CommodityBasisPriceCurveWrapper Class Reference

#include <qle/termstructures/commoditybasispricecurvewrapper.hpp>

Inheritance diagram for CommodityBasisPriceCurveWrapper:

Collaboration diagram for CommodityBasisPriceCurveWrapper:

Public Member Functions
	CommodityBasisPriceCurveWrapper (const QuantLib::Date &referenceDate, const QuantLib::ext::shared_ptr< PriceTermStructure > &priceCurve, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &basisFec, const QuantLib::ext::shared_ptr< CommodityIndex > &baseIndex, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &baseFec, bool addBasis=true, QuantLib::Size monthOffset=0, bool averagingBaseCashflow=false, bool priceAsHistFixing=true)
	CommodityBasisPriceCurveWrapper (const QuantLib::ext::shared_ptr< CommodityBasisPriceTermStructure > &referenceCurve, const QuantLib::ext::shared_ptr< CommodityIndex > &baseIndex, const QuantLib::ext::shared_ptr< PriceTermStructure > &priceCurve)
QuantLib::Date	maxDate () const override
void	update () override
QuantLib::Natural	settlementDays () const override
QuantLib::Time	minTime () const override
	The minimum time for which the curve can return values. More...
const QuantLib::Currency &	currency () const override
	The currency in which prices are expressed. More...
std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure. More...
Public Member Functions inherited from CommodityBasisPriceTermStructure
	CommodityBasisPriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &basisFec, const QuantLib::ext::shared_ptr< CommodityIndex > &baseIndex, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &baseFec, bool addBasis=true, QuantLib::Size monthOffset=0, bool averagingBaseCashflow=false, bool priceAsHistoricalFixing=true)
	CommodityBasisPriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &basisFec, const QuantLib::ext::shared_ptr< CommodityIndex > &baseIndex, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &baseFec, bool addBasis=true, QuantLib::Size monthOffset=0, bool averagingBaseCashflow=false, bool priceAsHistoricalFixing=true)
const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &	basisFutureExpiryCalculator () const
	Inspectors. More...
const QuantLib::ext::shared_ptr< CommodityIndex > &	baseIndex () const
const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &	baseFutureExpiryCalculator () const
bool	addBasis () const
bool	averagingBaseCashflow () const
bool	priceAsHistoricalFixing () const
QuantLib::Size	monthOffset () const
Public Member Functions inherited from PriceTermStructure
	PriceTermStructure (const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	PriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal=QuantLib::Calendar(), const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	PriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
QuantLib::Real	price (QuantLib::Time t, bool extrapolate=false) const
QuantLib::Real	price (const QuantLib::Date &d, bool extrapolate=false) const
void	update () override

Private Member Functions
void	performCalculations () const override
QuantLib::Real	priceImpl (QuantLib::Time t) const override
	Price calculation. More...

Private Attributes
QuantLib::ext::shared_ptr< QuantExt::PriceTermStructure >	priceCurve_

Additional Inherited Members
Protected Member Functions inherited from PriceTermStructure
void	checkRange (QuantLib::Time t, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange. More...
Protected Attributes inherited from CommodityBasisPriceTermStructure
QuantLib::ext::shared_ptr< FutureExpiryCalculator >	basisFec_
QuantLib::ext::shared_ptr< CommodityIndex >	baseIndex_
QuantLib::ext::shared_ptr< FutureExpiryCalculator >	baseFec_
bool	addBasis_
QuantLib::Size	monthOffset_
bool	averagingBaseCashflow_
bool	priceAsHistoricalFixing_

Detailed Description

Definition at line 31 of file commoditybasispricecurvewrapper.hpp.

Constructor & Destructor Documentation

CommodityBasisPriceCurveWrapper() [1/2]

CommodityBasisPriceCurveWrapper	(	const QuantLib::Date &	referenceDate,
		const QuantLib::ext::shared_ptr< PriceTermStructure > &	priceCurve,
		const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &	basisFec,
		const QuantLib::ext::shared_ptr< CommodityIndex > &	baseIndex,
		const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &	baseFec,
		bool	addBasis = true,
		QuantLib::Size	monthOffset = 0,
		bool	averagingBaseCashflow = false,
		bool	priceAsHistFixing = true
	)

Definition at line 33 of file commoditybasispricecurvewrapper.hpp.

        : CommodityBasisPriceTermStructure(referenceDate, basisFec, baseIndex, baseFec, addBasis, monthOffset,
                                           averagingBaseCashflow, priceAsHistFixing),
          priceCurve_(priceCurve) {
        registerWith(priceCurve_);
    }

CommodityBasisPriceCurveWrapper() [2/2]

CommodityBasisPriceCurveWrapper	(	const QuantLib::ext::shared_ptr< CommodityBasisPriceTermStructure > &	referenceCurve,
		const QuantLib::ext::shared_ptr< CommodityIndex > &	baseIndex,
		const QuantLib::ext::shared_ptr< PriceTermStructure > &	priceCurve
	)

Definition at line 46 of file commoditybasispricecurvewrapper.hpp.

        : CommodityBasisPriceTermStructure(
              referenceCurve->referenceDate(), referenceCurve->calendar(), referenceCurve->dayCounter(),
              referenceCurve->basisFutureExpiryCalculator(), baseIndex, referenceCurve->baseFutureExpiryCalculator(),
              referenceCurve->addBasis(), referenceCurve->monthOffset(), referenceCurve->averagingBaseCashflow(),
              referenceCurve->priceAsHistoricalFixing()),
          priceCurve_(priceCurve) {
        registerWith(priceCurve_);
    };

Member Function Documentation

maxDate()

QuantLib::Date maxDate ( ) const

override

Definition at line 58 of file commoditybasispricecurvewrapper.hpp.

{ return priceCurve_->maxDate(); }

update()

void update ( )

override

Definition at line 60 of file commoditybasispricecurvewrapper.hpp.

                           {
        LazyObject::update();
        TermStructure::update();
    }

settlementDays()

QuantLib::Natural settlementDays ( ) const

override

Definition at line 65 of file commoditybasispricecurvewrapper.hpp.

{ return priceCurve_->settlementDays(); }

minTime()

QuantLib::Time minTime ( ) const

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from PriceTermStructure.

Definition at line 67 of file commoditybasispricecurvewrapper.hpp.

{ return priceCurve_->minTime(); }

currency()

const QuantLib::Currency & currency ( ) const

overridevirtual

The currency in which prices are expressed.

Implements PriceTermStructure.

Definition at line 68 of file commoditybasispricecurvewrapper.hpp.

{ return priceCurve_->currency(); }

pillarDates()

std::vector< QuantLib::Date > pillarDates ( ) const

overridevirtual

The pillar dates for the PriceTermStructure.

Implements PriceTermStructure.

Definition at line 69 of file commoditybasispricecurvewrapper.hpp.

{ return priceCurve_->pillarDates(); }

performCalculations()

void performCalculations ( ) const

overrideprivate

Definition at line 72 of file commoditybasispricecurvewrapper.hpp.

{}

priceImpl()

QuantLib::Real priceImpl ( QuantLib::Time  ) const

overrideprivatevirtual

Price calculation.

Implements PriceTermStructure.

Definition at line 73 of file commoditybasispricecurvewrapper.hpp.

{ return priceCurve_->price(t, allowsExtrapolation()); }

Member Data Documentation

priceCurve_

QuantLib::ext::shared_ptr<QuantExt::PriceTermStructure> priceCurve_

private

Definition at line 75 of file commoditybasispricecurvewrapper.hpp.