EnergyBasisSwap Class Reference

Energy basis swap. More...

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

Public Member Functions
	EnergyBasisSwap (const Calendar &calendar, ext::shared_ptr< CommodityIndex > spreadIndex, ext::shared_ptr< CommodityIndex > payIndex, ext::shared_ptr< CommodityIndex > receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, CommodityUnitCost basis, const CommodityType &commodityType, const ext::shared_ptr< SecondaryCosts > &secondaryCosts, Handle< YieldTermStructure > payLegTermStructure, Handle< YieldTermStructure > receiveLegTermStructure, Handle< YieldTermStructure > discountTermStructure)
const ext::shared_ptr< CommodityIndex > &	payIndex () const
const ext::shared_ptr< CommodityIndex > &	receiveIndex () const
const CommodityUnitCost &	basis () const

Protected Member Functions
void	performCalculations () const override

Protected Attributes
ext::shared_ptr< CommodityIndex >	spreadIndex_
ext::shared_ptr< CommodityIndex >	payIndex_
ext::shared_ptr< CommodityIndex >	receiveIndex_
bool	spreadToPayLeg_
CommodityUnitCost	basis_
Handle< YieldTermStructure >	payLegTermStructure_
Handle< YieldTermStructure >	receiveLegTermStructure_
Handle< YieldTermStructure >	discountTermStructure_

Detailed Description

Energy basis swap.

Member Function Documentation

performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.