A free/open-source library for quantitative finance
EnergyVanillaSwap Class Reference
Vanilla energy swap. More...
#include <ql/experimental/commodities/energyvanillaswap.hpp>
Inherits EnergySwap.
Public Member Functions | |
| EnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const boost::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure > &payLegTermStructure, const Handle< YieldTermStructure > &receiveLegTermStructure, const Handle< YieldTermStructure > &discountTermStructure) | |
| bool | isExpired () const |
| returns whether the instrument might have value greater than zero. | |
| Integer | payReceive () const |
| const Money & | fixedPrice () const |
| const UnitOfMeasure & | fixedPriceUnitOfMeasure () const |
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const boost::shared_ptr < CommodityIndex > & | index () const |
 Public Member Functions inherited from EnergySwap | |
| EnergySwap (const Calendar &calendar, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts) | |
| bool | isExpired () const |
| 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 |
| Public Member Functions inherited from EnergyCommodity | |
| EnergyCommodity (const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts) | |
| virtual Quantity | quantity () const =0 |
| const CommodityType & | commodityType () const |
| void | setupArguments (PricingEngine::arguments *) const |
| void | fetchResults (const PricingEngine::results *) const |
| Public Member Functions inherited from Commodity | |
| Commodity (const boost::shared_ptr< SecondaryCosts > &secondaryCosts) | |
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const boost::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 | |
| Real | NPV () const |
| returns the net present value of the instrument. | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. | |
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const std::map< std::string, boost::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. | |
| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
| Public Member Functions inherited from LazyObject | |
| void | update () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
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std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Protected Member Functions | |
| void | performCalculations () const |
| 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 |
| virtual void | setupExpired () const |
| Protected Member Functions inherited from LazyObject | |
Protected Attributes | |
| Integer | payReceive_ |
| Money | fixedPrice_ |
| UnitOfMeasure | fixedPriceUnitOfMeasure_ |
| boost::shared_ptr< CommodityIndex > | index_ |
| Handle< YieldTermStructure > | payLegTermStructure_ |
| Handle< YieldTermStructure > | receiveLegTermStructure_ |
| Handle< YieldTermStructure > | discountTermStructure_ |
| Protected Attributes inherited from EnergySwap | |
| Calendar | calendar_ |
| Currency | payCurrency_ |
| Currency | receiveCurrency_ |
| PricingPeriods | pricingPeriods_ |
| EnergyDailyPositions | dailyPositions_ |
| CommodityCashFlows | paymentCashFlows_ |
| Protected Attributes inherited from EnergyCommodity | |
| CommodityType | commodityType_ |
| Protected Attributes inherited from Commodity | |
| boost::shared_ptr< SecondaryCosts > | secondaryCosts_ |
| PricingErrors | pricingErrors_ |
| SecondaryCostAmounts | secondaryCostAmounts_ |
| Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
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 } |
| 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
Vanilla energy swap.
Member Function Documentation
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protectedvirtual |
In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.
Reimplemented from Instrument.