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, const boost::shared_ptr< Index > &index, const Date &baseDate, const Date &fixingDate, const Date &paymentDate, bool growthOnly=false)
virtual Real	notional () const
virtual Date	baseDate () const
virtual Date	fixingDate () const
virtual boost::shared_ptr< Index >	index () const
virtual bool	growthOnly () const
Event interface
Date	date () const
CashFlow interface
Real	amount () const
	returns the amount of the cash flow More...
Visitability
virtual void	accept (AcyclicVisitor &)
Observer interface
void	update ()
Public Member Functions inherited from CashFlow
bool	hasOccurred (const Date &refDate=Date(), boost::optional< bool > includeRefDate=boost::none) const
	returns true if an event has already occurred before a date More...
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
Event interface
Visitability
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)
void	registerWithObservables (const boost::shared_ptr< Observer > &)
Size	unregisterWith (const boost::shared_ptr< Observable > &)
void	unregisterWithAll ()

Additional Inherited Members
Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator

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 ( ) const

virtual

Note

This is inherited from the event class

Implements CashFlow.

Real amount ( ) const

virtual

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.

void update ( )

virtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.