QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Public Types | Public Member Functions | Protected Member Functions | Static Protected Member Functions | Protected Attributes | List of all members
EnergyCommodity Class Referenceabstract

Energy commodity class. More...

#include <energycommodity.hpp>

+ Inheritance diagram for EnergyCommodity:
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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 CommodityTypecommodityType () 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 SecondaryCostAmountssecondaryCostAmounts () const
 
const PricingErrorspricingErrors () 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 DatevaluationDate () 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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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< SecondaryCostssecondaryCosts_
 
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< PricingEngineengine_
 
- 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

Enumerator
Constant 
Window 
Hourly 
Daily 
Weekly 
Monthly 
Quarterly 
Yearly 

Definition at line 69 of file energycommodity.hpp.

◆ QuantityPeriodicity

Enumerator
Absolute 
PerHour 
PerDay 
PerWeek 
PerMonth 
PerQuarter 
PerYear 

Definition at line 77 of file energycommodity.hpp.

◆ 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()

virtual Quantity quantity ( ) const
pure virtual

Implemented in EnergyFuture, and EnergySwap.

◆ commodityType()

const CommodityType & commodityType ( ) const

Definition at line 81 of file energycommodity.cpp.

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◆ setupArguments()

void setupArguments ( PricingEngine::arguments ) const
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()

void fetchResults ( const PricingEngine::results r) const
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()

Real calculateFxConversionFactor ( const Currency fromCurrency,
const Currency toCurrency,
const Date evaluationDate 
)
staticprotected

Definition at line 100 of file energycommodity.cpp.

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◆ calculateUomConversionFactor()

Real calculateUomConversionFactor ( const CommodityType commodityType,
const UnitOfMeasure fromUnitOfMeasure,
const UnitOfMeasure toUnitOfMeasure 
)
staticprotected

Definition at line 86 of file energycommodity.cpp.

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◆ calculateUnitCost()

Real calculateUnitCost ( const CommodityType commodityType,
const CommodityUnitCost unitCost,
const Date evaluationDate 
) const
protected

Definition at line 115 of file energycommodity.cpp.

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◆ calculateSecondaryCostAmounts()

void calculateSecondaryCostAmounts ( const CommodityType commodityType,
Real  totalQuantityValue,
const Date evaluationDate 
) const
protected

Definition at line 136 of file energycommodity.cpp.

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Member Data Documentation

◆ commodityType_

CommodityType commodityType_
protected

Definition at line 113 of file energycommodity.hpp.