julian/a00323_source.html

 #ifndef JULIAN_FLOATINGCASHFLOW_HPP
 #define JULIAN_FLOATINGCASHFLOW_HPP

 #include <instruments/CashFlow.hpp>

 namespace julian {

   class FloatingCashFlow : public CashFlow {
   public:
     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);
     virtual double price(const SmartPointer<ir::Curve>& disc);
     double value(const SmartPointer<ir::Curve>& disc);
     virtual Date getDate() const;
     virtual double getCF() const;
     virtual double getNotional() const;

     void setCashFlow(double amount);
     void setCashFlow(double quote, const InterestRate& rate);
     void setCashFlow(const SmartPointer<ir::Curve>&);
     virtual FloatingCashFlow* clone() const;
     virtual ~FloatingCashFlow(){};

     friend std::ostream& operator<<(std::ostream&, FloatingCashFlow&);
     friend class boost::serialization::access;
     template<class Archive>
     void serialize(Archive & ar, const unsigned int);
   private:
     Date accrual_start_;
     Date accrual_end_;
     Date fixing_start_;
     Date fixing_end_;
     Date payment_date_;
     double notional_;
     double amount_;
     double additive_margin_;
     double multiplicative_margin_;
     bool notional_is_paid_;
   };

   template<class Archive>
   void FloatingCashFlow::serialize(Archive & ar, const unsigned int) {
     boost::serialization::base_object<CashFlow>(*this);
     ar & BOOST_SERIALIZATION_NVP(accrual_start_);
     ar & BOOST_SERIALIZATION_NVP(accrual_end_);
     ar & BOOST_SERIALIZATION_NVP(fixing_start_);
     ar & BOOST_SERIALIZATION_NVP(fixing_end_);
     ar & BOOST_SERIALIZATION_NVP(payment_date_);
     ar & BOOST_SERIALIZATION_NVP(notional_);
     ar & BOOST_SERIALIZATION_NVP(amount_);
     ar & BOOST_SERIALIZATION_NVP(additive_margin_);
     ar & BOOST_SERIALIZATION_NVP(multiplicative_margin_);
     ar & BOOST_SERIALIZATION_NVP(notional_is_paid_);
   }

 }  // namespace julian

 #endif /* FLOATINGCASHFLOW_HPP */
julian::CashFlow
Class implements the general concept of CF understand as certain amount paid on predefined date...
Definition: CashFlow.hpp:22

CashFlow.hpp
File contains definition of cash flow class.

julian::FloatingCashFlow::amount_
double amount_
Amount paid on payment_date_.
Definition: FloatingCashFlow.hpp:53

julian::FloatingCashFlow::fixing_start_
Date fixing_start_
Date of fixings the benchmark rate.
Definition: FloatingCashFlow.hpp:47

julian::FloatingCashFlow::accrual_start_
Date accrual_start_
Date determining the beginning of accrual period.
Definition: FloatingCashFlow.hpp:45

julian
Definition: cadHoliday.cpp:3

julian::FloatingCashFlow::additive_margin_
double additive_margin_
Margin added to benchmark date.
Definition: FloatingCashFlow.hpp:54

julian::FloatingCashFlow::serialize
void serialize(Archive &ar, const unsigned int)
interface used by Boost serialization library
Definition: FloatingCashFlow.hpp:63

julian::SmartPointer< ir::Curve >

julian::FloatingCashFlow::getCF
virtual double getCF() const
returns CF
Definition: FloatingCashFlow.cpp:96

julian::FloatingCashFlow::clone
virtual FloatingCashFlow * clone() const
virtual copy constructor
Definition: FloatingCashFlow.cpp:52

julian::FloatingCashFlow::getDate
virtual Date getDate() const
returns payment date
Definition: FloatingCashFlow.cpp:30

julian::FloatingCashFlow::accrual_end_
Date accrual_end_
Date determining the end of accrual period.
Definition: FloatingCashFlow.hpp:46

julian::FloatingCashFlow::value
double value(const SmartPointer< ir::Curve > &disc)
prints discounted cashflows
Definition: FloatingCashFlow.cpp:38

julian::FloatingCashFlow::operator<<
friend std::ostream & operator<<(std::ostream &, FloatingCashFlow &)
Overloads stream operator.
Definition: FloatingCashFlow.cpp:89

julian::FloatingCashFlow::multiplicative_margin_
double multiplicative_margin_
Margin multiplying to benchmark date.
Definition: FloatingCashFlow.hpp:55

julian::FloatingCashFlow::getNotional
virtual double getNotional() const
returns notional
Definition: FloatingCashFlow.cpp:102

julian::FloatingCashFlow
Class implements the concept of floating cash flow.
Definition: FloatingCashFlow.hpp:24

julian::Date
Class implements a date object.
Definition: date.hpp:27

julian::FloatingCashFlow::notional_
double notional_
Notional of the CF.
Definition: FloatingCashFlow.hpp:52

julian::FloatingCashFlow::setCashFlow
void setCashFlow(double amount)
sets the cash flow
Definition: FloatingCashFlow.cpp:58

julian::FloatingCashFlow::payment_date_
Date payment_date_
Date on which the CF is paid.
Definition: FloatingCashFlow.hpp:50

julian::InterestRate
The class implements the concept of interest rate.
Definition: interestRate.hpp:25

julian::FloatingCashFlow::notional_is_paid_
bool notional_is_paid_
If true notional of CF is paid on payment date with accrued amount.
Definition: FloatingCashFlow.hpp:57

julian::FloatingCashFlow::fixing_end_
Date fixing_end_
Benchmark rate maturity date.
Definition: FloatingCashFlow.hpp:48

julian::FloatingCashFlow::price
virtual double price(const SmartPointer< ir::Curve > &disc)
discounts the cashflow
Definition: FloatingCashFlow.cpp:22