#include <energyswap.hpp>
Inheritance diagram for EnergySwap:
Collaboration diagram for EnergySwap:
Public Member Functions | |
| EnergySwap (Calendar calendar, Currency payCurrency, Currency receiveCurrency, PricingPeriods pricingPeriods, const CommodityType &commodityType, const ext::shared_ptr< SecondaryCosts > &secondaryCosts) | |
| bool | isExpired () const override |
| returns whether the instrument might have value greater than zero. More... | |
| const Calendar & | calendar () const |
| const Currency & | payCurrency () const |
| const Currency & | receiveCurrency () const |
| const PricingPeriods & | pricingPeriods () const |
| const EnergyDailyPositions & | dailyPositions () const |
| const CommodityCashFlows & | paymentCashFlows () const |
| const CommodityType & | commodityType () const |
| Quantity | quantity () const override |
| Public Member Functions inherited from EnergyCommodity | |
| 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... | |
| 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 Attributes | |
| Calendar | calendar_ |
| Currency | payCurrency_ |
| Currency | receiveCurrency_ |
| PricingPeriods | pricingPeriods_ |
| EnergyDailyPositions | dailyPositions_ |
| CommodityCashFlows | paymentCashFlows_ |
| Protected Attributes inherited from EnergyCommodity | |
| 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_ |
Additional Inherited Members | |
| Public Types inherited from EnergyCommodity | |
| 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 |
| Protected Member Functions inherited from EnergyCommodity | |
| 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 inherited from EnergyCommodity | |
| static Real | calculateFxConversionFactor (const Currency &fromCurrency, const Currency &toCurrency, const Date &evaluationDate) |
| static Real | calculateUomConversionFactor (const CommodityType &commodityType, const UnitOfMeasure &fromUnitOfMeasure, const UnitOfMeasure &toUnitOfMeasure) |
Detailed Description
Definition at line 34 of file energyswap.hpp.
Constructor & Destructor Documentation
◆ EnergySwap()
| EnergySwap | ( | Calendar | calendar, |
| Currency | payCurrency, | ||
| Currency | receiveCurrency, | ||
| PricingPeriods | pricingPeriods, | ||
| const CommodityType & | commodityType, | ||
| const ext::shared_ptr< SecondaryCosts > & | secondaryCosts | ||
| ) |
Definition at line 26 of file energyswap.cpp.
Member Function Documentation
◆ isExpired()
|
overridevirtual |
returns whether the instrument might have value greater than zero.
Implements Instrument.
Reimplemented in EnergyVanillaSwap.
Definition at line 51 of file energyswap.cpp.
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◆ calendar()
| const Calendar & calendar | ( | ) | const |
Definition at line 44 of file energyswap.hpp.
◆ payCurrency()
| const Currency & payCurrency | ( | ) | const |
Definition at line 45 of file energyswap.hpp.
◆ receiveCurrency()
| const Currency & receiveCurrency | ( | ) | const |
Definition at line 46 of file energyswap.hpp.
◆ pricingPeriods()
| const PricingPeriods & pricingPeriods | ( | ) | const |
Definition at line 47 of file energyswap.hpp.
◆ dailyPositions()
| const EnergyDailyPositions & dailyPositions | ( | ) | const |
Definition at line 48 of file energyswap.hpp.
◆ paymentCashFlows()
| const CommodityCashFlows & paymentCashFlows | ( | ) | const |
Definition at line 51 of file energyswap.hpp.
◆ commodityType()
| const CommodityType & commodityType | ( | ) | const |
◆ quantity()
|
overridevirtual |
Implements EnergyCommodity.
Definition at line 41 of file energyswap.cpp.
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Member Data Documentation
◆ calendar_
|
protected |
Definition at line 59 of file energyswap.hpp.
◆ payCurrency_
|
protected |
Definition at line 60 of file energyswap.hpp.
◆ receiveCurrency_
|
protected |
Definition at line 61 of file energyswap.hpp.
◆ pricingPeriods_
|
protected |
Definition at line 62 of file energyswap.hpp.
◆ dailyPositions_
|
mutableprotected |
Definition at line 63 of file energyswap.hpp.
◆ paymentCashFlows_
|
mutableprotected |
Definition at line 64 of file energyswap.hpp.