Commodity Basis Future Index. More...

#include <qle/indexes/commoditybasisfutureindex.hpp>

Inheritance diagram for CommodityBasisFutureIndex:

Collaboration diagram for CommodityBasisFutureIndex:

Public Member Functions
	CommodityBasisFutureIndex (const std::string &underlyingName, const QuantLib::Date &expiryDate, const QuantLib::Calendar &fixingCalendar, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &basisFec, const QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > &baseIndex, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &baseFec, const QuantLib::Handle< QuantExt::PriceTermStructure > &priceCurve=QuantLib::Handle< QuantExt::PriceTermStructure >(), const bool addBasis=true, const QuantLib::Size monthOffset=0, const bool baseIsAveraging=false, const bool priceAsHistoricalFixing=true)

	CommodityBasisFutureIndex (const std::string &underlyingName, const QuantLib::Date &expiryDate, const QuantLib::Calendar &fixingCalendar, const QuantLib::ext::shared_ptr< CommodityBasisPriceTermStructure > &priceCurve)

QuantLib::ext::shared_ptr< CommodityIndex >	clone (const QuantLib::Date &expiryDate=QuantLib::Date(), const boost::optional< QuantLib::Handle< PriceTermStructure > > &ts=boost::none) const override
	Implement the base clone. Ajust the base future to match the same contract month. More...

QuantLib::Real	pastFixing (const QuantLib::Date &fixingDate) const override

const QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > &	baseIndex ()

QuantLib::ext::shared_ptr< QuantLib::CashFlow >	baseCashflow (const QuantLib::Date &paymentDate=QuantLib::Date()) const

Public Member Functions inherited from CommodityFuturesIndex
	CommodityFuturesIndex (const std::string &underlyingName, const Date &expiryDate, const Calendar &fixingCalendar, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >())

	CommodityFuturesIndex (const std::string &underlyingName, const Date &expiryDate, const Calendar &fixingCalendar, bool keepDays, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >())

QuantLib::ext::shared_ptr< CommodityIndex >	clone (const QuantLib::Date &expiryDate=QuantLib::Date(), const boost::optional< QuantLib::Handle< PriceTermStructure > > &ts=boost::none) const override
	Implement the base clone. More...

Public Member Functions inherited from CommodityIndex
	CommodityIndex (const std::string &underlyingName, const QuantLib::Date &expiryDate, const Calendar &fixingCalendar, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >())

	CommodityIndex (const std::string &underlyingName, const QuantLib::Date &expiryDate, const Calendar &fixingCalendar, bool keepDays, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >())

std::string	name () const override

Calendar	fixingCalendar () const override

bool	isValidFixingDate (const Date &fixingDate) const override

Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override

void	update () override

std::string	underlyingName () const

const Handle< QuantExt::PriceTermStructure > &	priceCurve () const

bool	isFuturesIndex () const

const QuantLib::Date &	expiryDate () const

bool	keepDays () const

virtual Real	forecastFixing (const Date &fixingDate) const

virtual Real	forecastFixing (const Time &fixingTime) const override
	returns the fixing at the given time More...

virtual Real	pastFixing (const Date &fixingDate) const override
	returns a past fixing at the given date More...

Public Member Functions inherited from EqFxIndexBase
virtual	~EqFxIndexBase ()

virtual Real	forecastFixing (const Time &fixingTime) const =0
	returns the fixing at the given time More...

virtual Real	pastFixing (const Date &fixingDate) const =0
	returns a past fixing at the given date More...

Private Attributes
QuantLib::ext::shared_ptr< FutureExpiryCalculator >	basisFec_

QuantLib::ext::shared_ptr< QuantExt::CommodityIndex >	baseIndex_

QuantLib::ext::shared_ptr< FutureExpiryCalculator >	baseFec_

bool	addBasis_

QuantLib::Size	monthOffset_

bool	baseIsAveraging_

bool	priceAsHistoricalFixing_

QuantLib::ext::shared_ptr< QuantLib::CashFlow >	cashflow_

Additional Inherited Members
Protected Member Functions inherited from CommodityIndex
void	init ()

Protected Attributes inherited from CommodityIndex
std::string	underlyingName_

Date	expiryDate_

Calendar	fixingCalendar_

Handle< QuantExt::PriceTermStructure >	curve_

std::string	name_

bool	isFuturesIndex_

bool	keepDays_

Detailed Description

Commodity Basis Future Index.

This index can represent futures prices derived from basis future index and a base future index

Definition at line 36 of file commoditybasisfutureindex.hpp.

Constructor & Destructor Documentation

◆ CommodityBasisFutureIndex() [1/2]

CommodityBasisFutureIndex	(	const std::string &	underlyingName,
		const QuantLib::Date &	expiryDate,
		const QuantLib::Calendar &	fixingCalendar,
		const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &	basisFec,
		const QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > &	baseIndex,
		const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &	baseFec,
		const QuantLib::Handle< QuantExt::PriceTermStructure > &	priceCurve = `QuantLib::Handle<QuantExt::PriceTermStructure>()`,
		const bool	addBasis = `true`,
		const QuantLib::Size	monthOffset = `0`,
		const bool	baseIsAveraging = `false`,
		const bool	priceAsHistoricalFixing = `true`
	)

Definition at line 22 of file commoditybasisfutureindex.cpp.

