QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Energy basis swap. More...
#include <energybasisswap.hpp>
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 |
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) |
Energy basis swap.
Definition at line 34 of file energybasisswap.hpp.
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 | ||
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const ext::shared_ptr< CommodityIndex > & payIndex | ( | ) | const |
Definition at line 51 of file energybasisswap.hpp.
const ext::shared_ptr< CommodityIndex > & receiveIndex | ( | ) | const |
Definition at line 54 of file energybasisswap.hpp.
const CommodityUnitCost & basis | ( | ) | const |
Definition at line 57 of file energybasisswap.hpp.
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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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Definition at line 62 of file energybasisswap.hpp.
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Definition at line 63 of file energybasisswap.hpp.
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Definition at line 64 of file energybasisswap.hpp.
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Definition at line 65 of file energybasisswap.hpp.
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Definition at line 66 of file energybasisswap.hpp.
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Definition at line 67 of file energybasisswap.hpp.
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Definition at line 68 of file energybasisswap.hpp.
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Definition at line 69 of file energybasisswap.hpp.