CashFlow.cpp

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#include "./cashflow.h"

CashFlow::CashFlow(SwapLeg swapLeg, Real fixedRate)
{
        flowAmount=swapLeg.returnAmounts();
        flowDates=swapLeg.returnDates();
        Date d;
        d.setDateToToday();
        flowAmount[0]=flowAmount[0]*fixedRate*(flowDates[0].serialNumber()-d.serialNumber())/365.0;
        for (Natural i=1;i<flowDates.size();i++) {
                flowAmount[i]=flowAmount[i]*fixedRate*(flowDates[i].serialNumber()-flowDates[i-1].serialNumber())/365.0;
        }
}

CashFlow::CashFlow(SwapLeg swapLeg, yieldCurve floatCurve)
{
        flowAmount=swapLeg.returnAmounts();
        flowDates=swapLeg.returnDates();
        Date d;
        d.setDateToToday();
        flowAmount[0]=flowAmount[0]*floatCurve.forwardRate(d,flowDates[0],Discrete)*(flowDates[0].serialNumber()-d.serialNumber())/365.0;
        for (Natural i=1;i<flowDates.size();i++) {
                flowAmount[i]=flowAmount[i]*floatCurve.forwardRate(flowDates[i-1],flowDates[i],Discrete)*(flowDates[i].serialNumber()-flowDates[i-1].serialNumber())/365.0;
        }
}

Real CashFlow::getFairValue(yieldCurve* curve)
{
        Real result=0;
        for (Natural i=0;i<flowAmount.size();i++) {
                result+=flowAmount[i]*curve->discountFactor(flowDates[i],Discrete);
        }
        return result;
}

CashFlow::~CashFlow(void)
{
}

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