule_

ext::optional<DateGeneration::Rule> rule_

private

Definition at line 116 of file schedule.hpp.

endOfMonth_

ext::optional<bool> endOfMonth_

private

Definition at line 117 of file schedule.hpp.

firstDate_

Date firstDate_

private

Definition at line 118 of file schedule.hpp.

nextToLastDate_

Date nextToLastDate_

private

Definition at line 118 of file schedule.hpp.

dates_

std::vector<Date> dates_

private

Definition at line 119 of file schedule.hpp.

isRegular_

std::vector<bool> isRegular_

private

Definition at line 120 of file schedule.hpp.