#include <qle/termstructures/averagefuturepricehelper.hpp>

Inheritance diagram for AverageFuturePriceHelper:

Collaboration diagram for AverageFuturePriceHelper:

Public Member Functions
Constructors
	AverageFuturePriceHelper (const QuantLib::Handle< QuantLib::Quote > &price, const QuantLib::ext::shared_ptr< CommodityIndex > &index, const QuantLib::Date &start, const QuantLib::Date &end, const ext::shared_ptr< FutureExpiryCalculator > &calc, const QuantLib::Calendar &calendar=QuantLib::Calendar(), QuantLib::Natural deliveryDateRoll=0, QuantLib::Natural futureMonthOffset=0, bool useBusinessDays=true, QuantLib::Natural dailyExpiryOffset=QuantLib::Null< QuantLib::Natural >())

	AverageFuturePriceHelper (QuantLib::Real price, const QuantLib::ext::shared_ptr< CommodityIndex > &index, const QuantLib::Date &start, const QuantLib::Date &end, const ext::shared_ptr< FutureExpiryCalculator > &calc, const QuantLib::Calendar &calendar=QuantLib::Calendar(), QuantLib::Natural deliveryDateRoll=0, QuantLib::Natural futureMonthOffset=0, bool useBusinessDays=true, QuantLib::Natural dailyExpiryOffset=QuantLib::Null< QuantLib::Natural >())

PriceHelper interface
QuantLib::Real	impliedQuote () const override

void	setTermStructure (PriceTermStructure *ts) override

Visitability
void	accept (QuantLib::AcyclicVisitor &v) override

Inspectors
QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow >	averageCashflow_

QuantLib::RelinkableHandle< PriceTermStructure >	termStructureHandle_

QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow >	averageCashflow () const

void	deepUpdate () override

void	init (const QuantLib::ext::shared_ptr< CommodityIndex > &index, const QuantLib::Date &start, const QuantLib::Date &end, const ext::shared_ptr< FutureExpiryCalculator > &calc, const QuantLib::Calendar &calendar, QuantLib::Natural deliveryDateRoll, QuantLib::Natural futureMonthOffset, bool useBusinessDays, QuantLib::Natural dailyExpiryOffset)
	Shared initialisation method. More...

Detailed Description

Helper for bootstrapping using prices that are the average of future settlement prices over a period.

Definition at line 38 of file averagefuturepricehelper.hpp.

Constructor & Destructor Documentation

◆ AverageFuturePriceHelper() [1/2]

AverageFuturePriceHelper	(	const QuantLib::Handle< QuantLib::Quote > &	price,
		const QuantLib::ext::shared_ptr< CommodityIndex > &	index,
		const QuantLib::Date &	start,
		const QuantLib::Date &	end,
		const ext::shared_ptr< FutureExpiryCalculator > &	calc,
		const QuantLib::Calendar &	calendar = `QuantLib::Calendar()`,
		QuantLib::Natural	deliveryDateRoll = `0`,
		QuantLib::Natural	futureMonthOffset = `0`,
		bool	useBusinessDays = `true`,
		QuantLib::Natural	dailyExpiryOffset = `QuantLib::Null< QuantLib::Natural >()`
	)

Parameters

price	The average price quote.
index	The commodity index. Used to convey the commodity's name and calendar. The underlying averaging cashflow may reference more than one commodity future indices.
start	The start date of the averaging period. The averaging period includes the start date if it is a pricing date according to the `calendar`.
end	The end date of the averaging period. The averaging period includes the end date if it is a pricing date according to the `calendar`.
calc	A FutureExpiryCalculator instance.
calendar	The calendar used to determine pricing dates in the averaging period. If not provided, the `index` calendar is used.
deliveryDateRoll	The number of pricing days before the prompt future expiry date on which to roll to using the next future contract in the averaging.
futureMonthOffset	Use a positive integer to select a non-prompt future contract in the averaging.
useBusinessDays	If set to `false`, the averaging happens on the complement of the pricing calendar dates in the period. This is useful for some electricity futures.
dailyExpiryOffset	If set to `Null<Natural>()`, this is ignored. If set to a positive integer, it is the number of business days on the `index` calendar to offset each daily expiry date on each pricing date.

◆ AverageFuturePriceHelper() [2/2]

AverageFuturePriceHelper	(	QuantLib::Real	price,
		const QuantLib::ext::shared_ptr< CommodityIndex > &	index,
		const QuantLib::Date &	start,
		const QuantLib::Date &	end,
		const ext::shared_ptr< FutureExpiryCalculator > &	calc,
		const QuantLib::Calendar &	calendar = `QuantLib::Calendar()`,
		QuantLib::Natural	deliveryDateRoll = `0`,
		QuantLib::Natural	futureMonthOffset = `0`,
		bool	useBusinessDays = `true`,
		QuantLib::Natural	dailyExpiryOffset = `QuantLib::Null< QuantLib::Natural >()`
	)

Parameters

price	The average price.
index	The commodity index. Used to convey the commodity's name and calendar. The underlying averaging cashflow may reference more than one commodity future indices.
start	The start date of the averaging period. The averaging period includes the start date if it is a pricing date according to the `calendar`.
end	The end date of the averaging period. The averaging period includes the end date if it is a pricing date according to the `calendar`.
calc	A FutureExpiryCalculator instance.
calendar	The calendar used to determine pricing dates in the averaging period. If not provided, the `index` calendar is used.
deliveryDateRoll	The number of pricing days before the prompt future expiry date on which to roll to using the next future contract in the averaging.
futureMonthOffset	Use a positive integer to select a non-prompt future contract in the averaging.
useBusinessDays	If set to `false`, the averaging happens on the complement of the pricing calendar dates in the period. This is useful for some electricity futures.
dailyExpiryOffset	If set to `Null<Natural>()`, this is ignored. If set to a positive integer, it is the number of business days on the `index` calendar to offset each daily expiry date on each pricing date.

Member Function Documentation

◆ impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 88 of file averagefuturepricehelper.cpp.

                                                  {
    QL_REQUIRE(termStructure_, "AverageFuturePriceHelper term structure not set.");
    averageCashflow_->update();
    return averageCashflow_->amount();
}

◆ setTermStructure()

void setTermStructure ( PriceTermStructure * ts )

override

Definition at line 94 of file averagefuturepricehelper.cpp.

                                                                      {
    QuantLib::ext::shared_ptr<PriceTermStructure> temp(ts, null_deleter());
    // Do not set the relinkable handle as an observer i.e. registerAsObserver is false here.
    termStructureHandle_.linkTo(temp, false);
    PriceHelper::setTermStructure(ts);
}

◆ accept()

void accept ( QuantLib::AcyclicVisitor & v )

override

Definition at line 101 of file averagefuturepricehelper.cpp.

                                                       {
    if (auto vis = dynamic_cast<Visitor<AverageFuturePriceHelper>*>(&v))
        vis->visit(*this);
    else
        PriceHelper::accept(v);
}

◆ averageCashflow()

QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow > averageCashflow ( ) const

Definition at line 108 of file averagefuturepricehelper.cpp.

                                                                                                       {
    return averageCashflow_;
}

◆ deepUpdate()

void deepUpdate ( )

override

Definition at line 112 of file averagefuturepricehelper.cpp.

                                          {
    if (averageCashflow_)
        averageCashflow_->update();
    update();
}

◆ init()

void init	(	const QuantLib::ext::shared_ptr< CommodityIndex > &	index,
		const QuantLib::Date &	start,
		const QuantLib::Date &	end,
		const ext::shared_ptr< FutureExpiryCalculator > &	calc,
		const QuantLib::Calendar &	calendar,
		QuantLib::Natural	deliveryDateRoll,
		QuantLib::Natural	futureMonthOffset,
		bool	useBusinessDays,
		QuantLib::Natural	dailyExpiryOffset
	)

private

Shared initialisation method.

Definition at line 61 of file averagefuturepricehelper.cpp.

                                                     {
 
    // Make a copy of the commodity index linked to this price helper's price term structure handle, 
    // termStructureHandle_.
    auto indexClone = index->clone(Date(), termStructureHandle_);
 
    // While bootstrapping is happening, this price helper's price term structure handle, termStructureHandle_, will 
    // be updated multiple times. We don't want the index notified each time.
    indexClone->unregisterWith(termStructureHandle_);
    registerWith(indexClone);
 
    // Create the averaging cashflow referencing the commodity index.
    averageCashflow_ = QuantLib::ext::make_shared<CommodityIndexedAverageCashFlow>(1.0, start, end, end, indexClone,
        calendar, 0.0, 1.0, true, deliveryDateRoll, futureMonthOffset, calc, true, false, useBusinessDays,
        CommodityQuantityFrequency::PerCalculationPeriod, Null<Natural>(), dailyExpiryOffset);
 
    // Get the date index pairs involved in the averaging. The earliest date is the expiry date of the future contract 
    // referenced in the first element and the latest date is the expiry date of the future contract referenced in 
    // the last element.
    const auto& mp = averageCashflow_->indices();
    earliestDate_ = mp.begin()->second->expiryDate();
    pillarDate_ = mp.rbegin()->second->expiryDate();
}

Member Data Documentation

◆ averageCashflow_

QuantLib::ext::shared_ptr<CommodityIndexedAverageCashFlow> averageCashflow_

private

Definition at line 133 of file averagefuturepricehelper.hpp.

◆ termStructureHandle_

QuantLib::RelinkableHandle<PriceTermStructure> termStructureHandle_

private

Definition at line 134 of file averagefuturepricehelper.hpp.

Public Member Functions

Inspectors

Detailed Description

Constructor & Destructor Documentation

◆ AverageFuturePriceHelper() [1/2]

◆ AverageFuturePriceHelper() [2/2]

Member Function Documentation

◆ impliedQuote()

◆ setTermStructure()

◆ accept()

◆ averageCashflow()

◆ deepUpdate()

◆ init()

Member Data Documentation

◆ averageCashflow_

◆ termStructureHandle_