OffPeakPowerIndex Class Reference

Off peak power index. More...

#include <qle/indexes/offpeakpowerindex.hpp>

Inheritance diagram for OffPeakPowerIndex:

Collaboration diagram for OffPeakPowerIndex:

Public Member Functions
	OffPeakPowerIndex (const std::string &underlyingName, const QuantLib::Date &expiryDate, const QuantLib::ext::shared_ptr< CommodityFuturesIndex > &offPeakIndex, const QuantLib::ext::shared_ptr< CommodityFuturesIndex > &peakIndex, QuantLib::Real offPeakHours, const QuantLib::Calendar &peakCalendar, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >())
	Constructor. More...
Inspectors
const QuantLib::ext::shared_ptr< CommodityFuturesIndex > &	offPeakIndex () const
const QuantLib::ext::shared_ptr< CommodityFuturesIndex > &	peakIndex () const
QuantLib::Real	offPeakHours () const
const QuantLib::Calendar &	peakCalendar () const
QuantLib::ext::shared_ptr< CommodityIndex >	clone (const QuantLib::Date &expiryDate, const boost::optional< QuantLib::Handle< PriceTermStructure > > &ts=boost::none) const override
	Implement the base clone. More...
Public Member Functions inherited from CommodityFuturesIndex
	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...
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...

CommodityIndex interface
QuantLib::ext::shared_ptr< CommodityFuturesIndex >	offPeakIndex_
QuantLib::ext::shared_ptr< CommodityFuturesIndex >	peakIndex_
QuantLib::Real	offPeakHours_
QuantLib::Calendar	peakCalendar_
Real	pastFixing (const Date &fixingDate) const override
	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

Off peak power index.

A commodity index to represent daily off-peak power prices.

In general, when used in derivatives the off-peak power value for a given date will be:

1. the average of Locational Marginal Prices (LMPs) over the off-peak hours, generally 8, on peak calendar business days
2. the average of LMPs over all hours on peak calendar holidays

There are generally two types of daily futures in the power markets:

1. those that average the LMPs over the peak hours, generally 16, on every calendar day
2. those that average the LMPs over the off-peak hours, generally 8, on every calendar day

This off peak power index uses the prices of both of these daily future contracts to construct the index that is used in derivatives that reference off-peak power prices. The off-peak future is used directly on peak calendar business days. On peak calendar holidays, the weighted average of the daily off-peak future price and daily peak future price is used where the weights are the number of off-peak hours and peak hours respectively divided by 24.

Definition at line 50 of file offpeakpowerindex.hpp.

Constructor & Destructor Documentation

OffPeakPowerIndex()

OffPeakPowerIndex	(	const std::string &	underlyingName,
		const QuantLib::Date &	expiryDate,
		const QuantLib::ext::shared_ptr< CommodityFuturesIndex > &	offPeakIndex,
		const QuantLib::ext::shared_ptr< CommodityFuturesIndex > &	peakIndex,
		QuantLib::Real	offPeakHours,
		const QuantLib::Calendar &	peakCalendar,
		const Handle< QuantExt::PriceTermStructure > &	priceCurve = Handle<QuantExt::PriceTermStructure>()
	)

Constructor.

Definition at line 30 of file offpeakpowerindex.cpp.

    : CommodityFuturesIndex(underlyingName, expiryDate, NullCalendar(), true, priceCurve),
      offPeakIndex_(offPeakIndex), peakIndex_(peakIndex), offPeakHours_(offPeakHours),
      peakCalendar_(peakCalendar) {
    string msgPrefix = "Constructing " + underlyingName + ": ";
    QL_REQUIRE(0.0 < offPeakHours_ && offPeakHours_ < 24.0, msgPrefix << "off-peak hours must be in (0, 24.0)");
    QL_REQUIRE(expiryDate_ == offPeakIndex_->expiryDate(), msgPrefix << "the expiry date (" <<
        io::iso_date(expiryDate_) << ") should equal the off-peak index expiry date (" <<
        io::iso_date(offPeakIndex_->expiryDate()) << ").");
    QL_REQUIRE(expiryDate_ == peakIndex_->expiryDate(), msgPrefix << "the expiry date (" <<
        io::iso_date(expiryDate_) << ") should equal the peak index expiry date (" <<
        io::iso_date(peakIndex_->expiryDate()) << ").");
    QL_REQUIRE(offPeakIndex_, msgPrefix << "the off-peak index should not be null.");
    QL_REQUIRE(peakIndex_, msgPrefix << "the peak index should not be null.");
}

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Member Function Documentation

offPeakIndex()

const QuantLib::ext::shared_ptr< CommodityFuturesIndex > & offPeakIndex

(

)

const

Definition at line 52 of file offpeakpowerindex.cpp.

                                                                                          {
    return offPeakIndex_;
}

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peakIndex()

const QuantLib::ext::shared_ptr< CommodityFuturesIndex > & peakIndex

(

)

const

Definition at line 56 of file offpeakpowerindex.cpp.

                                                                                       {
    return peakIndex_;
}

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offPeakHours()

Real offPeakHours

(

)

const

Definition at line 60 of file offpeakpowerindex.cpp.

                                           {
    return offPeakHours_;
}

peakCalendar()

const Calendar & peakCalendar

(

)

const

Definition at line 64 of file offpeakpowerindex.cpp.

                                                      {
    return peakCalendar_;
}

clone()

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

overridevirtual

Implement the base clone.

Reimplemented from CommodityFuturesIndex.

Definition at line 68 of file offpeakpowerindex.cpp.

                                                               {
    const auto& pts = ts ? *ts : priceCurve();
    const auto& ed = expiry == Date() ? expiryDate() : expiry;
    auto offPeakIndex = QuantLib::ext::dynamic_pointer_cast<CommodityFuturesIndex>(offPeakIndex_->clone(ed));
    auto peakIndex = QuantLib::ext::dynamic_pointer_cast<CommodityFuturesIndex>(peakIndex_->clone(ed));
    return QuantLib::ext::make_shared<OffPeakPowerIndex>(underlyingName(), ed, offPeakIndex,
        peakIndex, offPeakHours_, peakCalendar_, pts);
}

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pastFixing()

Real pastFixing ( const Date &  fixingDate ) const

overrideprotectedvirtual

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.

Reimplemented from CommodityIndex.

Definition at line 78 of file offpeakpowerindex.cpp.

                                                               {
    if (peakCalendar_.isBusinessDay(fixingDate))
        return offPeakIndex_->fixing(fixingDate);
    else
        return (offPeakHours_ * offPeakIndex_->fixing(fixingDate) +
            (24.0 - offPeakHours_) * peakIndex_->fixing(fixingDate)) / 24.0;
}

Member Data Documentation

offPeakIndex_

QuantLib::ext::shared_ptr<CommodityFuturesIndex> offPeakIndex_

private

Definition at line 80 of file offpeakpowerindex.hpp.

peakIndex_

QuantLib::ext::shared_ptr<CommodityFuturesIndex> peakIndex_

private

Definition at line 81 of file offpeakpowerindex.hpp.

offPeakHours_

QuantLib::Real offPeakHours_

private

Definition at line 82 of file offpeakpowerindex.hpp.

peakCalendar_

QuantLib::Calendar peakCalendar_

private

Definition at line 83 of file offpeakpowerindex.hpp.