EnergyBasisSwap Class Reference

Energy basis swap. More...

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

Inherits EnergySwap.

Public Member Functions

 EnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure > &payLegTermStructure, const Handle< YieldTermStructure > &receiveLegTermStructure, const Handle< YieldTermStructure > &discountTermStructure)
 
const boost::shared_ptr
< CommodityIndex > & 
payIndex () const
 
const boost::shared_ptr
< CommodityIndex > & 
receiveIndex () const
 
const CommodityUnitCost & basis () const
 
- Public Member Functions inherited from EnergySwap
 EnergySwap (const Calendar &calendar, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts)
 
bool isExpired () const
 
const Calendarcalendar () const
 
const CurrencypayCurrency () const
 
const CurrencyreceiveCurrency () const
 
const PricingPeriods & pricingPeriods () const
 
const EnergyDailyPositions & dailyPositions () const
 
const CommodityCashFlows & paymentCashFlows () const
 
const CommodityTypecommodityType () const
 
Quantity quantity () const
 
- Public Member Functions inherited from EnergyCommodity
 EnergyCommodity (const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts)
 
virtual Quantity quantity () const =0
 
const CommodityTypecommodityType () const
 
void setupArguments (PricingEngine::arguments *) const
 
void fetchResults (const PricingEngine::results *) const
 
- Public Member Functions inherited from Commodity
 Commodity (const boost::shared_ptr< SecondaryCosts > &secondaryCosts)
 
const boost::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
Real NPV () const
 returns the net present value of the instrument.
 
Real errorEstimate () const
 returns the error estimate on the NPV when available.
 
const DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename T >
result (const std::string &tag) const
 returns any additional result returned by the pricing engine.
 
const std::map< std::string,
boost::any > & 
additionalResults () const
 returns all additional result returned by the pricing engine.
 
virtual bool isExpired () const =0
 returns whether the instrument might have value greater than zero.
 
void setPricingEngine (const boost::shared_ptr< PricingEngine > &)
 set the pricing engine to be used.
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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 ()
 

Protected Member Functions

void performCalculations () const
 

Protected Attributes

boost::shared_ptr< CommodityIndexspreadIndex_
 
boost::shared_ptr< CommodityIndexpayIndex_
 
boost::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
boost::shared_ptr< SecondaryCosts > secondaryCosts_
 
PricingErrors pricingErrors_
 
SecondaryCostAmounts secondaryCostAmounts_
 
- Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngineengine_
 
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

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 }
 
- 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.

Member Function Documentation

void performCalculations ( ) const
protectedvirtual

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from Instrument.