C# Class QLNet.IndexedCashFlow

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.

Inheritance: CashFlow

Mostrar archivo Open project: ammachado/QLNet Class Usage Examples

Public Methods

Method	Description
IndexedCashFlow ( double notional, Index index, QLNet.Date baseDate, QLNet.Date fixingDate, QLNet.Date paymentDate )
IndexedCashFlow ( double notional, Index index, QLNet.Date baseDate, QLNet.Date fixingDate, QLNet.Date paymentDate, bool growthOnly )
amount ( ) : double
baseDate ( ) : QLNet.Date
fixingDate ( ) : QLNet.Date
growthOnly ( ) : bool
index ( ) : Index
notional ( ) : double

Method Details

IndexedCashFlow() public method

public IndexedCashFlow ( double notional, Index index, QLNet.Date baseDate, QLNet.Date fixingDate, QLNet.Date paymentDate )
notional	double
index	Index
baseDate	QLNet.Date
fixingDate	QLNet.Date
paymentDate	QLNet.Date

IndexedCashFlow() public method

public IndexedCashFlow ( double notional, Index index, QLNet.Date baseDate, QLNet.Date fixingDate, QLNet.Date paymentDate, bool growthOnly )
notional	double
index	Index
baseDate	QLNet.Date
fixingDate	QLNet.Date
paymentDate	QLNet.Date
growthOnly	bool

amount() public method

public amount ( ) : double
return	double

baseDate() public method

public baseDate ( ) : QLNet.Date
return	QLNet.Date

fixingDate() public method

public fixingDate ( ) : QLNet.Date
return	QLNet.Date

growthOnly() public method

public growthOnly ( ) : bool
return	bool

index() public method

public index ( ) : Index
return	Index

notional() public method

public notional ( ) : double
return	double