CommodityIndex Class Reference

base class for commodity indexes More...

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

Inheritance diagram for CommodityIndex:

Public Member Functions
	CommodityIndex (std::string name, CommodityType commodityType, Currency currency, UnitOfMeasure unitOfMeasure, Calendar calendar, Real lotQuantity, ext::shared_ptr< CommodityCurve > forwardCurve, ext::shared_ptr< ExchangeContracts > exchangeContracts, int nearbyOffset)
Index interface
std::string	name () const override
	Returns the name of the index.
Calendar	fixingCalendar () const override
	returns the calendar defining valid fixing dates
bool	isValidFixingDate (const Date &fixingDate) const override
	returns TRUE if the fixing date is a valid one
Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
	returns the fixing at the given date
Observer interface
void	update () override
Public Member Functions inherited from Index
bool	hasHistoricalFixing (const Date &fixingDate) const
	returns whether a historical fixing was stored for the given date
virtual Real	pastFixing (const Date &fixingDate) const
	returns a past fixing at the given date
const TimeSeries< Real > &	timeSeries () const
	returns the fixing TimeSeries
virtual bool	allowsNativeFixings ()
	check if index allows for native fixings.
void	update () override
virtual void	addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false)
void	addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
	stores historical fixings from a TimeSeries
template<class DateIterator, class ValueIterator>
void	addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
	stores historical fixings at the given dates
void	clearFixings ()
	clears all stored historical fixings
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 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 ()

Inspectors
std::string	name_
CommodityType	commodityType_
UnitOfMeasure	unitOfMeasure_
Currency	currency_
Calendar	calendar_
Real	lotQuantity_
ext::shared_ptr< CommodityCurve >	forwardCurve_
Real	forwardCurveUomConversionFactor_ = 1
ext::shared_ptr< ExchangeContracts >	exchangeContracts_
Integer	nearbyOffset_
const CommodityType &	commodityType () const
const Currency &	currency () const
const UnitOfMeasure &	unitOfMeasure () const
const ext::shared_ptr< CommodityCurve > &	forwardCurve () const
Real	lotQuantity () const
Real	forwardPrice (const Date &date) const
Date	lastQuoteDate () const
bool	empty () const
bool	forwardCurveEmpty () const
const Calendar &	calendar () const
Real	price (const Date &date)
void	addQuote (const Date &quoteDate, Real quote)
void	addQuotes (const std::map< Date, Real > &quotes)
void	clearQuotes ()
bool	isValidQuoteDate (const Date &quoteDate) const
const TimeSeries< Real > &	quotes () const
std::ostream &	operator<< (std::ostream &, const CommodityIndex &)

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
ext::shared_ptr< Observable >	notifier () const

Detailed Description

base class for commodity indexes

Member Function Documentation

name()

std::string name ( ) const

overridevirtual

Returns the name of the index.

Warning

This method is used for output and comparison between indexes. It is not meant to be used for writing switch-on-type code.

Implements Index.

fixingCalendar()

Calendar fixingCalendar ( ) const

overridevirtual

returns the calendar defining valid fixing dates

Implements Index.

isValidFixingDate()

bool isValidFixingDate ( const Date & fixingDate ) const

overridevirtual

returns TRUE if the fixing date is a valid one

Implements Index.

fixing()

Real fixing ( const Date & fixingDate, bool forecastTodaysFixing = false ) const

overridevirtual

returns the fixing at the given date

the date passed as arguments must be the actual calendar date of the fixing; no settlement days must be used.

Implements Index.

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

calendar()

const Calendar & calendar

(

)

const

Deprecated

Use fixingCalendar instead. Deprecated in version 1.37.

price()

Real price

(

const Date &

date

)

Deprecated

Use fixing instead. Deprecated in version 1.37.

addQuote()

void addQuote	(	const Date &	quoteDate,
		Real	quote )

Deprecated

Use addFixing instead. Deprecated in version 1.37.

addQuotes()

void addQuotes

(

const std::map< Date, Real > &

quotes

)

Deprecated

Use addFixings instead. Deprecated in version 1.37.

clearQuotes()

void clearQuotes

(

)

Deprecated

Use clearFixings instead. Deprecated in version 1.37.

isValidQuoteDate()

bool isValidQuoteDate

(

const Date &

quoteDate

)

const

Deprecated

Use isValidFixingDate instead. Deprecated in version 1.37.

quotes()

const TimeSeries< Real > & quotes

(

)

const

Deprecated

Use timeSeries instead. Deprecated in version 1.37.