DiscountingSwapEngine Class Reference

Discounting engine for swaps. More...

#include <discountingswapengine.hpp>

Inheritance diagram for DiscountingSwapEngine:

Collaboration diagram for DiscountingSwapEngine:

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 ()=default
	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_

Detailed Description

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.

Constructor & Destructor Documentation

DiscountingSwapEngine()

DiscountingSwapEngine	(	Handle< YieldTermStructure >	discountCurve = Handle<YieldTermStructure>(),
		const ext::optional< bool > &	includeSettlementDateFlows = ext::nullopt,
		Date	settlementDate = Date(),
		Date	npvDate = Date()
	)

Definition at line 29 of file discountingswapengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 40 of file discountingswapengine.cpp.

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discountCurve()

Handle< YieldTermStructure > discountCurve

(

)

const

Definition at line 47 of file discountingswapengine.hpp.

Member Data Documentation

discountCurve_

Handle<YieldTermStructure> discountCurve_

private

Definition at line 51 of file discountingswapengine.hpp.

includeSettlementDateFlows_

ext::optional<bool> includeSettlementDateFlows_

private

Definition at line 52 of file discountingswapengine.hpp.

settlementDate_

Date settlementDate_

private

Definition at line 53 of file discountingswapengine.hpp.

npvDate_

Date npvDate_

private

Definition at line 53 of file discountingswapengine.hpp.