- QuantLib
- IndexedCashFlow
Cash flow dependent on an index ratio. More...
#include <ql/cashflows/indexedcashflow.hpp>
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 |
returns the amount of the cash flow | |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
Observer interface | |
void | update () |
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.
returns the amount of the cash flow
Implements CashFlow.
Reimplemented in CPICashFlow.