Discounting Forward Bond Engine. More...

#include <qle/pricingengines/discountingforwardbondengine.hpp>

Inheritance diagram for DiscountingForwardBondEngine:

Public Member Functions
	DiscountingForwardBondEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< DefaultProbabilityTermStructure > &creditCurve, const Handle< Quote > &conversionFactor)
	conversion factor is only used for deprecated representation of bond futures as bond forwards
void	calculate () const override
const Handle< YieldTermStructure > &	discountCurve () const
const Handle< Quote > &	conversionFactor () const
std::pair< QuantLib::Real, QuantLib::Real >	forwardPrice (const QuantLib::Date &forwardNpvDate, const QuantLib::Date &settlementDate, const bool conditionalOnSurvival=true, std::vector< CashFlowResults > const cfResults=nullptr, QuantLib::Leg const expectedCashflows=nullptr) const override

Detailed Description

Discounting Forward Bond Engine.

Member Function Documentation

std::pair< QuantLib::Real, QuantLib::Real > forwardPrice	(	const QuantLib::Date &	forwardNpvDate,
		const QuantLib::Date &	settlementDate,
		const bool	conditionalOnSurvival = true,
		std::vector< CashFlowResults > *const	cfResults = nullptr,
		QuantLib::Leg *const	expectedCashflows = nullptr ) const

overridevirtual