QuantLib: CommodityIndex Class Reference

base class for commodity indexes More...

#include <commodityindex.hpp>

Inheritance diagram for CommodityIndex:

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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. More...

Calendar	fixingCalendar () const override
	returns the calendar defining valid fixing dates More...

bool	isValidFixingDate (const Date &fixingDate) const override
	returns TRUE if the fixing date is a valid one More...

Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
	returns the fixing at the given date More...

Observer interface
void	update () override

Public Member Functions inherited from Index
	~Index () override=default

virtual std::string	name () const =0
	Returns the name of the index. More...

virtual Calendar	fixingCalendar () const =0
	returns the calendar defining valid fixing dates More...

virtual bool	isValidFixingDate (const Date &fixingDate) const =0
	returns TRUE if the fixing date is a valid one More...

bool	hasHistoricalFixing (const Date &fixingDate) const
	returns whether a historical fixing was stored for the given date More...

virtual Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const =0
	returns the fixing at the given date More...

virtual Real	pastFixing (const Date &fixingDate) const
	returns a past fixing at the given date More...

const TimeSeries< Real > &	timeSeries () const
	returns the fixing TimeSeries More...

virtual bool	allowsNativeFixings ()
	check if index allows for native fixings. More...

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 More...

template<class DateIterator , class ValueIterator >
void	addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
	stores historical fixings at the given dates More...

void	clearFixings ()
	clears all stored historical fixings More...

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 ()

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

Protected Member Functions inherited from Index
ext::shared_ptr< Observable >	notifier () const

Detailed Description

base class for commodity indexes

Definition at line 35 of file commodityindex.hpp.

Constructor & Destructor Documentation

◆ CommodityIndex()

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
	)

Definition at line 26 of file commodityindex.cpp.

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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.

Definition at line 154 of file commodityindex.hpp.

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◆ fixingCalendar()

Calendar fixingCalendar ( ) const

overridevirtual

returns the calendar defining valid fixing dates

Implements Index.

Definition at line 158 of file commodityindex.hpp.

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◆ isValidFixingDate()

bool isValidFixingDate ( const Date & fixingDate ) const

overridevirtual

returns TRUE if the fixing date is a valid one

Implements Index.

Definition at line 162 of file commodityindex.hpp.

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◆ 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.

Definition at line 166 of file commodityindex.hpp.

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◆ 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.

Definition at line 150 of file commodityindex.hpp.

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◆ commodityType()

const CommodityType & commodityType ( ) const

Definition at line 170 of file commodityindex.hpp.

◆ currency()

const Currency & currency ( ) const

Definition at line 178 of file commodityindex.hpp.

◆ unitOfMeasure()

const UnitOfMeasure & unitOfMeasure ( ) const

Definition at line 174 of file commodityindex.hpp.

◆ forwardCurve()

const ext::shared_ptr< CommodityCurve > & forwardCurve ( ) const

Definition at line 187 of file commodityindex.hpp.

◆ lotQuantity()

Real lotQuantity ( ) const

Definition at line 182 of file commodityindex.hpp.

◆ forwardPrice()

Real forwardPrice ( const Date & date ) const

Definition at line 191 of file commodityindex.hpp.

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◆ lastQuoteDate()

Date lastQuoteDate ( ) const

Definition at line 202 of file commodityindex.hpp.

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◆ empty()

bool empty ( ) const

Definition at line 206 of file commodityindex.hpp.

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◆ forwardCurveEmpty()

bool forwardCurveEmpty ( ) const

Definition at line 210 of file commodityindex.hpp.

◆ calendar()

const Calendar & calendar ( ) const

Deprecated:: Use fixingCalendar instead. Deprecated in version 1.37.

Definition at line 75 of file commodityindex.hpp.

◆ price()

Real price ( const Date & date )

Deprecated:: Use fixing instead. Deprecated in version 1.37.

Definition at line 83 of file commodityindex.hpp.

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◆ addQuote()

void addQuote	(	const Date &	quoteDate,
		Real	quote
	)

Deprecated:: Use addFixing instead. Deprecated in version 1.37.

Definition at line 91 of file commodityindex.hpp.

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◆ addQuotes()

void addQuotes ( const std::map< Date, Real > & quotes )

Deprecated:: Use addFixings instead. Deprecated in version 1.37.

Definition at line 99 of file commodityindex.hpp.

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◆ clearQuotes()

void clearQuotes ( )

Deprecated:: Use clearFixings instead. Deprecated in version 1.37.

Definition at line 109 of file commodityindex.hpp.

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◆ isValidQuoteDate()

bool isValidQuoteDate ( const Date & quoteDate ) const

Deprecated:: Use isValidFixingDate instead. Deprecated in version 1.37.

Definition at line 117 of file commodityindex.hpp.

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◆ quotes()

const TimeSeries< Real > & quotes ( ) const

Deprecated:: Use timeSeries instead. Deprecated in version 1.37.

Definition at line 125 of file commodityindex.hpp.

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Friends And Related Function Documentation

◆ operator<<

std::ostream & operator<<	(	std::ostream &	out,
		const CommodityIndex &	index
	)

friend

Definition at line 52 of file commodityindex.cpp.

Member Data Documentation

◆ name_

std::string name_

protected

Definition at line 131 of file commodityindex.hpp.

◆ commodityType_

CommodityType commodityType_

protected

Definition at line 132 of file commodityindex.hpp.

◆ unitOfMeasure_

UnitOfMeasure unitOfMeasure_

protected

Definition at line 133 of file commodityindex.hpp.

◆ currency_

Currency currency_

protected

Definition at line 134 of file commodityindex.hpp.

◆ calendar_

Calendar calendar_

protected

Definition at line 135 of file commodityindex.hpp.

◆ lotQuantity_

Real lotQuantity_

protected

Definition at line 136 of file commodityindex.hpp.

◆ forwardCurve_

ext::shared_ptr<CommodityCurve> forwardCurve_

protected

Definition at line 137 of file commodityindex.hpp.

◆ forwardCurveUomConversionFactor_

Real forwardCurveUomConversionFactor_ = 1

protected

Definition at line 138 of file commodityindex.hpp.

◆ exchangeContracts_

ext::shared_ptr<ExchangeContracts> exchangeContracts_

protected

Definition at line 139 of file commodityindex.hpp.

◆ nearbyOffset_

Integer nearbyOffset_

protected

Definition at line 140 of file commodityindex.hpp.

Public Member Functions

Inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CommodityIndex()

Member Function Documentation

◆ name()

◆ fixingCalendar()

◆ isValidFixingDate()

◆ fixing()

◆ update()

◆ commodityType()

◆ currency()

◆ unitOfMeasure()

◆ forwardCurve()

◆ lotQuantity()

◆ forwardPrice()

◆ lastQuoteDate()

◆ empty()

◆ forwardCurveEmpty()

◆ calendar()

◆ price()

◆ addQuote()

◆ addQuotes()

◆ clearQuotes()

◆ isValidQuoteDate()

◆ quotes()

Friends And Related Function Documentation

◆ operator<<

Member Data Documentation

◆ name_

◆ commodityType_

◆ unitOfMeasure_

◆ currency_

◆ calendar_

◆ lotQuantity_

◆ forwardCurve_

◆ forwardCurveUomConversionFactor_

◆ exchangeContracts_

◆ nearbyOffset_