CommodityForward Class Reference

#include <qle/instruments/commodityforward.hpp>

Inheritance diagram for CommodityForward:

Collaboration diagram for CommodityForward:

Classes
class	arguments
class	engine

Public Member Functions
Constructors
	CommodityForward (const QuantLib::ext::shared_ptr< CommodityIndex > &index, const QuantLib::Currency &currency, QuantLib::Position::Type position, QuantLib::Real quantity, const QuantLib::Date &maturityDate, QuantLib::Real strike, bool physicallySettled=true, const Date &paymentDate=Date(), const QuantLib::Currency &payCcy=Currency(), const Date &fixingDate=Date(), const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr)
Instrument interface
bool	isExpired () const override
void	setupArguments (QuantLib::PricingEngine::arguments *) const override

Inspectors
QuantLib::ext::shared_ptr< CommodityIndex >	index_
QuantLib::Currency	currency_
QuantLib::Position::Type	position_
QuantLib::Real	quantity_
QuantLib::Date	maturityDate_
QuantLib::Real	strike_
bool	physicallySettled_
QuantLib::Date	paymentDate_
Currency	payCcy_
QuantLib::ext::shared_ptr< FxIndex >	fxIndex_
Date	fixingDate_
const QuantLib::ext::shared_ptr< CommodityIndex > &	index () const
const QuantLib::Currency &	currency () const
QuantLib::Position::Type	position () const
QuantLib::Real	quantity () const
const QuantLib::Date &	maturityDate () const
QuantLib::Real	strike () const
bool	physicallySettled () const
const QuantLib::Date &	paymentDate () const
Currency	payCcy () const
Date	fixingDate () const
QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex () const

Detailed Description

Instrument representing a commodity forward contract.

Definition at line 40 of file commodityforward.hpp.

Constructor & Destructor Documentation

CommodityForward()

CommodityForward	(	const QuantLib::ext::shared_ptr< CommodityIndex > &	index,
		const QuantLib::Currency &	currency,
		QuantLib::Position::Type	position,
		QuantLib::Real	quantity,
		const QuantLib::Date &	maturityDate,
		QuantLib::Real	strike,
		bool	physicallySettled = true,
		const Date &	paymentDate = Date(),
		const QuantLib::Currency &	payCcy = Currency(),
		const Date &	fixingDate = Date(),
		const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &	fxIndex = nullptr
	)

Constructs a cash settled or physically settled commodity forward instrument.

Parameters

index	The underlying commodity index.
currency	The currency of the commodity trade.
position	Long (Short) for buying (selling) commodity forward
quantity	Number of underlying commodity units referenced
maturityDate	Maturity date of forward. For a cash settled forward, this is the date on which the underlying price is observed.
strike	The agreed forward price
physicallySettled	Set to true if the forward is physically settled and false if the forward is cash settled. If omitted, physical settlement is assumed.
paymentDate	If the forward is cash settled, provide a date on or after the maturityDate for the cash settlement payment. If omitted, it is assumed equal to maturityDate.
payCcy	If cash settled, the settlement currency
fixingDate	If cash settled, the fixing date
fxIndex	If cash settled, the FX index from which to take the fixing on the fixing date

Definition at line 28 of file commodityforward.cpp.

    : index_(index), currency_(currency), position_(position), quantity_(quantity), maturityDate_(maturityDate),
      strike_(strike), physicallySettled_(physicallySettled), paymentDate_(paymentDate), payCcy_(payCcy),
      fxIndex_(fxIndex), fixingDate_(fixingDate) {
 
    QL_REQUIRE(quantity_ > 0, "Commodity forward quantity should be positive: " << quantity);
    QL_REQUIRE(strike_ > 0 || close_enough(strike_, 0.0), "Commodity forward strike should be greater than or equal to 0: " << strike);
 
    if (physicallySettled_) {
        QL_REQUIRE(paymentDate_ == Date(), "CommodityForward: payment date (" << io::iso_date(paymentDate_) <<
                                                                              ") should not be provided for physically settled commodity forwards.");
    }
 
    if (!physicallySettled_ && paymentDate_ != Date()) {
        QL_REQUIRE(paymentDate_ >= maturityDate_, "CommodityForward: payment date (" << io::iso_date(paymentDate_) <<
                                                                                     ") for a cash settled commodity forward should be on or after the maturity date (" <<
                                                                                     io::iso_date(maturityDate_) << ").");
    }
 
    if (!physicallySettled_ && fixingDate_ != Date()) {
        QL_REQUIRE(paymentDate_ >= fixingDate_,
                   "CommodityNonDeliverableForward: payment date ("
                       << io::iso_date(paymentDate_) << ") for a commodity NDF should be on or after the fixing date ("
                       << io::iso_date(fixingDate_) << ").");
    }
 
    registerWith(index_);
}

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Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 61 of file commodityforward.cpp.

