QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Energy commodity class. More...
#include <energycommodity.hpp>
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_ |
Energy commodity class.
Definition at line 63 of file energycommodity.hpp.
enum DeliverySchedule |
Enumerator | |
---|---|
Constant | |
Window | |
Hourly | |
Daily | |
Weekly | |
Monthly | |
Quarterly | |
Yearly |
Definition at line 69 of file energycommodity.hpp.
enum QuantityPeriodicity |
Enumerator | |
---|---|
Absolute | |
PerHour | |
PerDay | |
PerWeek | |
PerMonth | |
PerQuarter | |
PerYear |
Definition at line 77 of file energycommodity.hpp.
enum PaymentSchedule |
Enumerator | |
---|---|
WindowSettlement | |
MonthlySettlement | |
QuarterlySettlement | |
YearlySettlement |
Definition at line 84 of file energycommodity.hpp.
EnergyCommodity | ( | CommodityType | commodityType, |
const ext::shared_ptr< SecondaryCosts > & | secondaryCosts | ||
) |
Definition at line 77 of file energycommodity.cpp.
|
pure virtual |
Implemented in EnergyFuture, and EnergySwap.
const CommodityType & commodityType | ( | ) | 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.
|
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.
|
staticprotected |
Definition at line 100 of file energycommodity.cpp.
|
staticprotected |
Definition at line 86 of file energycommodity.cpp.
|
protected |
Definition at line 115 of file energycommodity.cpp.
|
protected |
Definition at line 136 of file energycommodity.cpp.
|
protected |
Definition at line 113 of file energycommodity.hpp.