CommodityIndex Class Reference

Commodity Index. More...

#include <qle/indexes/commodityindex.hpp>

Inheritance diagram for CommodityIndex:

Collaboration diagram for CommodityIndex:

Public Member Functions
	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 >())
Index interface
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
Observer interface
void	update () override
Inspectors
std::string	underlyingName () const
const Handle< QuantExt::PriceTermStructure > &	priceCurve () const
bool	isFuturesIndex () const
const QuantLib::Date &	expiryDate () const
bool	keepDays () const
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...

Fixing calculations
std::string	underlyingName_
Date	expiryDate_
Calendar	fixingCalendar_
Handle< QuantExt::PriceTermStructure >	curve_
std::string	name_
bool	isFuturesIndex_
bool	keepDays_
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...
virtual QuantLib::ext::shared_ptr< CommodityIndex >	clone (const QuantLib::Date &expiryDate=QuantLib::Date(), const boost::optional< QuantLib::Handle< PriceTermStructure > > &ts=boost::none) const =0
void	init ()

Detailed Description

Commodity Index.

This index can represent both spot and futures prices. In the latter case the constructor needs to be called with the futures expiry date. If the expiry date is set to Date(), the index is interpreted as spot index.

If it is spot index, the index name() is set to the underlying name passed to the constructor prefixed by "COMM-".

If it is a futures index and keepDays_ is false, we set the name() to "COMM-" + underlyingName + "-" + "yyyy-mm", where "yyyy" is the expiry date's year and "mm" is the expiry date's month. The index forecast for fixing Date yields the price curve's forecast to the futures expiry instead which is beyond the fixing date. If keepDays_ is true, the date suffix in the name is "yyyy-mm-dd" i.e. we keep the full date. This is useful for commodities whose expiry cycle is less than one month e.g. daily.

Definition at line 53 of file commodityindex.hpp.

Constructor & Destructor Documentation

CommodityIndex() [1/2]

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

spot quote is interpreted as of today

CommodityIndex() [2/2]

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

Member Function Documentation

name()

std::string name ( ) const

override

Definition at line 62 of file commodityindex.hpp.

{ return name_; }

fixingCalendar()

Calendar fixingCalendar ( ) const

override

Definition at line 63 of file commodityindex.hpp.

{ return fixingCalendar_; }

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isValidFixingDate()

bool isValidFixingDate ( const Date &  fixingDate ) const

override

Definition at line 64 of file commodityindex.hpp.

{ return fixingCalendar_.isBusinessDay(fixingDate); }

fixing()

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

override

Definition at line 71 of file commodityindex.cpp.

                                                                                   {
 
    QL_REQUIRE(isValidFixingDate(fixingDate), "Commodity index " << name() << ": fixing date " <<
                                                                 io::iso_date(fixingDate) << " is not valid");
    Date today = Settings::instance().evaluationDate();
    QL_REQUIRE(expiryDate_ == Date() || fixingDate <= expiryDate_,
               "Commodity index " << name() << ": fixing requested on fixing date (" << io::iso_date(fixingDate)
                                  << ") that is past the expiry date (" << io::iso_date(expiryDate_)
                                  << "). Eval date is " << today);
 
    if (fixingDate > today || (fixingDate == today && forecastTodaysFixing))
        return forecastFixing(fixingDate);
 
    Real result = Null<Decimal>();
 
    if (fixingDate < today || Settings::instance().enforcesTodaysHistoricFixings()) {
        // must have been fixed
        // do not catch exceptions
        result = pastFixing(fixingDate);
        QL_REQUIRE(result != Null<Real>(), "Missing " << name() << " fixing for " << fixingDate);
    } else {
        try {
            // might have been fixed
            result = pastFixing(fixingDate);
        } catch (Error&) {
            ; // fall through and forecast
        }
        if (result == Null<Real>())
            return forecastFixing(fixingDate);
    }
 
    return result;
}

update()

void update ( )

override

Definition at line 69 of file commodityindex.hpp.

