AverageSpotPriceHelper Class Reference

#include <qle/termstructures/averagespotpricehelper.hpp>

Inheritance diagram for AverageSpotPriceHelper:

Collaboration diagram for AverageSpotPriceHelper:

Public Member Functions
Constructors
	AverageSpotPriceHelper (const QuantLib::Handle< QuantLib::Quote > &price, const QuantLib::ext::shared_ptr< CommoditySpotIndex > &index, const QuantLib::Date &start, const QuantLib::Date &end, const QuantLib::Calendar &calendar=QuantLib::Calendar(), bool useBusinessDays=true)
	AverageSpotPriceHelper (QuantLib::Real price, const QuantLib::ext::shared_ptr< CommoditySpotIndex > &index, const QuantLib::Date &start, const QuantLib::Date &end, const QuantLib::Calendar &calendar=QuantLib::Calendar(), bool useBusinessDays=true)
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	init (const QuantLib::ext::shared_ptr< CommoditySpotIndex > &index, const QuantLib::Date &start, const QuantLib::Date &end, const QuantLib::Calendar &calendar, bool useBusinessDays)
	Shared initialisation method. More...

Detailed Description

Helper for bootstrapping using prices that are the average of a spot price over a period.

Definition at line 37 of file averagespotpricehelper.hpp.

Constructor & Destructor Documentation

AverageSpotPriceHelper() [1/2]

AverageSpotPriceHelper	(	const QuantLib::Handle< QuantLib::Quote > &	price,
		const QuantLib::ext::shared_ptr< CommoditySpotIndex > &	index,
		const QuantLib::Date &	start,
		const QuantLib::Date &	end,
		const QuantLib::Calendar &	calendar = QuantLib::Calendar(),
		bool	useBusinessDays = true
	)

Parameters

price	The average price quote.
index	The commodity spot index.
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.
calendar	The calendar used to determine pricing dates in the averaging period. If not provided, the index calendar is used.
useBusinessDays	If set to false, the averaging happens on the complement of the pricing calendar dates in the period.

AverageSpotPriceHelper() [2/2]

AverageSpotPriceHelper	(	QuantLib::Real	price,
		const QuantLib::ext::shared_ptr< CommoditySpotIndex > &	index,
		const QuantLib::Date &	start,
		const QuantLib::Date &	end,
		const QuantLib::Calendar &	calendar = QuantLib::Calendar(),
		bool	useBusinessDays = true
	)

Parameters

price	The average price.
index	The commodity spot index.
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.
calendar	The calendar used to determine pricing dates in the averaging period. If not provided, the index calendar is used.
useBusinessDays	If set to false, the averaging happens on the complement of the pricing calendar dates in the period.

Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 77 of file averagespotpricehelper.cpp.

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

setTermStructure()

void setTermStructure ( PriceTermStructure *  ts )

override

Definition at line 82 of file averagespotpricehelper.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 89 of file averagespotpricehelper.cpp.

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

averageCashflow()

QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow > averageCashflow

(

)

const

Definition at line 96 of file averagespotpricehelper.cpp.

                                                                                                     {
    return averageCashflow_;
}

init()

void init ( const QuantLib::ext::shared_ptr< CommoditySpotIndex > &  index, const QuantLib::Date &  start, const QuantLib::Date &  end, const QuantLib::Calendar &  calendar, bool  useBusinessDays  )

private

Shared initialisation method.

Definition at line 52 of file averagespotpricehelper.cpp.

                                                                                        {
 
    // Make a copy of the commodity spot index linked to this price helper's price term structure handle, 
    // termStructureHandle_.
    auto indexClone = QuantLib::ext::make_shared<CommoditySpotIndex>(index->underlyingName(),
        index->fixingCalendar(), 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 spot index. Need to specify all the defaults 
    // here just to amend the final default parameter i.e. set excludeStartDate to false.
    averageCashflow_ = QuantLib::ext::make_shared<CommodityIndexedAverageCashFlow>(1.0, start, end, end, indexClone,
        calendar, 0.0, 1.0, false, 0, 0, nullptr, true, false, useBusinessDays);
 
    // Get the date index pairs involved in the averaging. The earliest date is the date of the first element 
    // and the latest date is the date of the last element.
    const auto& mp = averageCashflow_->indices();
    earliestDate_ = mp.begin()->first;
    pillarDate_ = mp.rbegin()->first;
}

Member Data Documentation

averageCashflow_

QuantLib::ext::shared_ptr<CommodityIndexedAverageCashFlow> averageCashflow_

private

Definition at line 102 of file averagespotpricehelper.hpp.

termStructureHandle_

QuantLib::RelinkableHandle<PriceTermStructure> termStructureHandle_

private

Definition at line 103 of file averagespotpricehelper.hpp.