commodityindexedaveragecashflow.hpp File Reference

Cash flow dependent on the average commodity spot price or future's settlement price over a period. If settled in a foreign currency (domestic: currency on which the underlying curve is traded, foreing: settlement currency) the FX is applied day by day. This approach cannot be appied to averaged underlying curves. More...

#include <ql/cashflow.hpp>
#include <ql/patterns/visitor.hpp>
#include <ql/time/schedule.hpp>
#include <qle/cashflows/commoditycashflow.hpp>
#include <qle/indexes/commodityindex.hpp>
#include <qle/indexes/fxindex.hpp>
#include <qle/time/futureexpirycalculator.hpp>

Go to the source code of this file.

Classes
class	CommodityIndexedAverageCashFlow
class	CommodityIndexedAverageLeg
	Helper class building a sequence of commodity indexed average cashflows. More...

Namespaces
namespace	QuantExt

Detailed Description

Cash flow dependent on the average commodity spot price or future's settlement price over a period. If settled in a foreign currency (domestic: currency on which the underlying curve is traded, foreing: settlement currency) the FX is applied day by day. This approach cannot be appied to averaged underlying curves.

Definition in file commodityindexedaveragecashflow.hpp.