FXLinkedCashFlow Class Reference

FX Linked cash-flow. More...

#include <qle/cashflows/fxlinkedcashflow.hpp>

Inheritance diagram for FXLinkedCashFlow:

Public Member Functions
	FXLinkedCashFlow (const Date &cashFlowDate, const Date &fixingDate, Real foreignAmount, QuantLib::ext::shared_ptr< FxIndex > fxIndex)
CashFlow interface
Date	date () const override
Real	amount () const override
Visitability
void	accept (AcyclicVisitor &) override
Observer interface
void	update () override
Public Member Functions inherited from FXLinked
	FXLinked (const Date &fixingDate, Real foreignAmount, QuantLib::ext::shared_ptr< FxIndex > fxIndex)
Date	fxFixingDate () const
Real	foreignAmount () const
const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex () const
Real	fxRate () const

FXLinked interface
QuantLib::ext::shared_ptr< FXLinked >	clone (QuantLib::ext::shared_ptr< FxIndex > fxIndex) override

Additional Inherited Members
Protected Attributes inherited from FXLinked
Date	fxFixingDate_
Real	foreignAmount_
QuantLib::ext::shared_ptr< FxIndex >	fxIndex_

Detailed Description

FX Linked cash-flow.

Cashflow of Domestic currency where the amount is fx linked to some fixed foreign amount.

For example: a JPY flow based off 1M USD, if the USDJPY FX rate is 123.45 then the JPY amount is 123.45 M JPY.

FXLinkedCashFlow checks the FX fixing date against the eval date

For future fixings (date > eval) this class calculates the FX Fwd rate (using the provided FX Spot rate and FOR and DOM yield curves)

For todays fixing (date = eval) this class converts the foreign amount using the provided FX Spot rate.

For previous fixings (date < eval) this class checks the QuantLib IndexManager to get the FX fixing at which the foreign rate should be converted at. The name of the index is a parameter to the constructor.

This is not a lazy object.