                                       {
    if (physicallySettled_ || paymentDate_ == Date()) {
        return detail::simple_event(maturityDate_).hasOccurred();
    } else {
        return detail::simple_event(paymentDate_).hasOccurred();
    }
}

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setupArguments()

void setupArguments ( QuantLib::PricingEngine::arguments *  ) const

override

Definition at line 69 of file commodityforward.cpp.

                                                                        {
    auto* arguments = dynamic_cast<CommodityForward::arguments*>(args);
    QL_REQUIRE(arguments != nullptr, "wrong argument type in CommodityForward");
 
    arguments->index = index_;
    arguments->currency = currency_;
    arguments->position = position_;
    arguments->quantity = quantity_;
    arguments->maturityDate = maturityDate_;
    arguments->strike = strike_;
    arguments->physicallySettled = physicallySettled_;
    arguments->paymentDate = paymentDate_;
    arguments->payCcy = payCcy_;
    arguments->fixingDate = fixingDate_;
    arguments->fxIndex = fxIndex_;
}

index()

const QuantLib::ext::shared_ptr< CommodityIndex > & index

(

)

const

Definition at line 79 of file commodityforward.hpp.

{ return index_; }

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currency()

const QuantLib::Currency & currency

(

)

const

Definition at line 80 of file commodityforward.hpp.

{ return currency_; }

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position()

QuantLib::Position::Type position

(

)

const

Definition at line 81 of file commodityforward.hpp.

{ return position_; }

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quantity()

QuantLib::Real quantity

(

)

const

Definition at line 82 of file commodityforward.hpp.

{ return quantity_; }

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maturityDate()

const QuantLib::Date & maturityDate

(

)

const

Definition at line 83 of file commodityforward.hpp.

{ return maturityDate_; }

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strike()

QuantLib::Real strike

(

)

const

Definition at line 84 of file commodityforward.hpp.

{ return strike_; }

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physicallySettled()

bool physicallySettled

(

)

const

Definition at line 85 of file commodityforward.hpp.

{ return physicallySettled_; }

paymentDate()

const QuantLib::Date & paymentDate

(

)

const

Definition at line 86 of file commodityforward.hpp.

{ return paymentDate_; }

payCcy()

Currency payCcy

(

)

const

Definition at line 87 of file commodityforward.hpp.

{ return payCcy_; }

fixingDate()

Date fixingDate

(

)

const

Definition at line 88 of file commodityforward.hpp.

{ return fixingDate_; }

fxIndex()

QuantLib::ext::shared_ptr< QuantExt::FxIndex > fxIndex

(

)

const

Definition at line 89 of file commodityforward.hpp.

{ return fxIndex_; }

Member Data Documentation

index_

QuantLib::ext::shared_ptr<CommodityIndex> index_

private

Definition at line 93 of file commodityforward.hpp.

currency_

QuantLib::Currency currency_

private

Definition at line 94 of file commodityforward.hpp.

position_

QuantLib::Position::Type position_

private

Definition at line 95 of file commodityforward.hpp.

quantity_

QuantLib::Real quantity_

private

Definition at line 96 of file commodityforward.hpp.

maturityDate_

QuantLib::Date maturityDate_

private

Definition at line 97 of file commodityforward.hpp.

strike_

QuantLib::Real strike_

private

Definition at line 98 of file commodityforward.hpp.

physicallySettled_

bool physicallySettled_

private

Definition at line 99 of file commodityforward.hpp.

paymentDate_

QuantLib::Date paymentDate_

private

Definition at line 100 of file commodityforward.hpp.

payCcy_

Currency payCcy_

private

Definition at line 101 of file commodityforward.hpp.

fxIndex_

QuantLib::ext::shared_ptr<FxIndex> fxIndex_

private

Definition at line 102 of file commodityforward.hpp.

fixingDate_

Date fixingDate_

private

Definition at line 103 of file commodityforward.hpp.