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

Energy basis swap. More...

#include <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 CommodityUnitCostbasis () 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 Calendarcalendar () const
 
const CurrencypayCurrency () const
 
const CurrencyreceiveCurrency () const
 
const PricingPeriodspricingPeriods () const
 
const EnergyDailyPositionsdailyPositions () const
 
const CommodityCashFlowspaymentCashFlows () const
 
const CommodityTypecommodityType () 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 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...
 
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

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< CommodityIndexspreadIndex_
 
ext::shared_ptr< CommodityIndexpayIndex_
 
ext::shared_ptr< CommodityIndexreceiveIndex_
 
bool spreadToPayLeg_
 
CommodityUnitCost basis_
 
Handle< YieldTermStructurepayLegTermStructure_
 
Handle< YieldTermStructurereceiveLegTermStructure_
 
Handle< YieldTermStructurediscountTermStructure_
 
- 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< 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_
 

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.