{ notifyObservers(); }

underlyingName()

std::string underlyingName

(

)

const

Definition at line 73 of file commodityindex.hpp.

{ return underlyingName_; }

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priceCurve()

const Handle< QuantExt::PriceTermStructure > & priceCurve

(

)

const

Definition at line 74 of file commodityindex.hpp.

{ return curve_; }

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isFuturesIndex()

bool isFuturesIndex

(

)

const

Definition at line 75 of file commodityindex.hpp.

{ return isFuturesIndex_; }

expiryDate()

const QuantLib::Date & expiryDate

(

)

const

Definition at line 76 of file commodityindex.hpp.

{ return expiryDate_; }

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keepDays()

bool keepDays

(

)

const

Definition at line 77 of file commodityindex.hpp.

{ return keepDays_; }

forecastFixing() [1/2]

Real forecastFixing ( const Date &  fixingDate ) const

virtual

Definition at line 116 of file commodityindex.cpp.

                                                                {
    if (isFuturesIndex_)
        return curve_->price(expiryDate_);
    else
        return curve_->price(fixingDate);
}

forecastFixing() [2/2]

Real forecastFixing ( const Time &  fixingTime ) const

overridevirtual

returns the fixing at the given time

Implements EqFxIndexBase.

Definition at line 110 of file commodityindex.cpp.

                                                                {
    if (isFuturesIndex_)
        return curve_->price(expiryDate_);
    else
        return curve_->price(fixingTime);
}

pastFixing()

Real pastFixing ( const Date &  fixingDate ) const

overridevirtual

returns a past fixing at the given date

the date passed as arguments must be the actual calendar date of the fixing; no settlement days must be used.

Implements EqFxIndexBase.

Reimplemented in OffPeakPowerIndex.

Definition at line 105 of file commodityindex.cpp.

                                                            {
    QL_REQUIRE(isValidFixingDate(fixingDate), fixingDate << " is not a valid fixing date");
    return timeSeries()[fixingDate];
}

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clone()

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

pure virtual

Returns a copy of itself with a potentially different expiry date and pricing curve.

If the expiryDate is an empty Date, it is ignored and the CommodityIndex instance's expiry date is used. If the ts is uninitialised, it is ignored and the CommodityIndex instance's price curve is used.

Implemented in OffPeakPowerIndex, CommodityBasisFutureIndex, CommoditySpotIndex, and CommodityFuturesIndex.

init()

void init ( )

protected

Definition at line 47 of file commodityindex.cpp.

                          {
 
    if (expiryDate_ == Date()) {
        // spot price index
        name_ = "COMM-" + underlyingName_;
        isFuturesIndex_ = false;
    } else {
        // futures price index
        std::ostringstream o;
        o << "COMM-" << underlyingName_ << "-" << QuantLib::io::iso_date(expiryDate_);
        name_ = o.str();
        if (!keepDays_) {
            // Remove the "-dd" portion from the expiry date
            name_.erase(name_.length() - 3);
        }
        isFuturesIndex_ = true;
    }
 
    registerWith(curve_);
    registerWith(Settings::instance().evaluationDate());
    registerWith(IndexManager::instance().notifier(name()));
 
}

Member Data Documentation

underlyingName_

std::string underlyingName_

protected

Definition at line 96 of file commodityindex.hpp.

expiryDate_

Date expiryDate_

protected

Definition at line 97 of file commodityindex.hpp.

fixingCalendar_

Calendar fixingCalendar_

protected

Definition at line 98 of file commodityindex.hpp.

curve_

Handle<QuantExt::PriceTermStructure> curve_

protected

Definition at line 99 of file commodityindex.hpp.

name_

std::string name_

protected

Definition at line 100 of file commodityindex.hpp.

isFuturesIndex_

bool isFuturesIndex_

protected

Definition at line 101 of file commodityindex.hpp.

keepDays_

bool keepDays_

protected

Definition at line 103 of file commodityindex.hpp.