Commodity term structure. More...
#include <ql/experimental/commodities/commoditycurve.hpp>
Public Member Functions | |
CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency ¤cy, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &prices, const DayCounter &dayCounter=Actual365Fixed()) | |
CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency ¤cy, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const DayCounter &dayCounter=Actual365Fixed()) | |
![]() | |
TermStructure (const DayCounter &dc=DayCounter()) | |
default constructor | |
TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
virtual DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Time | timeFromReference (const Date &date) const |
date/time conversion | |
virtual Time | maxTime () const |
the latest time for which the curve can return values | |
virtual const Date & | referenceDate () const |
the date at which discount = 1.0 and/or variance = 0.0 | |
virtual Calendar | calendar () const |
the calendar used for reference and/or option date calculation | |
virtual Natural | settlementDays () const |
the settlementDays used for reference date calculation | |
void | update () |
![]() | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
![]() | |
void | enableExtrapolation (bool b=true) |
enable extrapolation in subsequent calls | |
void | disableExtrapolation (bool b=true) |
disable extrapolation in subsequent calls | |
bool | allowsExtrapolation () const |
tells whether extrapolation is enabled | |
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_ |
boost::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 |
the latest date for which the curve can return values | |
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 boost::shared_ptr< CommodityCurve > &basisOfCurve) |
Real | price (const Date &d, const boost::shared_ptr< ExchangeContracts > &exchangeContracts, Integer nearbyOffset) const |
Real | basisOfPrice (const Date &d) const |
Date | underlyingPriceDate (const Date &date, const boost::shared_ptr< ExchangeContracts > &exchangeContracts, Integer nearbyOffset) const |
const boost::shared_ptr < CommodityCurve > & | basisOfCurve () const |
Real | basisOfPriceImpl (Time t) const |
Real | priceImpl (Time t) const |
Additional Inherited Members | |
![]() | |
void | checkRange (const Date &d, bool extrapolate) const |
date-range check | |
void | checkRange (Time t, bool extrapolate) const |
time-range check | |
![]() | |
bool | moving_ |
bool | updated_ |
Calendar | calendar_ |
Commodity term structure.