DiscountingCommodityForwardEngine Class Reference

Discounting commodity forward engine. More...

#include <qle/pricingengines/discountingcommodityforwardengine.hpp>

Inheritance diagram for DiscountingCommodityForwardEngine:

Collaboration diagram for DiscountingCommodityForwardEngine:

Public Member Functions
Constructors
	DiscountingCommodityForwardEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, boost::optional< bool > includeSettlementDateFlows=boost::none, const QuantLib::Date &npvDate=QuantLib::Date())
PricingEngine interface
void	calculate () const override

Inspectors
QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurve_
boost::optional< bool >	includeSettlementDateFlows_
QuantLib::Date	npvDate_
const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve () const

Detailed Description

Discounting commodity forward engine.

This class implements pricing of a commodity forward by discounting the future nominal cash flows using the respective yield curve.

Definition at line 42 of file discountingcommodityforwardengine.hpp.

Constructor & Destructor Documentation

DiscountingCommodityForwardEngine()

DiscountingCommodityForwardEngine	(	const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve,
		boost::optional< bool >	includeSettlementDateFlows = boost::none,
		const QuantLib::Date &	npvDate = QuantLib::Date()
	)

Parameters

discountCurve	The discount curve to discount the forward cashflow.
includeSettlementDateFlows	If true (false), cashflows on the forward maturity are (are not) included in the NPV.
npvDate	Discount to this date. If not given, is set to the evaluation date

Definition at line 28 of file discountingcommodityforwardengine.cpp.

    : discountCurve_(discountCurve), includeSettlementDateFlows_(includeSettlementDateFlows),
      npvDate_(npvDate) {
 
    registerWith(discountCurve_);
}

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 37 of file discountingcommodityforwardengine.cpp.

                                                        {
 
    const auto& index = arguments_.index;
    Date npvDate = npvDate_;
    if (npvDate == Null<Date>()) {
        const auto& priceCurve = index->priceCurve();
        QL_REQUIRE(!priceCurve.empty(), "DiscountingCommodityForwardEngine: need a non-empty price curve.");
        npvDate = priceCurve->referenceDate();
    }
 
    const Date& maturity = arguments_.maturityDate;
    Date paymentDate = maturity;
    if (!arguments_.physicallySettled && arguments_.paymentDate != Date()) {
        paymentDate = arguments_.paymentDate;
    }
 
    results_.value = 0.0;
    if (!detail::simple_event(paymentDate).hasOccurred(Date(), includeSettlementDateFlows_)) {
 
        Real buySell = arguments_.position == Position::Long ? 1.0 : -1.0;
        Real forwardPrice = index->fixing(maturity);
        Real discountPaymentDate = discountCurve_->discount(paymentDate);
        auto value = arguments_.quantity * buySell * (forwardPrice - arguments_.strike) * discountPaymentDate /
                     discountCurve_->discount(npvDate);
        if(arguments_.fxIndex && (arguments_.fixingDate!=Date()) && (arguments_.payCcy!=arguments_.currency)){ // NDF
            auto fxRate = arguments_.fxIndex->fixing(arguments_.fixingDate);
            value*=fxRate;
            results_.additionalResults["productCurrency"] = arguments_.currency;
            results_.additionalResults["settlementCurrency"] = arguments_.payCcy;
            results_.additionalResults["fxRate"] = fxRate;
        }
        results_.value = value;
        results_.additionalResults["forwardPrice"] = forwardPrice;
        results_.additionalResults["currentNotional"] = forwardPrice * arguments_.quantity;
        results_.additionalResults["discountPaymentDate"] = discountPaymentDate;
    }
}

discountCurve()

const QuantLib::Handle< QuantLib::YieldTermStructure > & discountCurve

(

)

const

Definition at line 63 of file discountingcommodityforwardengine.hpp.

{ return discountCurve_; }

Member Data Documentation

discountCurve_

QuantLib::Handle<QuantLib::YieldTermStructure> discountCurve_

private

Definition at line 67 of file discountingcommodityforwardengine.hpp.

includeSettlementDateFlows_

boost::optional<bool> includeSettlementDateFlows_

private

Definition at line 68 of file discountingcommodityforwardengine.hpp.

npvDate_

QuantLib::Date npvDate_

private

Definition at line 69 of file discountingcommodityforwardengine.hpp.