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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2021 Ralf Konrad Eckel
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/zeroinflationcashflow.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/termstructures/inflationtermstructure.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
namespace QuantLib {
ZeroInflationCashFlow::ZeroInflationCashFlow(Real notional,
const ext::shared_ptr<ZeroInflationIndex>& index,
CPI::InterpolationType observationInterpolation,
const Date& startDate,
const Date& endDate,
const Period& observationLag,
const Date& paymentDate,
bool growthOnly)
: IndexedCashFlow(notional, index,
startDate - observationLag, endDate - observationLag,
paymentDate, growthOnly),
zeroInflationIndex_(index), interpolation_(observationInterpolation),
startDate_(startDate), endDate_(endDate), observationLag_(observationLag) {}
Real ZeroInflationCashFlow::baseFixing() const {
return CPI::laggedFixing(zeroInflationIndex_, startDate_, observationLag_, interpolation_);
}
Real ZeroInflationCashFlow::indexFixing() const {
return CPI::laggedFixing(zeroInflationIndex_, endDate_, observationLag_, interpolation_);
}
void ZeroInflationCashFlow::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<ZeroInflationCashFlow>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
IndexedCashFlow::accept(v);
}
}
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