#include <qle/termstructures/commoditybasispricetermstructure.hpp>

Inheritance diagram for CommodityBasisPriceTermStructure:

Collaboration diagram for CommodityBasisPriceTermStructure:

Public Member Functions
	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

virtual QuantLib::Time	minTime () const
	The minimum time for which the curve can return values. More...

virtual const QuantLib::Currency &	currency () const =0
	The currency in which prices are expressed. More...

virtual std::vector< QuantLib::Date >	pillarDates () const =0
	The pillar dates for the PriceTermStructure. More...

Protected Attributes
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_

Additional Inherited Members
Protected Member Functions inherited from PriceTermStructure
virtual QuantLib::Real	priceImpl (QuantLib::Time) const =0
	Price calculation. More...

void	checkRange (QuantLib::Time t, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange. More...

Detailed Description

Definition at line 34 of file commoditybasispricetermstructure.hpp.

Constructor & Destructor Documentation

◆ CommodityBasisPriceTermStructure() [1/2]

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`
	)

Definition at line 36 of file commoditybasispricetermstructure.hpp.

        : PriceTermStructure(referenceDate, cal, dc), basisFec_(basisFec),
          baseIndex_(baseIndex), baseFec_(baseFec), addBasis_(addBasis), monthOffset_(monthOffset),
          averagingBaseCashflow_(averagingBaseCashflow), priceAsHistoricalFixing_(priceAsHistoricalFixing) {
        registerWith(baseIndex_);
    }

◆ CommodityBasisPriceTermStructure() [2/2]

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`
	)

Definition at line 49 of file commoditybasispricetermstructure.hpp.

        : PriceTermStructure(referenceDate, QuantLib::NullCalendar(), baseIndex->priceCurve()->dayCounter()), basisFec_(basisFec),
          baseIndex_(baseIndex), baseFec_(baseFec), addBasis_(addBasis), monthOffset_(monthOffset),
          averagingBaseCashflow_(averagingBaseCashflow), priceAsHistoricalFixing_(priceAsHistoricalFixing) {
        registerWith(baseIndex_);
    }