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

#include <FloatingCashFlow.hpp>

Inheritance diagram for julian::FloatingCashFlow:

Public Member Functions
	FloatingCashFlow (Date acc_start, Date acc_end, Date fix_start, Date fix_end, Date payment, double n, double additive_margin, double multiplicative_margin, bool notional_is_paid)
	constructor More...

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

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

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

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

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

void	setCashFlow (double amount)
	sets the cash flow More...

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

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

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

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

Public Member Functions inherited from julian::CashFlow
virtual	~CashFlow ()
	destructor 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	fixing_start_
	Date of fixings the benchmark rate. More...

Date	fixing_end_
	Benchmark rate maturity date. 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...

double	additive_margin_
	Margin added to benchmark date. More...

double	multiplicative_margin_
	Margin multiplying to benchmark 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 &, FloatingCashFlow &)
	Overloads stream operator. More...

Detailed Description

Class implements the concept of floating cash flow.

Floating cash flow is paid on predefined date. Amount of cash paid is dependent on predefined market benchmark. Market benchmark is defined by FloatingCashFlow::fixing_start_ and FloatingCashFlow::fixing_end_ dates. On fixing start date we observe a benchmark rate, which matures on fixing end date. One can modify the amount of CF by additive or multiplicative margin.

Usually floating CF is determined by interest rate given and length of accrual period covering time interval between FloatingCashFlow::accrual_start_ and FloatingCashFlow::accrual_end_ date.

Constructor & Destructor Documentation

julian::FloatingCashFlow::FloatingCashFlow	(	Date	acc_start,
		Date	acc_end,
		Date	fix_start,
		Date	fix_end,
		Date	payment,
		double	n,
		double	additive_margin,
		double	multiplicative_margin,
		bool	notional_is_paid
	)

constructor

Creates FloatingCashFlow basing on provided dates and amount

Member Function Documentation

FloatingCashFlow * julian::FloatingCashFlow::clone ( ) const

virtual

virtual copy constructor

Implements julian::CashFlow.

double julian::FloatingCashFlow::getCF ( ) const

virtual

returns CF

Implements julian::CashFlow.

Date julian::FloatingCashFlow::getDate ( ) const

virtual

returns payment date

Implements julian::CashFlow.

double julian::FloatingCashFlow::getNotional ( ) const

virtual

returns notional

Implements julian::CashFlow.

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

virtual

discounts the cashflow

Method discount the cashflow on the curve valuation date.

Implements julian::CashFlow.

template<class Archive >

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

interface used by Boost serialization library

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

virtual

sets the cash flow

Implements julian::CashFlow.

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

virtual

calculates new CF value basing on quoting and interest rate provided

Implements julian::CashFlow.

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

virtual

sets new CF value basing on interest rate curve

Implements julian::CashFlow.

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

virtual

prints discounted cashflows

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,
		FloatingCashFlow &	cf
	)

friend

Overloads stream operator.

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

Member Data Documentation

Date julian::FloatingCashFlow::accrual_end_

private

Date determining the end of accrual period.

Date julian::FloatingCashFlow::accrual_start_

private

Date determining the beginning of accrual period.

double julian::FloatingCashFlow::additive_margin_

private

Margin added to benchmark date.

double julian::FloatingCashFlow::amount_

private

Amount paid on payment_date_.

Date julian::FloatingCashFlow::fixing_end_

private

Benchmark rate maturity date.

Date julian::FloatingCashFlow::fixing_start_

private

Date of fixings the benchmark rate.

double julian::FloatingCashFlow::multiplicative_margin_

private

Margin multiplying to benchmark date.

double julian::FloatingCashFlow::notional_

private

Notional of the CF.

bool julian::FloatingCashFlow::notional_is_paid_

private

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

Date julian::FloatingCashFlow::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/FloatingCashFlow.hpp
C:/Unix/home/OEM/jULIAN/src/instruments/FloatingCashFlow.cpp

Public Member Functions

Private Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Friends And Related Function Documentation

Member Data Documentation