CommoditySpotIndex Class Reference

#include <qle/indexes/commodityindex.hpp>

Inheritance diagram for CommoditySpotIndex:

Collaboration diagram for CommoditySpotIndex:

Public Member Functions
	CommoditySpotIndex (const std::string &underlyingName, const Calendar &fixingCalendar, 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. The expiryDate is ignored for a CommoditySpotIndex. 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 109 of file commodityindex.hpp.

Constructor & Destructor Documentation

CommoditySpotIndex()

CommoditySpotIndex	(	const std::string &	underlyingName,
		const Calendar &	fixingCalendar,
		const Handle< QuantExt::PriceTermStructure > &	priceCurve = Handle<QuantExt::PriceTermStructure>()
	)

spot quote is interpreted as of today

Definition at line 112 of file commodityindex.hpp.

        : CommodityIndex(underlyingName, Date(), fixingCalendar, priceCurve) {
        QL_REQUIRE(expiryDate_ == Date(), "empty expiry date expected in CommoditySpotIndex");
    }

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. The expiryDate is ignored for a CommoditySpotIndex.

Implements CommodityIndex.

Definition at line 123 of file commodityindex.cpp.

                                                                                                                       {
    const auto& pts = ts ? *ts : priceCurve();
    return QuantLib::ext::make_shared<CommoditySpotIndex>(underlyingName(), fixingCalendar(), pts);
}