Energy basis swap. More...
#include <energybasisswap.hpp>
Inheritance diagram for EnergyBasisSwap:
Collaboration diagram for EnergyBasisSwap:
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 |
| Public Member Functions inherited from EnergySwap | |
| EnergySwap (Calendar calendar, Currency payCurrency, Currency receiveCurrency, PricingPeriods pricingPeriods, const CommodityType &commodityType, const ext::shared_ptr< SecondaryCosts > &secondaryCosts) | |
| bool | isExpired () const override |
| returns whether the instrument might have value greater than zero. More... | |
| 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 override |
| Public Member Functions inherited from EnergyCommodity | |
| EnergyCommodity (CommodityType commodityType, const ext::shared_ptr< SecondaryCosts > &secondaryCosts) | |
| virtual Quantity | quantity () const =0 |
| const CommodityType & | commodityType () const |
| void | setupArguments (PricingEngine::arguments *) const override |
| void | fetchResults (const PricingEngine::results *) const override |
| Public Member Functions inherited from Commodity | |
| Commodity (ext::shared_ptr< SecondaryCosts > secondaryCosts) | |
| const ext::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 | |
| Instrument () | |
| Real | NPV () const |
| returns the net present value of the instrument. More... | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. More... | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. More... | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. More... | |
| const std::map< std::string, ext::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. More... | |
| void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
| Public Member Functions inherited from LazyObject | |
| LazyObject () | |
| ~LazyObject () override=default | |
| void | update () override |
| bool | isCalculated () const |
| void | forwardFirstNotificationOnly () |
| void | alwaysForwardNotifications () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| Public Member Functions inherited from Observable | |
| Observable ()=default | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~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 | update ()=0 |
| virtual void | deepUpdate () |
Protected Member Functions | |
| void | performCalculations () const override |
| Protected Member Functions inherited from EnergyCommodity | |
| Real | calculateUnitCost (const CommodityType &commodityType, const CommodityUnitCost &unitCost, const Date &evaluationDate) const |
| void | calculateSecondaryCostAmounts (const CommodityType &commodityType, Real totalQuantityValue, const Date &evaluationDate) const |
| Protected Member Functions inherited from Instrument | |
| void | calculate () const override |
| virtual void | setupExpired () const |
| void | performCalculations () const override |
| Protected Member Functions inherited from LazyObject | |
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 } |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| 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.
Definition at line 34 of file energybasisswap.hpp.
Constructor & Destructor Documentation
◆ EnergyBasisSwap()
| 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 | ||
| ) |
Member Function Documentation
◆ payIndex()
| const ext::shared_ptr< CommodityIndex > & payIndex | ( | ) | const |
Definition at line 51 of file energybasisswap.hpp.
◆ receiveIndex()
| const ext::shared_ptr< CommodityIndex > & receiveIndex | ( | ) | const |
Definition at line 54 of file energybasisswap.hpp.
◆ basis()
| const CommodityUnitCost & basis | ( | ) | const |
Definition at line 57 of file energybasisswap.hpp.
◆ performCalculations()
|
overrideprotectedvirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
Definition at line 53 of file energybasisswap.cpp.
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Member Data Documentation
◆ spreadIndex_
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protected |
Definition at line 62 of file energybasisswap.hpp.
◆ payIndex_
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protected |
Definition at line 63 of file energybasisswap.hpp.
◆ receiveIndex_
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protected |
Definition at line 64 of file energybasisswap.hpp.
◆ spreadToPayLeg_
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protected |
Definition at line 65 of file energybasisswap.hpp.
◆ basis_
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protected |
Definition at line 66 of file energybasisswap.hpp.
◆ payLegTermStructure_
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protected |
Definition at line 67 of file energybasisswap.hpp.
◆ receiveLegTermStructure_
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protected |
Definition at line 68 of file energybasisswap.hpp.
◆ discountTermStructure_
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protected |
Definition at line 69 of file energybasisswap.hpp.