Class implements the concept of fixed cash flow. More...

#include <FixedCashFlow.hpp>

Inheritance diagram for julian::FixedCashFlow:

Public Member Functions
	FixedCashFlow (Date start, Date end, Date payment, double amount, double notional, bool notional_is_paid)
	constructor More...

	FixedCashFlow (Date start, Date end, Date payment, double q, double notional, InterestRate rate, bool notional_is_paid)
	constructor More...

virtual double	price (const SmartPointer< ir::Curve > &disc) override
	discounts the cashflow More...

double	value (const SmartPointer< ir::Curve > &disc) override
	prints discounted the cashflow More...

virtual Date	getDate () const override
	returns payment date More...

virtual double	getNotional () const override
	returns notional More...

virtual double	getCF () const override
	returns CF More...

void	setCashFlow (double amount) override
	sets new CF value More...

void	setCashFlow (double quote, const InterestRate &rate) override
	calculates new CF value basing on quoting and interest rate provided More...

void	setCashFlow (const SmartPointer< ir::Curve > &) override
	sets new CF value basing on interest rate curve More...

virtual void	addToCashFlow (double amount)
	Increases CF by provided amount. More...

virtual void	addToCashFlow (double quote, InterestRate rate)
	Increases CF by amount calculated using quote and rate provided. More...

virtual FixedCashFlow *	clone () const
	virtual copy constructor More...

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

Private Member Functions
template<class Archive >
void	serialize (Archive &ar, const unsigned int)
	interface used by Boost serialization library More...

Private Attributes
Date	accrual_start_
	Date determining the beginning of accrual period. More...

Date	accrual_end_
	Date determining the end of accrual period. More...

Date	payment_date_
	Date on which the CF is paid. More...

double	notional_
	Notional of the CF. More...

double	amount_
	Amount paid on payment_date_. More...

bool	notional_is_paid_
	If true notional of CF is paid on payment date with accrued amount. More...

Friends
class	boost::serialization::access

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

Detailed Description

Class implements the concept of fixed cash flow.

Fixed cash flow is predefined amount paid on predefined date. Usually fixed cash flow is determined by interest rate given and length of accrual period covering time interval between FixedCashFlow::accrual_start_ and FixedCashFlow::accrual_end_ date.

Constructor & Destructor Documentation

julian::FixedCashFlow::FixedCashFlow	(	Date	start,
		Date	end,
		Date	payment,
		double	amount,
		double	notional,
		bool	notional_is_paid
	)

constructor

Creates FixedCashFlow basing on provided dates and amount

julian::FixedCashFlow::FixedCashFlow	(	Date	start,
		Date	end,
		Date	payment,
		double	quote,
		double	notional,
		InterestRate	rate,
		bool	notional_is_paid
	)

constructor

Creates FixedCashFlow basing on provided dates, interest rate and quoting

Member Function Documentation

void julian::FixedCashFlow::addToCashFlow ( double amount )

virtual

Increases CF by provided amount.

void julian::FixedCashFlow::addToCashFlow	(	double	quote,
		InterestRate	rate
	)

virtual

Increases CF by amount calculated using quote and rate provided.

FixedCashFlow * julian::FixedCashFlow::clone ( ) const

virtual

virtual copy constructor

Implements julian::CashFlow.

double julian::FixedCashFlow::getCF ( ) const

overridevirtual

returns CF

Implements julian::CashFlow.

Date julian::FixedCashFlow::getDate ( ) const

overridevirtual

returns payment date

Implements julian::CashFlow.

double julian::FixedCashFlow::getNotional ( ) const

overridevirtual

returns notional

Implements julian::CashFlow.

double julian::FixedCashFlow::price ( const SmartPointer< ir::Curve > & disc )

overridevirtual

discounts the cashflow

Method discount the cashflow on the curve valuation date.

Implements julian::CashFlow.

template<class Archive >

void julian::FixedCashFlow::serialize	(	Archive &	ar,
		const unsigned	int
	)

private

interface used by Boost serialization library

void julian::FixedCashFlow::setCashFlow ( double amount )

overridevirtual

sets new CF value

Implements julian::CashFlow.

void julian::FixedCashFlow::setCashFlow	(	double	quote,
		const InterestRate &	rate
	)

overridevirtual

calculates new CF value basing on quoting and interest rate provided

Implements julian::CashFlow.

void julian::FixedCashFlow::setCashFlow ( const SmartPointer< ir::Curve > & )

inlineoverridevirtual

sets new CF value basing on interest rate curve

Implements julian::CashFlow.

double julian::FixedCashFlow::value ( const SmartPointer< ir::Curve > & disc )

overridevirtual

prints discounted the cashflow

Method calculates discounted cashflow on the curve valuation date and then prints it

Implements julian::CashFlow.

Friends And Related Function Documentation

std::ostream& operator<<	(	std::ostream &	s,
		FixedCashFlow &	f
	)

friend

Overloads stream operator.

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

Member Data Documentation

Date julian::FixedCashFlow::accrual_end_

private

Date determining the end of accrual period.

Date julian::FixedCashFlow::accrual_start_

private

Date determining the beginning of accrual period.

double julian::FixedCashFlow::amount_

private

Amount paid on payment_date_.

double julian::FixedCashFlow::notional_

private

Notional of the CF.

bool julian::FixedCashFlow::notional_is_paid_

private

If true notional of CF is paid on payment date with accrued amount.

Date julian::FixedCashFlow::payment_date_

private

Date on which the CF is paid.

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

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

Public Member Functions

Private Member Functions

Private Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Friends And Related Function Documentation

Member Data Documentation