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| CommodityAveragePriceOption (const ore::data::Envelope &envelope, const ore::data::OptionData &optionData, QuantLib::Real quantity, QuantLib::Real strike, const std::string ¤cy, const std::string &name, CommodityPriceType priceType, const std::string &startDate, const std::string &endDate, const std::string &paymentCalendar, const std::string &paymentLag, const std::string &paymentConvention, const std::string &pricingCalendar, const std::string &paymentDate="", QuantLib::Real gearing=1.0, QuantLib::Spread spread=0.0, QuantExt::CommodityQuantityFrequency commodityQuantityFrequency=QuantExt::CommodityQuantityFrequency::PerCalculationPeriod, CommodityPayRelativeTo commodityPayRelativeTo=CommodityPayRelativeTo::CalculationPeriodEndDate, QuantLib::Integer futureMonthOffset=0, QuantLib::Natural deliveryRollDays=0, bool includePeriodEnd=true, const BarrierData &barrierData={}, const std::string &fxIndex="") |
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void | build (const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &engineFactory) override |
| std::map< AssetClass, std::set< std::string > > | underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override |
| | Add underlying Commodity names.
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const ore::data::OptionData & | optionData () |
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const ore::data::BarrierData & | barrierData () |
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QuantLib::Real | quantity () const |
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QuantLib::Real | strike () const |
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const std::string & | currency () const |
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const std::string & | name () const |
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CommodityPriceType | priceType () const |
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const std::string & | startDate () const |
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const std::string & | endDate () const |
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const std::string & | paymentCalendar () const |
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const std::string & | paymentLag () const |
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const std::string & | paymentConvention () const |
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const std::string & | pricingCalendar () const |
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const std::string & | paymentDate () const |
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QuantLib::Real | gearing () const |
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QuantLib::Spread | spread () const |
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QuantExt::CommodityQuantityFrequency | commodityQuantityFrequency () const |
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CommodityPayRelativeTo | commodityPayRelativeTo () const |
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QuantLib::Integer | futureMonthOffset () const |
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QuantLib::Natural | deliveryRollDays () const |
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bool | includePeriodEnd () const |
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const std::string & | fxIndex () const |
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| Trade () |
| | Default constructor.
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| Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions()) |
| | Base class constructor.
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virtual | ~Trade () |
| | Default destructor.
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| virtual void | build (const QuantLib::ext::shared_ptr< EngineFactory > &)=0 |
| virtual std::map< std::string, RequiredFixings::FixingDates > | fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const |
| const RequiredFixings & | requiredFixings () const |
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void | reset () |
| | Reset trade, clear all base class data. This does not reset accumulated timings for this trade.
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void | resetPricingStats (const std::size_t numberOfPricings=0, const boost::timer::nanosecond_type cumulativePricingTime=0) |
| | Reset accumulated timings to given values.
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string & | id () |
| | Set the trade id.
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void | setId (const std::string &id) |
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void | setEnvelope (const Envelope &envelope) |
| | Set the envelope with counterparty and portfolio info.
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void | setAdditionalData (const std::map< std::string, QuantLib::ext::any > &additionalData) |
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TradeActions & | tradeActions () |
| | Set the trade actions.
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const string & | id () const |
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const string & | tradeType () const |
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const Envelope & | envelope () const |
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const set< string > & | portfolioIds () const |
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const TradeActions & | tradeActions () const |
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const QuantLib::ext::shared_ptr< InstrumentWrapper > & | instrument () const |
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const std::vector< QuantLib::Leg > & | legs () const |
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const std::vector< string > & | legCurrencies () const |
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const std::vector< bool > & | legPayers () const |
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const std::map< size_t, LegCashflowInclusion > & | legCashflowInclusion () const |
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const string & | npvCurrency () const |
| virtual QuantLib::Real | notional () const |
| | Return the current notional in npvCurrency. See individual sub-classes for the precise definition.
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virtual string | notionalCurrency () const |
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const Date & | maturity () const |
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const string & | maturityType () const |
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virtual bool | isExpired (const Date &d) const |
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const string & | issuer () const |
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template<typename T> |
| T | additionalDatum (const std::string &tag) const |
| | returns any additional datum.
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| virtual const std::map< std::string, QuantLib::ext::any > & | additionalData () const |
| | returns all additional data returned by the trade once built
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| const std::string & | sensitivityTemplate () const |
| const std::set< std::tuple< std::set< std::string >, std::string, std::string > > & | productModelEngine () const |
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void | validate () const |
| | Utility to validate that everything that needs to be set in this base class is actually set.
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boost::timer::nanosecond_type | getCumulativePricingTime () const |
| | Get cumulative timing spent on pricing.
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std::size_t | getNumberOfPricings () const |
| | Get number of pricings.
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void | addProductModelEngine (const EngineBuilder &builder) |
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void | addProductModelEngine (const std::set< std::tuple< std::set< std::string >, std::string, std::string > > &productModelEngine) |
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void | setSensitivityTemplate (const EngineBuilder &builder) |
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void | setSensitivityTemplate (const std::string &id) |
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virtual std::vector< TradeCashflowReportData > | cashflows (const std::string &baseCurrency, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const std::string &configuration, const bool includePastCashflows) const |
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void | fromFile (const std::string &filename) |
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void | toFile (const std::string &filename) const |
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void | fromXMLString (const std::string &xml) |
| | Parse from XML string.
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std::string | toXMLString () const |
| | Parse from XML string.
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std::string | toXMLStringUnformatted () const |
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| enum class | LegCashflowInclusion { IfNoEngineCashflows
, Never
, Always
} |
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Date | addPremiums (std::vector< QuantLib::ext::shared_ptr< Instrument > > &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const string &discountCurve, const QuantLib::ext::shared_ptr< EngineFactory > &factory, const string &configuration) |
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void | setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const |
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void | updateProductModelEngineAdditionalData () |
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string | tradeType_ |
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QuantLib::ext::shared_ptr< InstrumentWrapper > | instrument_ |
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std::vector< QuantLib::Leg > | legs_ |
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std::vector< string > | legCurrencies_ |
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std::vector< bool > | legPayers_ |
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std::map< std::size_t, LegCashflowInclusion > | legCashflowInclusion_ |
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string | npvCurrency_ |
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QuantLib::Real | notional_ |
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string | notionalCurrency_ |
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Date | maturity_ |
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string | maturityType_ |
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string | issuer_ |
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string | sensitivityTemplate_ |
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bool | sensitivityTemplateSet_ = false |
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std::set< std::tuple< std::set< std::string >, std::string, std::string > > | productModelEngine_ |
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Date | lastRelevantDate_ = Null<Date>() |
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std::size_t | savedNumberOfPricings_ = 0 |
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boost::timer::nanosecond_type | savedCumulativePricingTime_ = 0 |
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RequiredFixings | requiredFixings_ |
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std::map< std::string, QuantLib::ext::any > | additionalData_ |
Serializable Commodity Average Price Option
