QuantLib_IndexedCashFlow man page

IndexedCashFlow — Cash flow dependent on an index ratio.  


#include <ql/cashflows/indexedcashflow.hpp>

Inherits CashFlow, and Observer.

Inherited by CPICashFlow.

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


virtual void accept (AcyclicVisitor &)

Observer interface

void update ()

Additional Inherited Members

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

Date date () const [virtual]


This is inherited from the event class

Implements CashFlow.

Real amount () const [virtual]

returns the amount of the cash flow


The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.

Implements CashFlow.

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.


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Referenced By

The man page IndexedCashFlow(3) is an alias of QuantLib_IndexedCashFlow(3).

Wed Aug 2 2017 Version 1.10 QuantLib