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 |
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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 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 |
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EnergyCommodity (const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts) | |
virtual Quantity | quantity () const =0 |
const CommodityType & | commodityType () const |
void | setupArguments (PricingEngine::arguments *) const |
void | fetchResults (const PricingEngine::results *) const |
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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 |
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Real | NPV () const |
returns the net present value of the instrument. | |
Real | errorEstimate () const |
returns the error estimate on the NPV when available. | |
const Date & | valuationDate () const |
returns the date the net present value refers to. | |
template<typename T > | |
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. | |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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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 () |
Protected Member Functions | |
void | performCalculations () const |
Protected Attributes | |
boost::shared_ptr< CommodityIndex > | spreadIndex_ |
boost::shared_ptr< CommodityIndex > | payIndex_ |
boost::shared_ptr< CommodityIndex > | receiveIndex_ |
bool | spreadToPayLeg_ |
CommodityUnitCost | basis_ |
Handle< YieldTermStructure > | payLegTermStructure_ |
Handle< YieldTermStructure > | receiveLegTermStructure_ |
Handle< YieldTermStructure > | discountTermStructure_ |
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Calendar | calendar_ |
Currency | payCurrency_ |
Currency | receiveCurrency_ |
PricingPeriods | pricingPeriods_ |
EnergyDailyPositions | dailyPositions_ |
CommodityCashFlows | paymentCashFlows_ |
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CommodityType | commodityType_ |
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boost::shared_ptr< SecondaryCosts > | secondaryCosts_ |
PricingErrors | pricingErrors_ |
SecondaryCostAmounts | secondaryCostAmounts_ |
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boost::shared_ptr< PricingEngine > | engine_ |
Real | NPV_ |
Real | errorEstimate_ |
Date | valuationDate_ |
std::map< std::string, boost::any > | additionalResults_ |
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bool | calculated_ |
bool | frozen_ |
Additional Inherited Members | |
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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 } |
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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.
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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.