commodity.cpp

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#include <qle/utilities/commodity.hpp>
 
namespace QuantExt {
 
//! Make a commodity indexed cashflow
QuantLib::ext::shared_ptr<CashFlow>
makeCommodityCashflowForBasisFuture(const QuantLib::Date& start, const QuantLib::Date& end,
                                    const QuantLib::ext::shared_ptr<CommodityIndex>& baseIndex,
                                    const QuantLib::ext::shared_ptr<FutureExpiryCalculator>& baseFec, bool baseIsAveraging,
                                    const QuantLib::Date& paymentDate) {
    if (baseIsAveraging == true) {
        return QuantLib::ext::make_shared<CommodityIndexedAverageCashFlow>(
            1.0, start, end, paymentDate, baseIndex, QuantLib::Calendar(), 0.0, 1.0, true, 0, 0, baseFec);
    } else {
        return QuantLib::ext::make_shared<CommodityIndexedCashFlow>(
            1.0, start, end, baseIndex, 0, QuantLib::NullCalendar(), QuantLib::Unadjusted, 0,
            QuantLib::NullCalendar(), 0.0, 1.0, CommodityIndexedCashFlow::PaymentTiming::InArrears, true, true, true, 0,
            baseFec, paymentDate);
    }
}
 
} // namespace QuantExt