CommodityUnderlying Class Reference

#include <ored/portfolio/underlying.hpp>

Inheritance diagram for CommodityUnderlying:

Collaboration diagram for CommodityUnderlying:

Public Member Functions
	CommodityUnderlying ()
	Default Constructor. More...
	CommodityUnderlying (const std::string &name, const QuantLib::Real weight, const std::string &priceType, const QuantLib::Size futureMonthOffset, const QuantLib::Size deliveryRollDays, const std::string &deliveryRollCalendar)
	Constructor with identifier information. More...
const std::string &	priceType () const
QuantLib::Size	futureMonthOffset () const
QuantLib::Size	deliveryRollDays () const
const std::string &	deliveryRollCalendar () const
const std::string &	futureContractMonth () const
const std::string &	futureExpiryDate () const
Public Member Functions inherited from Underlying
	Underlying ()
	Default Constructor. More...
	Underlying (const std::string &type, const std::string &name, const QuantLib::Real weight=QuantLib::Null< QuantLib::Real >())
	Constructor with type, name, weight. More...
void	setType (const string &type)
void	setName (const string &name)
void	setWeight (const QuantLib::Real weight)
void	setNodeName (const string &nodeName)
void	setBasicUnderlyingNodeName (const string &basicUnderlyingNodeName)
const std::string &	type () const
virtual const std::string &	name () const
Real	weight () const
Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()
virtual void	fromXML (XMLNode *node)=0
virtual XMLNode *	toXML (XMLDocument &doc) const =0
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string. More...
std::string	toXMLString () const
	Parse from XML string. More...

Serialisation
std::string	priceType_
QuantLib::Size	futureMonthOffset_ = QuantLib::Null<QuantLib::Size>()
QuantLib::Size	deliveryRollDays_ = QuantLib::Null<QuantLib::Size>()
std::string	deliveryRollCalendar_
std::string	futureContractMonth_
std::string	futureExpiryDate_
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
Protected Attributes inherited from Underlying
std::string	type_
std::string	name_
Real	weight_ = QuantLib::Null<QuantLib::Real>()
std::string	nodeName_
std::string	basicUnderlyingNodeName_
bool	isBasic_ = false

Detailed Description

Definition at line 127 of file underlying.hpp.

Constructor & Destructor Documentation

CommodityUnderlying() [1/2]

CommodityUnderlying

(

)

Default Constructor.

Definition at line 130 of file underlying.hpp.

: Underlying() { setType("Commodity"); }

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CommodityUnderlying() [2/2]

CommodityUnderlying	(	const std::string &	name,
		const QuantLib::Real	weight,
		const std::string &	priceType,
		const QuantLib::Size	futureMonthOffset,
		const QuantLib::Size	deliveryRollDays,
		const std::string &	deliveryRollCalendar
	)

Constructor with identifier information.

Definition at line 133 of file underlying.hpp.

        : Underlying("Commodity", name, weight), priceType_(priceType), futureMonthOffset_(futureMonthOffset),
          deliveryRollDays_(deliveryRollDays), deliveryRollCalendar_(deliveryRollCalendar) {}

Member Function Documentation

priceType()

const std::string & priceType

(

)

const

Definition at line 139 of file underlying.hpp.

{ return priceType_; }

futureMonthOffset()

QuantLib::Size futureMonthOffset

(

)

const

Definition at line 140 of file underlying.hpp.

{ return futureMonthOffset_; }

deliveryRollDays()

QuantLib::Size deliveryRollDays

(

)

const

Definition at line 141 of file underlying.hpp.

{ return deliveryRollDays_; }

deliveryRollCalendar()

const std::string & deliveryRollCalendar

(

)

const

Definition at line 142 of file underlying.hpp.

{ return deliveryRollCalendar_; }

futureContractMonth()

const std::string & futureContractMonth

(

)

const

Definition at line 143 of file underlying.hpp.

{ return futureContractMonth_; }

futureExpiryDate()

const std::string & futureExpiryDate

(

)

const

Definition at line 144 of file underlying.hpp.

{ return futureExpiryDate_;  }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from Underlying.

Definition at line 118 of file underlying.cpp.

                                               {
    if (XMLUtils::getNodeName(node) == basicUnderlyingNodeName_) {
        name_ = XMLUtils::getNodeValue(node);
        isBasic_ = true;
    } else if (XMLUtils::getNodeName(node) == nodeName_) {
        Underlying::fromXML(node);
        QL_REQUIRE(type_ == "Commodity", "Underlying must be of type 'Commodity'.");
        priceType_ = XMLUtils::getChildValue(node, "PriceType", false);
        if (auto n = XMLUtils::getChildNode(node, "FutureMonthOffset"))
            futureMonthOffset_ = parseInteger(XMLUtils::getNodeValue(n));
        else
            futureMonthOffset_ = Null<Size>();
        if (auto n = XMLUtils::getChildNode(node, "DeliveryRollDays"))
            deliveryRollDays_ = parseInteger(XMLUtils::getNodeValue(n));
        else
            deliveryRollDays_ = Null<Size>();
        deliveryRollCalendar_ = XMLUtils::getChildValue(node, "DeliveryRollCalendar", false);
        isBasic_ = false;
        futureExpiryDate_ = XMLUtils::getChildValue(node, "FutureExpiryDate", false);
        futureContractMonth_ = XMLUtils::getChildValue(node, "FutureContractMonth", false);
        QL_REQUIRE(futureExpiryDate_.empty() || futureContractMonth_.empty(),
                   "Only futureExpiryDate or futureContractMonth are allowed not both");
    } else {
        QL_FAIL("Need either a Name or Underlying node for CommodityUnderlying.");
    }
    setType("Commodity");
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from Underlying.

Definition at line 146 of file underlying.cpp.

                                                          {
    XMLNode* node;
    if (isBasic_) {
        node = doc.allocNode(basicUnderlyingNodeName_, name_);
    } else {
        node = Underlying::toXML(doc);
        if (!priceType_.empty())
            XMLUtils::addChild(doc, node, "PriceType", priceType_);
        if (futureMonthOffset_ != Null<Size>())
            XMLUtils::addChild(doc, node, "FutureMonthOffset", (int)futureMonthOffset_);
        if (deliveryRollDays_ != Null<Size>())
            XMLUtils::addChild(doc, node, "DeliveryRollDays", (int)deliveryRollDays_);
        if (!deliveryRollCalendar_.empty())
            XMLUtils::addChild(doc, node, "DeliveryRollCalendar", deliveryRollCalendar_);
        if (!futureExpiryDate_.empty()) 
            XMLUtils::addChild(doc, node, "FutureExpiryDate", futureExpiryDate_);
        if (!futureContractMonth_.empty())
            XMLUtils::addChild(doc, node, "FutureContractMonth", futureContractMonth_);
    }
    return node;
}

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Member Data Documentation

priceType_

std::string priceType_

private

Definition at line 152 of file underlying.hpp.

futureMonthOffset_

QuantLib::Size futureMonthOffset_ = QuantLib::Null<QuantLib::Size>()

private

Definition at line 153 of file underlying.hpp.

deliveryRollDays_

QuantLib::Size deliveryRollDays_ = QuantLib::Null<QuantLib::Size>()

private

Definition at line 154 of file underlying.hpp.

deliveryRollCalendar_

std::string deliveryRollCalendar_

private

Definition at line 155 of file underlying.hpp.

futureContractMonth_

std::string futureContractMonth_

private

Definition at line 156 of file underlying.hpp.

futureExpiryDate_

std::string futureExpiryDate_

private

Definition at line 157 of file underlying.hpp.