#include <qle/indexes/commodityindex.hpp>

Inheritance diagram for CommodityFuturesIndex:

Collaboration diagram for CommodityFuturesIndex:

Public Member Functions
	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...

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

Definition at line 123 of file commodityindex.hpp.

Constructor & Destructor Documentation

◆ CommodityFuturesIndex() [1/2]

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

Definition at line 125 of file commodityindex.hpp.

        : CommodityIndex(underlyingName, expiryDate, fixingCalendar, priceCurve) {
        QL_REQUIRE(expiryDate_ != Date(), "non-empty expiry date expected CommodityFuturesIndex");
    }

◆ CommodityFuturesIndex() [2/2]

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

Definition at line 132 of file commodityindex.hpp.

        : CommodityIndex(underlyingName, expiryDate, fixingCalendar, keepDays, priceCurve) {
        QL_REQUIRE(expiryDate_ != Date(), "non-empty expiry date expected CommodityFuturesIndex");
    }

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.

Implements CommodityIndex.

Reimplemented in OffPeakPowerIndex.

Definition at line 129 of file commodityindex.cpp.

                                                                                                                          {
    const auto& pts = ts ? *ts : priceCurve();
    const auto& ed = expiry == Date() ? expiryDate() : expiry;
    return QuantLib::ext::make_shared<CommodityFuturesIndex>(underlyingName(), ed, fixingCalendar(), keepDays(), pts);
}