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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Chris Kenyon
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
<https://www.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.
*/
#include <ql/cashflows/indexedcashflow.hpp>
#include <ql/index.hpp>
#include <utility>
namespace QuantLib {
IndexedCashFlow::IndexedCashFlow(Real notional,
ext::shared_ptr<Index> index,
const Date& baseDate,
const Date& fixingDate,
const Date& paymentDate,
bool growthOnly)
: notional_(notional), index_(std::move(index)), baseDate_(baseDate), fixingDate_(fixingDate),
paymentDate_(paymentDate), growthOnly_(growthOnly) {
QL_REQUIRE(index_, "no index provided");
registerWith(index_);
}
Real IndexedCashFlow::amount() const {
calculate();
return amount_;
}
void IndexedCashFlow::performCalculations() const {
Real I0 = baseFixing();
Real I1 = indexFixing();
if (growthOnly_)
amount_ = notional() * (I1 / I0 - 1.0);
else
amount_ = notional() * (I1 / I0);
}
}
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