#include <commoditycurve.hpp>

Inheritance diagram for CommodityCurve:

Collaboration diagram for CommodityCurve:

Public Member Functions
	CommodityCurve (std::string name, CommodityType commodityType, Currency currency, UnitOfMeasure unitOfMeasure, const Calendar &calendar, const std::vector< Date > &dates, std::vector< Real > prices, const DayCounter &dayCounter=Actual365Fixed())

	CommodityCurve (std::string name, CommodityType commodityType, Currency currency, UnitOfMeasure unitOfMeasure, const Calendar &calendar, const DayCounter &dayCounter=Actual365Fixed())

Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor More...

	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date More...

	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~TermStructure () override=default

virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion More...

Time	timeFromReference (const Date &date) const
	date/time conversion More...

virtual Time	maxTime () const
	the latest time for which the curve can return values More...

virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0 More...

virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation More...

virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation More...

void	update () override

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 ()

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 Extrapolator
	Extrapolator ()=default

virtual	~Extrapolator ()=default

void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...

void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...

bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

Friends
class	CommodityIndex

Inspectors
std::ostream &	operator<< (std::ostream &out, const CommodityCurve &curve)

std::string	name_

CommodityType	commodityType_

UnitOfMeasure	unitOfMeasure_

Currency	currency_

std::vector< Date >	dates_

std::vector< Time >	times_

std::vector< Real >	data_

Interpolation	interpolation_

ForwardFlat	interpolator_

ext::shared_ptr< CommodityCurve >	basisOfCurve_

Real	basisOfCurveUomConversionFactor_

const std::string &	name () const

const CommodityType &	commodityType () const

const UnitOfMeasure &	unitOfMeasure () const

const Currency &	currency () const

Date	maxDate () const override
	the latest date for which the curve can return values More...

const std::vector< Time > &	times () const

const std::vector< Date > &	dates () const

const std::vector< Real > &	prices () const

std::vector< std::pair< Date, Real > >	nodes () const

bool	empty () const

void	setPrices (std::map< Date, Real > &prices)

void	setBasisOfCurve (const ext::shared_ptr< CommodityCurve > &basisOfCurve)

Real	price (const Date &d, const ext::shared_ptr< ExchangeContracts > &exchangeContracts, Integer nearbyOffset) const

Real	basisOfPrice (const Date &d) const

Date	underlyingPriceDate (const Date &date, const ext::shared_ptr< ExchangeContracts > &exchangeContracts, Integer nearbyOffset) const

const ext::shared_ptr< CommodityCurve > &	basisOfCurve () const

Real	basisOfPriceImpl (Time t) const

Real	priceImpl (Time t) const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...

void	checkRange (Time t, bool extrapolate) const
	time-range check More...

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

Commodity term structure.

Definition at line 38 of file commoditycurve.hpp.

Constructor & Destructor Documentation

◆ CommodityCurve() [1/2]

CommodityCurve	(	std::string	name,
		CommodityType	commodityType,
		Currency	currency,
		UnitOfMeasure	unitOfMeasure,
		const Calendar &	calendar,
		const std::vector< Date > &	dates,
		std::vector< Real >	prices,
		const DayCounter &	dayCounter = `Actual365Fixed()`
	)

Definition at line 26 of file commoditycurve.cpp.

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◆ CommodityCurve() [2/2]

CommodityCurve	(	std::string	name,
		CommodityType	commodityType,
		Currency	currency,
		UnitOfMeasure	unitOfMeasure,
		const Calendar &	calendar,
		const DayCounter &	dayCounter = `Actual365Fixed()`
	)

Definition at line 57 of file commoditycurve.cpp.

Member Function Documentation

◆ name()

const std::string & name ( ) const

Definition at line 126 of file commoditycurve.hpp.

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◆ commodityType()

const CommodityType & commodityType ( ) const

Definition at line 114 of file commoditycurve.hpp.

◆ unitOfMeasure()

const UnitOfMeasure & unitOfMeasure ( ) const

Definition at line 118 of file commoditycurve.hpp.

◆ currency()

const Currency & currency ( ) const

Definition at line 122 of file commoditycurve.hpp.

◆ maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 130 of file commoditycurve.hpp.

◆ times()

const std::vector< Time > & times ( ) const

Definition at line 134 of file commoditycurve.hpp.

◆ dates()

const std::vector< Date > & dates ( ) const

Definition at line 138 of file commoditycurve.hpp.

