CashflowCalculator Class Reference

CashflowCalculator. More...

#include <orea/engine/valuationcalculator.hpp>

Inheritance diagram for CashflowCalculator:

Public Member Functions
	CashflowCalculator (const std::string &baseCcyCode, const Date &t0Date, const boost::shared_ptr< DateGrid > &dateGrid, Size index)
	Constructor takes the base ccy, date grid and index of cube to write to.
virtual void	calculate (const boost::shared_ptr< Trade > &trade, Size tradeIndex, const boost::shared_ptr< SimMarket > &simMarket, boost::shared_ptr< NPVCube > &outputCube, boost::shared_ptr< NPVCube > &outputCubeNettingSet, const Date &date, Size dateIndex, Size sample, bool isCloseOut=false) override
virtual void	calculateT0 (const boost::shared_ptr< Trade > &trade, Size tradeIndex, const boost::shared_ptr< SimMarket > &simMarket, boost::shared_ptr< NPVCube > &outputCube, boost::shared_ptr< NPVCube > &outputCubeNettingSet) override
void	init (const boost::shared_ptr< Portfolio > &portfolio, const boost::shared_ptr< SimMarket > &simMarket) override
void	initScenario () override

Detailed Description

CashflowCalculator.

Calculates the cashflow, converted to base ccy, from t to t+1, this interval is defined by the provided dategrid The interval is (t, t+1], i.e. we exclude todays flows and include flows that fall exactly on t+1. For t0 we do nothing (and so the cube will have a 0 value)