    : CommodityFuturesIndex(underlyingName, expiryDate, fixingCalendar, priceCurve), basisFec_(basisFec),
      baseIndex_(baseIndex), baseFec_(baseFec), addBasis_(addBasis), monthOffset_(monthOffset),
      baseIsAveraging_(baseIsAveraging), priceAsHistoricalFixing_(priceAsHistoricalFixing) {
    QL_REQUIRE(expiryDate_ != Date(), "non-empty expiry date expected for CommodityFuturesIndex");
    QL_REQUIRE(baseIndex_ != nullptr, "non-null baseIndex required for CommodityBasisFutureIndex");
    QL_REQUIRE(basisFec_ != nullptr,
               "non-null future expiry calculator for the basis conventions CommodityBasisFutureIndex");
    QL_REQUIRE(baseFec_ != nullptr,
               "non-null future expiry calculator for the base conventions CommodityBasisFutureIndex");
    registerWith(baseIndex);
    if (priceAsHistoricalFixing_ == false)
        cashflow_ = baseCashflow();
}

Here is the call graph for this function:

◆ CommodityBasisFutureIndex() [2/2]

CommodityBasisFutureIndex	(	const std::string &	underlyingName,
		const QuantLib::Date &	expiryDate,
		const QuantLib::Calendar &	fixingCalendar,
		const QuantLib::ext::shared_ptr< CommodityBasisPriceTermStructure > &	priceCurve
	)

Definition at line 45 of file commoditybasisfutureindex.cpp.

    : CommodityBasisFutureIndex(underlyingName, expiryDate, fixingCalendar, priceCurve->basisFutureExpiryCalculator(),
                                priceCurve->baseIndex(), priceCurve->baseFutureExpiryCalculator(),
                                Handle<PriceTermStructure>(priceCurve), priceCurve->addBasis(),
                                priceCurve->monthOffset(), priceCurve->averagingBaseCashflow(),
                                priceCurve->priceAsHistoricalFixing()) {}

Member Function Documentation

◆ clone()

QuantLib::ext::shared_ptr< CommodityIndex > clone	(	const QuantLib::Date &	expiryDate = `QuantLib::Date()`,
		const boost::optional< QuantLib::Handle< PriceTermStructure > > &	ts = `boost::none`
	)		const

overridevirtual

Implement the base clone. Ajust the base future to match the same contract month.

Implements CommodityIndex.

Definition at line 55 of file commoditybasisfutureindex.cpp.

                                                                                                    {
    const auto& pts = ts ? *ts : priceCurve();
    const auto& ed = expiry == Date() ? expiryDate() : expiry;
    return QuantLib::ext::make_shared<CommodityBasisFutureIndex>(underlyingName(), ed, fixingCalendar(), basisFec_, baseIndex_,
                                                         baseFec_, pts, addBasis_, monthOffset_, baseIsAveraging_,
                                                         priceAsHistoricalFixing_);
}

Here is the call graph for this function:

◆ pastFixing()

QuantLib::Real pastFixing ( const QuantLib::Date & fixingDate ) const

override

Definition at line 76 of file commoditybasisfutureindex.cpp.

                                                                                       {
    auto basisFixing = CommodityFuturesIndex::pastFixing(fixingDate);
    if (priceAsHistoricalFixing_) {
        return basisFixing;
    } else if (basisFixing == QuantLib::Null<Real>()) {
        return QuantLib::Null<Real>();
    } else {
        return addBasis_ ? cashflow_->amount() + basisFixing : cashflow_->amount() - basisFixing;
    }
}

Here is the call graph for this function:

◆ baseIndex()

const QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > & baseIndex ( )

Definition at line 59 of file commoditybasisfutureindex.hpp.

59{ return baseIndex_; }

Here is the caller graph for this function:

◆ baseCashflow()

QuantLib::ext::shared_ptr< QuantLib::CashFlow > baseCashflow ( const QuantLib::Date & paymentDate = QuantLib::Date() ) const

Definition at line 64 of file commoditybasisfutureindex.cpp.

                                                                                                                     {
    // Fail-safe if expiryDate_ is not a future expiry date 
    auto nextFutureExpiry = basisFec_->nextExpiry(true, expiryDate_);
    // Imply the contract month from the future expiry data
    auto contractDate = basisFec_->contractDate(nextFutureExpiry);
    Date periodStart = Date(1,contractDate.month(), contractDate.year()) - monthOffset_ * Months;
    Date periodEnd = (periodStart + 1 * Months) - 1 * Days;
    // Build the corresponding base-future casflow
    return makeCommodityCashflowForBasisFuture(periodStart, periodEnd, baseIndex_, baseFec_, baseIsAveraging_,
                                               paymentDate);
}