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QuantLib_IndexedCashFlow

NAME

QuantLib::IndexedCashFlow -

Cash flow dependent on an index ratio.

SYNOPSIS

#include <ql/cashflows/indexedcashflow.hpp>

Inherits QuantLib::CashFlow, and QuantLib::Observer.

Public Member Functions

IndexedCashFlow (Real notional, const boost::shared_ptr< Index > &index, const Date &baseDate, const Date &fixingDate, const Date &paymentDate, bool growthOnly=false)

virtual Real notional () const

virtual Date baseDate () const

virtual Date fixingDate () const

virtual boost::shared_ptr< Index > index () const

virtual bool growthOnly () const

Event interface

 

Date date () const

CashFlow interface

 

Real amount () const

Visitability

 

virtual void accept (AcyclicVisitor &)

Observer interface

 

void update ()

Detailed Description

Cash flow dependent on an index ratio.

This cash flow is not a coupon, i.e., there's no accrual. The amount is either i(T)/i(0) or i(T)/i(0) - 1, depending on the growthOnly parameter.

We expect this to be used inside an instrument that does all the date adjustment etc., so this takes just dates and does not change them. growthOnly = false means i(T)/i(0), which is a bond-type setting. growthOnly = true means i(T)/i(0) - 1, which is a swap-type setting.

Member Function Documentation

void update () [virtual]This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Author

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