PaymentDiscountingEngine Class Reference

Payment discounting engine. More...

#include <qle/pricingengines/paymentdiscountingengine.hpp>

Inheritance diagram for PaymentDiscountingEngine:

Public Member Functions
Constructors
	PaymentDiscountingEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &spotFX=Handle< Quote >(), QuantLib::ext::optional< bool > includeSettlementDateFlows=QuantLib::ext::nullopt, const Date &settlementDate=Date(), const Date &npvDate=Date())
PricingEngine interface
void	calculate () const override

Inspectors
const Handle< YieldTermStructure > &	discountCurve () const
const Handle< Quote > &	spotFX () const

Detailed Description

Payment discounting engine.

This class implements a discounting engine for a single cash flow. The cash flow is discounted using its currency's discount curve. Optionally, the NPV is converted into a different NPV currency. The FX spot rate for that purpose converts the in-currency NPV by multiplication.

Constructor & Destructor Documentation

PaymentDiscountingEngine()

PaymentDiscountingEngine	(	const Handle< YieldTermStructure > &	discountCurve,
		const Handle< Quote > &	spotFX = Handle< Quote >(),
		QuantLib::ext::optional< bool >	includeSettlementDateFlows = QuantLib::ext::nullopt,
		const Date &	settlementDate = Date(),
		const Date &	npvDate = Date() )

Parameters

discountCurve	Discount curve for the cash flow
spotFX	The market spot rate quote for multiplicative conversion into the NPV currency, can be empty
includeSettlementDateFlows,settlementDate	If includeSettlementDateFlows is true (false), cashflows on the settlementDate are (not) included in the NPV. If not given the settlement date is set to the npv date.
npvDate	Discount to this date. If not given the npv date is set to the evaluation date