◆ prices()

const std::vector< Real > & prices ( ) const

Definition at line 142 of file commoditycurve.hpp.

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◆ nodes()

std::vector< std::pair< Date, Real > > nodes ( ) const

Definition at line 155 of file commoditycurve.hpp.

◆ empty()

bool empty ( ) const

Definition at line 146 of file commoditycurve.hpp.

◆ setPrices()

void setPrices ( std::map< Date, Real > & prices )

Definition at line 68 of file commoditycurve.cpp.

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◆ setBasisOfCurve()

void setBasisOfCurve ( const ext::shared_ptr< CommodityCurve > & basisOfCurve )

Definition at line 89 of file commoditycurve.cpp.

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◆ price()

Real price	(	const Date &	d,
		const ext::shared_ptr< ExchangeContracts > &	exchangeContracts,
		Integer	nearbyOffset
	)		const

Definition at line 168 of file commoditycurve.hpp.

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◆ basisOfPrice()

Real basisOfPrice ( const Date & d ) const

Definition at line 162 of file commoditycurve.hpp.

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◆ underlyingPriceDate()

Date underlyingPriceDate	(	const Date &	date,
		const ext::shared_ptr< ExchangeContracts > &	exchangeContracts,
		Integer	nearbyOffset
	)		const

Definition at line 187 of file commoditycurve.hpp.

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◆ basisOfCurve()

const ext::shared_ptr< CommodityCurve > & basisOfCurve ( ) const

Definition at line 151 of file commoditycurve.hpp.

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◆ basisOfPriceImpl()

Real basisOfPriceImpl ( Time t ) const

protected

Definition at line 205 of file commoditycurve.hpp.

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◆ priceImpl()

Real priceImpl ( Time t ) const

protected

Definition at line 221 of file commoditycurve.hpp.

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Friends And Related Function Documentation

◆ CommodityIndex

friend class CommodityIndex

friend

Definition at line 39 of file commoditycurve.hpp.

◆ operator<<

std::ostream & operator<<	(	std::ostream &	out,
		const CommodityCurve &	curve
	)

friend

Definition at line 99 of file commoditycurve.cpp.

Member Data Documentation

◆ name_

std::string name_

protected

Definition at line 92 of file commoditycurve.hpp.

◆ commodityType_

CommodityType commodityType_

protected

Definition at line 93 of file commoditycurve.hpp.

◆ unitOfMeasure_

UnitOfMeasure unitOfMeasure_

protected

Definition at line 94 of file commoditycurve.hpp.

◆ currency_

Currency currency_

protected

Definition at line 95 of file commoditycurve.hpp.

◆ dates_

std::vector<Date> dates_

mutableprotected

Definition at line 96 of file commoditycurve.hpp.

◆ times_

std::vector<Time> times_

mutableprotected

Definition at line 97 of file commoditycurve.hpp.

◆ data_

std::vector<Real> data_

mutableprotected

Definition at line 98 of file commoditycurve.hpp.

◆ interpolation_

Interpolation interpolation_

mutableprotected

Definition at line 99 of file commoditycurve.hpp.

◆ interpolator_

ForwardFlat interpolator_

protected

Definition at line 100 of file commoditycurve.hpp.

◆ basisOfCurve_

ext::shared_ptr<CommodityCurve> basisOfCurve_

protected

Definition at line 101 of file commoditycurve.hpp.

◆ basisOfCurveUomConversionFactor_

Real basisOfCurveUomConversionFactor_

protected

Definition at line 102 of file commoditycurve.hpp.

Public Member Functions

Friends

Inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CommodityCurve() [1/2]

◆ CommodityCurve() [2/2]

Member Function Documentation

◆ name()

◆ commodityType()

◆ unitOfMeasure()

◆ currency()

◆ maxDate()

◆ times()

◆ dates()

◆ prices()

◆ nodes()

◆ empty()

◆ setPrices()

◆ setBasisOfCurve()

◆ price()

◆ basisOfPrice()

◆ underlyingPriceDate()

◆ basisOfCurve()

◆ basisOfPriceImpl()

◆ priceImpl()

Friends And Related Function Documentation

◆ CommodityIndex

◆ operator<<

Member Data Documentation

◆ name_

◆ commodityType_

◆ unitOfMeasure_

◆ currency_

◆ dates_

◆ times_

◆ data_

◆ interpolation_

◆ interpolator_

◆ basisOfCurve_

◆ basisOfCurveUomConversionFactor_