CommodityPositionInstrumentWrapper Class Reference

Commodity Position instrument wrapper. More...

#include <ored/portfolio/commodityposition.hpp>

Inheritance diagram for CommodityPositionInstrumentWrapper:

Collaboration diagram for CommodityPositionInstrumentWrapper:

Classes
class	arguments
class	engine
class	results

Public Member Functions
	CommodityPositionInstrumentWrapper (const Real quantity, const std::vector< QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > > &commodities, const std::vector< Real > &weights, const std::vector< Handle< Quote > > &fxConversion={})

Instrument interface
Real	quantity_
std::vector< QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > >	commodities_
std::vector< Real >	weights_
std::vector< Handle< Quote > >	fxConversion_
Handle< Quote >	npvCcyConversion_
bool	isExpired () const override
void	setupArguments (QuantLib::PricingEngine::arguments *) const override
void	fetchResults (const QuantLib::PricingEngine::results *) const override
void	setNpvCurrencyConversion (const Handle< Quote > &npvCcyConversion)
void	setupExpired () const override

Detailed Description

Commodity Position instrument wrapper.

Definition at line 84 of file commodityposition.hpp.

Constructor & Destructor Documentation

CommodityPositionInstrumentWrapper()

CommodityPositionInstrumentWrapper	(	const Real	quantity,
		const std::vector< QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > > &	commodities,
		const std::vector< Real > &	weights,
		const std::vector< Handle< Quote > > &	fxConversion = {}
	)

Definition at line 155 of file commodityposition.cpp.

    : quantity_(quantity), commodities_(commodities), weights_(weights), fxConversion_(fxConversion) {
    QL_REQUIRE(commodities_.size() == weights_.size(), "CommodityPositionInstrumentWrapper: commodities size ("
                                                           << commodities_.size() << ") must match weights size ("
                                                        << weights_.size() << ")");
    QL_REQUIRE(fxConversion_.empty() || fxConversion_.size() == commodities_.size(),
               "CommodityPositionInstrumentWrapper: fxConversion size ("
                   << fxConversion_.size() << ") must match commodities size (" << commodities_.size() << ")");
    for (auto const& i : commodities_)
        registerWith(i);
    for (auto const& f : fxConversion_)
        registerWith(f);
    registerWith(npvCcyConversion_);
}

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 176 of file commodityposition.cpp.

{ return false; }

setupArguments()

void setupArguments ( QuantLib::PricingEngine::arguments *  ) const

override

Definition at line 180 of file commodityposition.cpp.

                                                                                          {
    CommodityPositionInstrumentWrapper::arguments* a = dynamic_cast<CommodityPositionInstrumentWrapper::arguments*>(args);
    QL_REQUIRE(a != nullptr, "wrong argument type in CommodityPositionInstrumentWrapper");
    a->quantity_ = quantity_;
    a->commodities_ = commodities_;
    a->weights_ = weights_;
    a->fxConversion_ = fxConversion_;
    a->npvCcyConversion_ = npvCcyConversion_;
}

fetchResults()

void fetchResults ( const QuantLib::PricingEngine::results *  ) const

override

Definition at line 190 of file commodityposition.cpp.

                                                                                         {
    Instrument::fetchResults(r);
}

setNpvCurrencyConversion()

void setNpvCurrencyConversion

(

const Handle< Quote > &

npvCcyConversion

)

Definition at line 172 of file commodityposition.cpp.

                                                                                                       {
    npvCcyConversion_ = npvCcyConversion;
}

setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 178 of file commodityposition.cpp.

{ Instrument::setupExpired(); }

Member Data Documentation

quantity_

Real quantity_

private

Definition at line 105 of file commodityposition.hpp.

commodities_

std::vector<QuantLib::ext::shared_ptr<QuantExt::CommodityIndex> > commodities_

private

Definition at line 106 of file commodityposition.hpp.

weights_

std::vector<Real> weights_

private

Definition at line 107 of file commodityposition.hpp.

fxConversion_

std::vector<Handle<Quote> > fxConversion_

private

Definition at line 108 of file commodityposition.hpp.

npvCcyConversion_

Handle<Quote> npvCcyConversion_

private

Definition at line 109 of file commodityposition.hpp.