Class implements a deposit contract. More...

#include <deposit.hpp>

Inheritance diagram for julian::Deposit:

Public Member Functions
	Deposit (Date trade_date, Date start_date, Date end_date, InterestRate rate, double notional, double quoting)
	constructor More...

Deposit *	clone () const
	Virtual copy constructor. More...

Linear instrument interface
double	price (const SmartPointer< ir::Curve > &)
	calculates price of deposit by summing the discounted CFs More...

double	price (const SmartPointer< ir::Curve > &discounting1, const SmartPointer< ir::Curve > &, const SmartPointer< ir::Curve > &, const SmartPointer< ir::Curve > &)
	calculates price of deposit by summing the discounted CFs More...

void	valuation (const SmartPointer< ir::Curve > &)
	prints price and CFs of deposit More...

void	valuation (const SmartPointer< ir::Curve > &discounting1, const SmartPointer< ir::Curve > &discounting2, const SmartPointer< ir::Curve > &projecting1, const SmartPointer< ir::Curve > &projecting2)
	prints price and CFs of deposit using curve provided More...

Building Block interface
Date	getDate () const override
	returns maturity of deposit More...

std::pair< CashFlowVector, CashFlowVector >	getCFs () const override
	Returns the sets of cashflows associated with deposit. More...

InterestRate	getInterestRate () const override
	Returns interest rates convention of deposit. More...

double	calibrate (const SmartPointer< ir::Curve > &calibrated) override
	Method calibrate is used by root finding estimator. More...

double	calibrate (const SmartPointer< ir::Curve > &discounting, const SmartPointer< ir::Curve > &projection, const SmartPointer< ir::Curve > &calibrated) override
	Method calibrate is used by root finding estimator. More...

double	getParRate (const SmartPointer< ir::Curve > &discounting, const SmartPointer< ir::Curve > &projection, const SmartPointer< ir::Curve > &projection2) override
	Implies quoting of benchmark instrument from interest rate curves provided. More...

double	getQuoting () override
	Returns quoting. More...

void	changeQuoting (double) override
	changes quoting of the deposit More...

std::string	info () const override
	returns the name of instrument: Deposit More...

Public Member Functions inherited from julian::LinearInstrument
	LinearInstrument ()
	constructor More...

virtual	~LinearInstrument ()
	destructor More...

Public Member Functions inherited from julian::ir::BuildingBlock
virtual	~BuildingBlock ()
	destructor More...

Private Attributes
Date	trade_date_
	The date on which deposit is dealt. More...

InterestRate	rate_
	Convention of interest rates. More...

double	quoting_
	Deposit interest rate. More...

CashFlowVector	cfs_
	Deposit cashflows . More...

Friends
std::ostream &	operator<< (std::ostream &, Deposit &)
	Overloads stream operator. More...

Detailed Description

Class implements a deposit contract.

Class models the interbank deposit - one bank holding funds of another bank and paying interest rate.

Examples:: bootstrapperComparison.cpp, and DepositExample.cpp.

Constructor & Destructor Documentation

julian::Deposit::Deposit	(	Date	trade_date,
		Date	start_date,
		Date	end_date,
		InterestRate	rate,
		double	notional,
		double	quoting
	)

constructor

Member Function Documentation

double julian::Deposit::calibrate ( const SmartPointer< ir::Curve > & calibrated )

overridevirtual

Method calibrate is used by root finding estimator.

The estimator calibrates curve by finding the root of this method.

Implements julian::ir::BuildingBlock.

double julian::Deposit::calibrate	(	const SmartPointer< ir::Curve > &	discounting,
		const SmartPointer< ir::Curve > &	projection,
		const SmartPointer< ir::Curve > &	calibrated
	)

overridevirtual

Method calibrate is used by root finding estimator.

The estimator calibrates curve by finding the root of this method.

Implements julian::ir::BuildingBlock.

void julian::Deposit::changeQuoting ( double input )

overridevirtual

changes quoting of the deposit

Implements julian::ir::BuildingBlock.

Deposit * julian::Deposit::clone ( ) const

virtual

Virtual copy constructor.

Implements julian::LinearInstrument.

std::pair< CashFlowVector, CashFlowVector > julian::Deposit::getCFs ( ) const

overridevirtual

Returns the sets of cashflows associated with deposit.

Note: Second Cash Flow Vector is empty

Implements julian::ir::BuildingBlock.

Date julian::Deposit::getDate ( ) const

overridevirtual

returns maturity of deposit

Implements julian::ir::BuildingBlock.

InterestRate julian::Deposit::getInterestRate ( ) const

overridevirtual

Returns interest rates convention of deposit.

Implements julian::ir::BuildingBlock.

double julian::Deposit::getParRate	(	const SmartPointer< ir::Curve > &	discounting,
		const SmartPointer< ir::Curve > &	projection,
		const SmartPointer< ir::Curve > &	projection2
	)

overridevirtual

Implies quoting of benchmark instrument from interest rate curves provided.

Implements julian::ir::BuildingBlock.

double julian::Deposit::getQuoting ( )

overridevirtual

Returns quoting.

Implements julian::ir::BuildingBlock.

std::string julian::Deposit::info ( ) const

overridevirtual

returns the name of instrument: Deposit

Implements julian::ir::BuildingBlock.

double julian::Deposit::price ( const SmartPointer< ir::Curve > & c )

virtual

calculates price of deposit by summing the discounted CFs

Parameters

c	discounting curve

Implements julian::LinearInstrument.

double julian::Deposit::price	(	const SmartPointer< ir::Curve > &	c,
		const SmartPointer< ir::Curve > &	,
		const SmartPointer< ir::Curve > &	,
		const SmartPointer< ir::Curve > &
	)

virtual

calculates price of deposit by summing the discounted CFs

Parameters

c	discounting curve

Implements julian::LinearInstrument.

void julian::Deposit::valuation ( const SmartPointer< ir::Curve > & curve )

virtual

prints price and CFs of deposit

Implements julian::LinearInstrument.

Examples:: DepositExample.cpp.

void julian::Deposit::valuation	(	const SmartPointer< ir::Curve > &	discounting1,
		const SmartPointer< ir::Curve > &	discounting2,
		const SmartPointer< ir::Curve > &	projecting1,
		const SmartPointer< ir::Curve > &	projecting2
	)

virtual

prints price and CFs of deposit using curve provided

Implements julian::LinearInstrument.

Friends And Related Function Documentation

std::ostream& operator<<	(	std::ostream &	s,
		Deposit &	d
	)

friend

Overloads stream operator.

This overloaded operator enables to print the curve on the console.

Member Data Documentation

CashFlowVector julian::Deposit::cfs_

private

Deposit cashflows .

double julian::Deposit::quoting_

private

Deposit interest rate.

InterestRate julian::Deposit::rate_

private

Convention of interest rates.

Date julian::Deposit::trade_date_

private

The date on which deposit is dealt.

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

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

Public Member Functions

Private Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Friends And Related Function Documentation

Member Data Documentation