Energy basis swap. More...

#include <ql/experimental/commodities/energybasisswap.hpp>

Inheritance diagram for EnergyBasisSwap:

Collaboration diagram for EnergyBasisSwap:

Public Member Functions
	EnergyBasisSwap (const Calendar &calendar, ext::shared_ptr< CommodityIndex > spreadIndex, ext::shared_ptr< CommodityIndex > payIndex, ext::shared_ptr< CommodityIndex > receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, CommodityUnitCost basis, const CommodityType &commodityType, const ext::shared_ptr< SecondaryCosts > &secondaryCosts, Handle< YieldTermStructure > payLegTermStructure, Handle< YieldTermStructure > receiveLegTermStructure, Handle< YieldTermStructure > discountTermStructure)

const ext::shared_ptr< CommodityIndex > &	payIndex () const

const ext::shared_ptr< CommodityIndex > &	receiveIndex () const

const CommodityUnitCost &	basis () const

Public Member Functions inherited from EnergySwap
	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 Member Functions
void	performCalculations () const override

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

Protected Attributes
ext::shared_ptr< CommodityIndex >	spreadIndex_

ext::shared_ptr< CommodityIndex >	payIndex_

ext::shared_ptr< CommodityIndex >	receiveIndex_

bool	spreadToPayLeg_

CommodityUnitCost	basis_

Handle< YieldTermStructure >	payLegTermStructure_

Handle< YieldTermStructure >	receiveLegTermStructure_

Handle< YieldTermStructure >	discountTermStructure_

Protected Attributes inherited from EnergySwap
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

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

Energy basis swap.

Definition at line 34 of file energybasisswap.hpp.

Constructor & Destructor Documentation

◆ EnergyBasisSwap()

EnergyBasisSwap	(	const Calendar &	calendar,
		ext::shared_ptr< CommodityIndex >	spreadIndex,
		ext::shared_ptr< CommodityIndex >	payIndex,
		ext::shared_ptr< CommodityIndex >	receiveIndex,
		bool	spreadToPayLeg,
		const Currency &	payCurrency,
		const Currency &	receiveCurrency,
		const PricingPeriods &	pricingPeriods,
		CommodityUnitCost	basis,
		const CommodityType &	commodityType,
		const ext::shared_ptr< SecondaryCosts > &	secondaryCosts,
		Handle< YieldTermStructure >	payLegTermStructure,
		Handle< YieldTermStructure >	receiveLegTermStructure,
		Handle< YieldTermStructure >	discountTermStructure
	)

Definition at line 26 of file energybasisswap.cpp.

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Member Function Documentation

◆ payIndex()

const ext::shared_ptr< CommodityIndex > & payIndex ( ) const

Definition at line 51 of file energybasisswap.hpp.

◆ receiveIndex()

const ext::shared_ptr< CommodityIndex > & receiveIndex ( ) const

Definition at line 54 of file energybasisswap.hpp.

◆ basis()

const CommodityUnitCost & basis ( ) const

Definition at line 57 of file energybasisswap.hpp.

◆ performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 53 of file energybasisswap.cpp.

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Member Data Documentation

◆ spreadIndex_

ext::shared_ptr<CommodityIndex> spreadIndex_

protected

Definition at line 62 of file energybasisswap.hpp.

◆ payIndex_

ext::shared_ptr<CommodityIndex> payIndex_

protected

Definition at line 63 of file energybasisswap.hpp.

◆ receiveIndex_

ext::shared_ptr<CommodityIndex> receiveIndex_

protected

Definition at line 64 of file energybasisswap.hpp.

◆ spreadToPayLeg_

bool spreadToPayLeg_

protected

Definition at line 65 of file energybasisswap.hpp.

◆ basis_

CommodityUnitCost basis_

protected

Definition at line 66 of file energybasisswap.hpp.

◆ payLegTermStructure_

Handle<YieldTermStructure> payLegTermStructure_

protected

Definition at line 67 of file energybasisswap.hpp.

◆ receiveLegTermStructure_

Handle<YieldTermStructure> receiveLegTermStructure_

protected

Definition at line 68 of file energybasisswap.hpp.

◆ discountTermStructure_

Handle<YieldTermStructure> discountTermStructure_

protected

Definition at line 69 of file energybasisswap.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EnergyBasisSwap()

Member Function Documentation

◆ payIndex()

◆ receiveIndex()

◆ basis()

◆ performCalculations()

Member Data Documentation

◆ spreadIndex_

◆ payIndex_

◆ receiveIndex_

◆ spreadToPayLeg_

◆ basis_

◆ payLegTermStructure_

◆ receiveLegTermStructure_

◆ discountTermStructure_