CommodityCurve Class Reference

Commodity term structure. More...

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

Inheritance 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
	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, Calendar, 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 () override
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
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_
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
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
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

Detailed Description

Commodity term structure.

Member Function Documentation

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.