Energy commodity class. More...
#include <ql/experimental/commodities/energycommodity.hpp>
Inheritance diagram for EnergyCommodity:
Collaboration diagram for EnergyCommodity:
Classes | |
| class | arguments |
| class | engine |
| class | results |
Public Types | |
| enum | DeliverySchedule { Constant , Window , Hourly , Daily , Weekly , Monthly , Quarterly , Yearly } |
| enum | QuantityPeriodicity { Absolute , PerHour , PerDay , PerWeek , PerMonth , PerQuarter , PerYear } |
| enum | PaymentSchedule { WindowSettlement , MonthlySettlement , QuarterlySettlement , YearlySettlement } |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
Public Member Functions | |
| EnergyCommodity (CommodityType commodityType, const ext::shared_ptr< SecondaryCosts > &secondaryCosts) | |
| virtual Quantity | quantity () const =0 |
| const CommodityType & | commodityType () const |
| void | setupArguments (PricingEngine::arguments *) const override |
| void | fetchResults (const PricingEngine::results *) const override |
| Public Member Functions inherited from Commodity | |
| Commodity (ext::shared_ptr< SecondaryCosts > secondaryCosts) | |
| const ext::shared_ptr< SecondaryCosts > & | secondaryCosts () const |
| const SecondaryCostAmounts & | secondaryCostAmounts () const |
| const PricingErrors & | pricingErrors () const |
| void | addPricingError (PricingError::Level errorLevel, const std::string &error, const std::string &detail="") const |
| Public Member Functions inherited from Instrument | |
| Instrument () | |
| Real | NPV () const |
| returns the net present value of the instrument. More... | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. More... | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. More... | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. More... | |
| const std::map< std::string, ext::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. More... | |
| virtual bool | isExpired () const =0 |
| returns whether the instrument might have value greater than zero. More... | |
| void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
| Public Member Functions inherited from LazyObject | |
| LazyObject () | |
| ~LazyObject () override=default | |
| void | update () override |
| bool | isCalculated () const |
| void | forwardFirstNotificationOnly () |
| void | alwaysForwardNotifications () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~Observer () |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | update ()=0 |
| virtual void | deepUpdate () |
Protected Member Functions | |
| Real | calculateUnitCost (const CommodityType &commodityType, const CommodityUnitCost &unitCost, const Date &evaluationDate) const |
| void | calculateSecondaryCostAmounts (const CommodityType &commodityType, Real totalQuantityValue, const Date &evaluationDate) const |
| Protected Member Functions inherited from Instrument | |
| void | calculate () const override |
| virtual void | setupExpired () const |
| void | performCalculations () const override |
| Protected Member Functions inherited from LazyObject | |
Static Protected Member Functions | |
| static Real | calculateFxConversionFactor (const Currency &fromCurrency, const Currency &toCurrency, const Date &evaluationDate) |
| static Real | calculateUomConversionFactor (const CommodityType &commodityType, const UnitOfMeasure &fromUnitOfMeasure, const UnitOfMeasure &toUnitOfMeasure) |
Protected Attributes | |
| CommodityType | commodityType_ |
| Protected Attributes inherited from Commodity | |
| ext::shared_ptr< SecondaryCosts > | secondaryCosts_ |
| PricingErrors | pricingErrors_ |
| SecondaryCostAmounts | secondaryCostAmounts_ |
| Protected Attributes inherited from Instrument | |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, ext::any > | additionalResults_ |
| ext::shared_ptr< PricingEngine > | engine_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
Detailed Description
Energy commodity class.
Definition at line 63 of file energycommodity.hpp.
Member Enumeration Documentation
◆ DeliverySchedule
| enum DeliverySchedule |
| Enumerator | |
|---|---|
| Constant | |
| Window | |
| Hourly | |
| Daily | |
| Weekly | |
| Monthly | |
| Quarterly | |
| Yearly | |
Definition at line 69 of file energycommodity.hpp.
◆ QuantityPeriodicity
| enum QuantityPeriodicity |
| Enumerator | |
|---|---|
| Absolute | |
| PerHour | |
| PerDay | |
| PerWeek | |
| PerMonth | |
| PerQuarter | |
| PerYear | |
Definition at line 77 of file energycommodity.hpp.
◆ PaymentSchedule
| enum PaymentSchedule |
| Enumerator | |
|---|---|
| WindowSettlement | |
| MonthlySettlement | |
| QuarterlySettlement | |
| YearlySettlement | |
Definition at line 84 of file energycommodity.hpp.
Constructor & Destructor Documentation
◆ EnergyCommodity()
| EnergyCommodity | ( | CommodityType | commodityType, |
| const ext::shared_ptr< SecondaryCosts > & | secondaryCosts | ||
| ) |
Definition at line 77 of file energycommodity.cpp.
Member Function Documentation
◆ quantity()
|
pure virtual |
Implemented in EnergyFuture, and EnergySwap.
◆ commodityType()
| const CommodityType & commodityType | ( | ) | const |
◆ setupArguments()
|
overridevirtual |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
Definition at line 64 of file energycommodity.cpp.
◆ fetchResults()
|
overridevirtual |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
Definition at line 71 of file energycommodity.cpp.
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◆ calculateFxConversionFactor()
|
staticprotected |
Definition at line 100 of file energycommodity.cpp.
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◆ calculateUomConversionFactor()
|
staticprotected |
Definition at line 86 of file energycommodity.cpp.
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◆ calculateUnitCost()
|
protected |
Definition at line 115 of file energycommodity.cpp.
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◆ calculateSecondaryCostAmounts()
|
protected |
Definition at line 136 of file energycommodity.cpp.
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Member Data Documentation
◆ commodityType_
|
protected |
Definition at line 113 of file energycommodity.hpp.