DiscountingForwardBondEngine Class Reference

Discounting Forward Bond Engine. More...

#include <qle/pricingengines/discountingforwardbondengine.hpp>

Inheritance diagram for DiscountingForwardBondEngine:

Public Member Functions
	DiscountingForwardBondEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< YieldTermStructure > &incomeCurve, const Handle< YieldTermStructure > &bondReferenceYieldCurve, const Handle< Quote > &bondSpread, const Handle< DefaultProbabilityTermStructure > &defaultCurve, const Handle< Quote > &recoveryRate, Period timestepPeriod, boost::optional< bool > includeSettlementDateFlows=boost::none, const Date &settlementDate=Date(), const Date &npvDate=Date())
void	calculate () const override
Real	calculateBondNpv (Date, Date) const
boost::tuple< Real, Real >	calculateForwardContractPresentValue (Real spotValue, Real cmpPayment, Date npvDate, Date computeDate, Date settlementDate, bool cashSettlement, Date cmpPaymentDate, bool dirty) const
const Handle< YieldTermStructure > &	discountCurve () const
const Handle< YieldTermStructure > &	incomeCurve () const
const Handle< YieldTermStructure > &	bondReferenceYieldCurve () const
const Handle< Quote > &	bondSpread () const
const Handle< DefaultProbabilityTermStructure > &	bondDefaultCurve () const
const Handle< Quote > &	bondRecoveryRate () const

Detailed Description

Discounting Forward Bond Engine.