Class implements Builder that helps to construct vector of cash flows. More...

#include <CashFlowBuilder.hpp>

Public Member Functions
	CashFlowBuilder ()
	constructor More...

CashFlowBuilder &	usingCalendar (const Calendar &)
	provides calendar used in calculating dates More...

CashFlowBuilder &	withTenor (const Tenor &)
	provides tenor of last date More...

CashFlowBuilder &	withStartDate (const Date &)
	provides starting date More...

CashFlowBuilder &	withEndDate (const Date &)
	payment of last CF More...

CashFlowBuilder &	withNotional (const double)
	provide notional More...

CashFlowBuilder &	withQuote (const double)
	provides quote More...

CashFlowBuilder &	withFxRate (const double)
	provide Fx Spot More...

CashFlowBuilder &	withAdditiveMargin (const double)
	adds margin to floating CFs More...

CashFlowBuilder &	withMultiplicativeMargin (const double)
	adds multiplicative margin to floating CFs More...

CashFlowBuilder &	withFixing (const std::map< Date, double > &)
	provides fixings, if fixing dates match CF dates, the value CF are set More...

CashFlowBuilder &	withInterestRate (const InterestRate &)
	provides interest rate convention More...

CashFlowBuilder &	withPaymentFrequency (Frequency)
	frequency of payments More...

CashFlowBuilder &	withExchangeOfNotional (bool)
	If exchange of notional is set to true, notional is added to first and last CF. More...

CashFlowBuilder &	buildFloatingCashFlows ()
	builds Floating CFs More...

CashFlowBuilder &	buildFixedCashFlows ()
	builds Fixed CFs More...

	operator CashFlowVector ()
	Convert CashFlowBuilder to CashFlowVector. More...

Private Member Functions
void	fixedCFWithExchangeOfNotional ()
	Constructs the CashFlowVector with fixed cash flows, the first and the last CF contain notional. More...

void	fixedCFWithoutExchangeOfNotional ()
	Constructs the CashFlowVector with fixed cash flows,. More...

Private Attributes
CashFlowVector	cfv_
	Cash flow vector. More...

double	notional_
	Notional of the cash flows. More...

Tenor	tenor_
	Tenor of the last CF. More...

Calendar	calendar_
	Calendar used in construction of CF vector. More...

Frequency	frequency_
	Frequency of CFs. More...

Date	start_date_
	Start date of first CFs. More...

Date	end_date_
	Payment of last CFs. More...

double	quote_
	Quote used to calculate the fixed cashflow. More...

double	additive_margin_
	Additive margin used by floating cashflows. More...

double	multiplicative_margin_
	Multiplicative margin used by floating cashflows. More...

double	fx_rate_
	FxRate. More...

std::map< Date, double >	fixings_
	Fixing used to determined pasted floating cash flows. More...

bool	exchange_of_notional_
	If exchange of notional is set to true the first and the last CFs contains notional. More...

InterestRate	rate_
	Interest rate convention. More...

Detailed Description

Class implements Builder that helps to construct vector of cash flows.

Constructor & Destructor Documentation

julian::CashFlowBuilder::CashFlowBuilder ( )

constructor

Member Function Documentation

CashFlowBuilder & julian::CashFlowBuilder::buildFixedCashFlows ( )

builds Fixed CFs

CashFlowBuilder & julian::CashFlowBuilder::buildFloatingCashFlows ( )

builds Floating CFs

void julian::CashFlowBuilder::fixedCFWithExchangeOfNotional ( )

private

Constructs the CashFlowVector with fixed cash flows, the first and the last CF contain notional.

void julian::CashFlowBuilder::fixedCFWithoutExchangeOfNotional ( )

private

Constructs the CashFlowVector with fixed cash flows,.

julian::CashFlowBuilder::operator CashFlowVector ( )

Convert CashFlowBuilder to CashFlowVector.

CashFlowBuilder & julian::CashFlowBuilder::usingCalendar ( const Calendar & input )

provides calendar used in calculating dates

CashFlowBuilder & julian::CashFlowBuilder::withAdditiveMargin ( const double input )

adds margin to floating CFs

CashFlowBuilder & julian::CashFlowBuilder::withEndDate ( const Date & input )

payment of last CF

If not provided end date calculated using tenor

CashFlowBuilder & julian::CashFlowBuilder::withExchangeOfNotional ( bool input )

If exchange of notional is set to true, notional is added to first and last CF.

CashFlowBuilder & julian::CashFlowBuilder::withFixing ( const std::map< Date, double > & input )

provides fixings, if fixing dates match CF dates, the value CF are set

CashFlowBuilder & julian::CashFlowBuilder::withFxRate ( const double input )

provide Fx Spot

CashFlowBuilder & julian::CashFlowBuilder::withInterestRate ( const InterestRate & input )

provides interest rate convention

CashFlowBuilder & julian::CashFlowBuilder::withMultiplicativeMargin ( const double input )

adds multiplicative margin to floating CFs

CashFlowBuilder & julian::CashFlowBuilder::withNotional ( const double input )

provide notional

CashFlowBuilder & julian::CashFlowBuilder::withPaymentFrequency ( Frequency f )

frequency of payments

CashFlowBuilder & julian::CashFlowBuilder::withQuote ( const double input )

provides quote

CashFlowBuilder & julian::CashFlowBuilder::withStartDate ( const Date & input )

provides starting date

CashFlowBuilder & julian::CashFlowBuilder::withTenor ( const Tenor & input )

provides tenor of last date

Used when end date is not provided

Member Data Documentation

double julian::CashFlowBuilder::additive_margin_

private

Additive margin used by floating cashflows.

Calendar julian::CashFlowBuilder::calendar_

private

Calendar used in construction of CF vector.

CashFlowVector julian::CashFlowBuilder::cfv_

private

Cash flow vector.

Date julian::CashFlowBuilder::end_date_

private

Payment of last CFs.

bool julian::CashFlowBuilder::exchange_of_notional_

private

If exchange of notional is set to true the first and the last CFs contains notional.

std::map<Date,double> julian::CashFlowBuilder::fixings_

private

Fixing used to determined pasted floating cash flows.

Frequency julian::CashFlowBuilder::frequency_

private

Frequency of CFs.

double julian::CashFlowBuilder::fx_rate_

private

FxRate.

double julian::CashFlowBuilder::multiplicative_margin_

private

Multiplicative margin used by floating cashflows.

double julian::CashFlowBuilder::notional_

private

Notional of the cash flows.

double julian::CashFlowBuilder::quote_

private

Quote used to calculate the fixed cashflow.

InterestRate julian::CashFlowBuilder::rate_

private

Interest rate convention.

Date julian::CashFlowBuilder::start_date_

private

Start date of first CFs.

Tenor julian::CashFlowBuilder::tenor_

private

Tenor of the last CF.

The documentation for this class was generated from the following files:

C:/Unix/home/OEM/jULIAN/src/instruments/CashFlowBuilder.hpp
C:/Unix/home/OEM/jULIAN/src/instruments/CashFlowBuilder.cpp

Public Member Functions

Private Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation