#include <qle/termstructures/averageoffpeakpowerhelper.hpp>

Inheritance diagram for AverageOffPeakPowerHelper:

Collaboration diagram for AverageOffPeakPowerHelper:

Public Member Functions
Constructors
	AverageOffPeakPowerHelper (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::ext::shared_ptr< CommodityIndex > &peakIndex, const QuantLib::Calendar &peakCalendar, QuantLib::Natural peakHoursPerDay=16)

	AverageOffPeakPowerHelper (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::ext::shared_ptr< CommodityIndex > &peakIndex, const QuantLib::Calendar &peakCalendar, QuantLib::Natural peakHoursPerDay=16)

PriceHelper interface
QuantLib::Real	impliedQuote () const override

void	setTermStructure (PriceTermStructure *ts) override

Visitability
QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow >	businessOffPeak_

QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow >	holidayOffPeak_

QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow >	holidayPeak_

QuantLib::Natural	peakDays_

QuantLib::Natural	nonPeakDays_

QuantLib::RelinkableHandle< PriceTermStructure >	termStructureHandle_

void	accept (QuantLib::AcyclicVisitor &v) override

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::ext::shared_ptr< CommodityIndex > &peakIndex, const QuantLib::Calendar &peakCalendar, QuantLib::Natural peakHoursPerDay)
	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 averageoffpeakpowerhelper.hpp.

Constructor & Destructor Documentation

◆ AverageOffPeakPowerHelper() [1/2]

AverageOffPeakPowerHelper	(	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::ext::shared_ptr< CommodityIndex > &	peakIndex,
		const QuantLib::Calendar &	peakCalendar,
		QuantLib::Natural	peakHoursPerDay = `16`
	)

Parameters

price	The average price quote.
index	The commodity index. Used to convey the off-peak 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.
peakIndex	The commodity index for the peak electricity prices.
peakCalendar	The calendar used to determine peak dates in the averaging period.
peakHoursPerDay	The number of peak hours per day.

◆ AverageOffPeakPowerHelper() [2/2]

AverageOffPeakPowerHelper	(	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::ext::shared_ptr< CommodityIndex > &	peakIndex,
		const QuantLib::Calendar &	peakCalendar,
		QuantLib::Natural	peakHoursPerDay = `16`
	)

Parameters

price	The average price.
index	The commodity index. Used to convey the off-peak 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.
peakIndex	The commodity index for the peak electricity prices.
peakCalendar	The calendar used to determine peak dates in the averaging period.
peakHoursPerDay	The number of peak hours per day.

Member Function Documentation

◆ impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 101 of file averageoffpeakpowerhelper.cpp.

                                                   {
    QL_REQUIRE(termStructure_, "AverageFuturePriceHelper term structure not set.");
    businessOffPeak_->update();
    holidayOffPeak_->update();
    holidayPeak_->update();
    return (peakDays_ * businessOffPeak_->amount() + nonPeakDays_ * (holidayOffPeak_->amount()
        + holidayPeak_->amount())) / (peakDays_ + nonPeakDays_);
}

◆ setTermStructure()

void setTermStructure ( PriceTermStructure * ts )

override

Definition at line 110 of file averageoffpeakpowerhelper.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 117 of file averageoffpeakpowerhelper.cpp.

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

◆ deepUpdate()

void deepUpdate ( )

override

Definition at line 124 of file averageoffpeakpowerhelper.cpp.

                                           {
    if (businessOffPeak_)
        businessOffPeak_->update();
    if (holidayOffPeak_)
        holidayOffPeak_->update();
    if (holidayPeak_)
        holidayPeak_->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::ext::shared_ptr< CommodityIndex > &	peakIndex,
		const QuantLib::Calendar &	peakCalendar,
		QuantLib::Natural	peakHoursPerDay
	)

private

Shared initialisation method.

Definition at line 59 of file averageoffpeakpowerhelper.cpp.

                             {
 
    QL_REQUIRE(peakHoursPerDay <= 24, "AverageOffPeakPowerHelper: peak hours per day should not be greater than 24.");
    Natural ophpd = 24 - peakHoursPerDay;
 
    // 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 business day off-peak portion of the cashflow.
    bool useBusinessDays = true;
    businessOffPeak_ = QuantLib::ext::make_shared<CommodityIndexedAverageCashFlow>(1.0, start, end, end, indexClone,
        peakCalendar, 0.0, 1.0, true, 0, 0, calc, true, false, useBusinessDays);
    peakDays_ = businessOffPeak_->indices().size();
 
    // Create the holiday off-peak portion of the cashflow.
    useBusinessDays = false;
    holidayOffPeak_ = QuantLib::ext::make_shared<CommodityIndexedAverageCashFlow>(ophpd / 24.0, start, end, end, indexClone,
        peakCalendar, 0.0, 1.0, true, 0, 0, calc, true, false, useBusinessDays);
    nonPeakDays_ = holidayOffPeak_->indices().size();
 
    // Create the holiday peak portion of the cashflow.
    holidayPeak_ = QuantLib::ext::make_shared<CommodityIndexedAverageCashFlow>(peakHoursPerDay / 24.0, start, end, end,
        peakIndex, peakCalendar, 0.0, 1.0, true, 0, 0, calc, true, false, useBusinessDays);
 
    // 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. We must look at both off peak cashflows here.
    const auto& mpBop = businessOffPeak_->indices();
    const auto& mpHop = holidayOffPeak_->indices();
    earliestDate_ = min(mpBop.begin()->second->expiryDate(), mpHop.begin()->second->expiryDate());
    pillarDate_ = max(mpBop.rbegin()->second->expiryDate(), mpHop.rbegin()->second->expiryDate());
}