CommodityPositionInstrumentWrapperEngine Class Reference

#include <ored/portfolio/commodityposition.hpp>

Inheritance diagram for CommodityPositionInstrumentWrapperEngine:

Collaboration diagram for CommodityPositionInstrumentWrapperEngine:

Public Member Functions
void	calculate () const override

Detailed Description

Definition at line 131 of file commodityposition.hpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 194 of file commodityposition.cpp.

                                                               {
    Real result = 0.0;
    Date today = Settings::instance().evaluationDate();
    for (Size i = 0; i < arguments_.commodities_.size(); ++i) {
        // TODO: if refering spot price need lookup the spot date instead of today
        // for future settlement the fixing date is not relvant, always lookup future expiry date
        Real tmp = arguments_.quantity_ * arguments_.commodities_[i]->fixing(today, true);
        if (!arguments_.fxConversion_[i].empty()) {
            tmp *= arguments_.fxConversion_[i]->value();
        }
        result += tmp * arguments_.weights_[i];
    }
    if (!arguments_.npvCcyConversion_.empty()) {
        result *= arguments_.npvCcyConversion_->value();
    }
    results_.value = result;
}