Reference manual - version qle_version
#include <qle/termstructures/averagefuturepricehelper.hpp>
Public Member Functions | |
Constructors | |
| AverageFuturePriceHelper (const QuantLib::Handle< QuantLib::Quote > &price, const QuantLib::ext::shared_ptr< CommodityIndex > &index, const QuantLib::Date &start, const QuantLib::Date &end, const ext::shared_ptr< FutureExpiryCalculator > &calc, const QuantLib::Calendar &calendar=QuantLib::Calendar(), QuantLib::Natural deliveryDateRoll=0, QuantLib::Integer futureMonthOffset=0, bool useBusinessDays=true, QuantLib::Natural dailyExpiryOffset=QuantLib::Null< QuantLib::Natural >(), const QuantLib::ext::optional< std::pair< Calendar, Real > > &offPeakPowerData=QuantLib::ext::nullopt) | |
| AverageFuturePriceHelper (QuantLib::Real price, const QuantLib::ext::shared_ptr< CommodityIndex > &index, const QuantLib::Date &start, const QuantLib::Date &end, const ext::shared_ptr< FutureExpiryCalculator > &calc, const QuantLib::Calendar &calendar=QuantLib::Calendar(), QuantLib::Natural deliveryDateRoll=0, QuantLib::Integer futureMonthOffset=0, bool useBusinessDays=true, QuantLib::Natural dailyExpiryOffset=QuantLib::Null< QuantLib::Natural >(), const QuantLib::ext::optional< std::pair< Calendar, Real > > &offPeakPowerData=QuantLib::ext::nullopt) | |
PriceHelper interface | |
| QuantLib::Real | impliedQuote () const override |
| void | setTermStructure (PriceTermStructure *ts) override |
Visitability | |
| void | accept (QuantLib::AcyclicVisitor &v) override |
Inspectors | |
| QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow > | averageCashflow () const |
| void | deepUpdate () override |
Helper for bootstrapping using prices that are the average of future settlement prices over a period.
| AverageFuturePriceHelper | ( | const QuantLib::Handle< QuantLib::Quote > & | price, |
| const QuantLib::ext::shared_ptr< CommodityIndex > & | index, | ||
| const QuantLib::Date & | start, | ||
| const QuantLib::Date & | end, | ||
| const ext::shared_ptr< FutureExpiryCalculator > & | calc, | ||
| const QuantLib::Calendar & | calendar = QuantLib::Calendar(), | ||
| QuantLib::Natural | deliveryDateRoll = 0, | ||
| QuantLib::Integer | futureMonthOffset = 0, | ||
| bool | useBusinessDays = true, | ||
| QuantLib::Natural | dailyExpiryOffset = QuantLib::Null< QuantLib::Natural >(), | ||
| const QuantLib::ext::optional< std::pair< Calendar, Real > > & | offPeakPowerData = QuantLib::ext::nullopt ) |
| price | The average price quote. |
| index | The commodity index. Used to convey the commodity's name and calendar. The underlying averaging cashflow may reference more than one commodity future indices. |
| start | The start date of the averaging period. The averaging period includes the start date if it is a pricing date according to the calendar. |
| end | The end date of the averaging period. The averaging period includes the end date if it is a pricing date according to the calendar. |
| calc | A FutureExpiryCalculator instance. |
| calendar | The calendar used to determine pricing dates in the averaging period. If not provided, the index calendar is used. |
| deliveryDateRoll | The number of pricing days before the prompt future expiry date on which to roll to using the next future contract in the averaging. |
| futureMonthOffset | Use a positive integer to select a non-prompt future contract in the averaging. |
| useBusinessDays | If set to false, the averaging happens on the complement of the pricing calendar dates in the period. This is useful for some electricity futures. |
| dailyExpiryOffset | If set to Null<Natural>(), this is ignored. If set to a positive integer, it is the number of business days on the index calendar to offset each daily expiry date on each pricing date. |
| AverageFuturePriceHelper | ( | QuantLib::Real | price, |
| const QuantLib::ext::shared_ptr< CommodityIndex > & | index, | ||
| const QuantLib::Date & | start, | ||
| const QuantLib::Date & | end, | ||
| const ext::shared_ptr< FutureExpiryCalculator > & | calc, | ||
| const QuantLib::Calendar & | calendar = QuantLib::Calendar(), | ||
| QuantLib::Natural | deliveryDateRoll = 0, | ||
| QuantLib::Integer | futureMonthOffset = 0, | ||
| bool | useBusinessDays = true, | ||
| QuantLib::Natural | dailyExpiryOffset = QuantLib::Null< QuantLib::Natural >(), | ||
| const QuantLib::ext::optional< std::pair< Calendar, Real > > & | offPeakPowerData = QuantLib::ext::nullopt ) |
| price | The average price. |
| index | The commodity index. Used to convey the commodity's name and calendar. The underlying averaging cashflow may reference more than one commodity future indices. |
| start | The start date of the averaging period. The averaging period includes the start date if it is a pricing date according to the calendar. |
| end | The end date of the averaging period. The averaging period includes the end date if it is a pricing date according to the calendar. |
| calc | A FutureExpiryCalculator instance. |
| calendar | The calendar used to determine pricing dates in the averaging period. If not provided, the index calendar is used. |
| deliveryDateRoll | The number of pricing days before the prompt future expiry date on which to roll to using the next future contract in the averaging. |
| futureMonthOffset | Use a positive integer to select a non-prompt future contract in the averaging. |
| useBusinessDays | If set to false, the averaging happens on the complement of the pricing calendar dates in the period. This is useful for some electricity futures. |
| dailyExpiryOffset | If set to Null<Natural>(), this is ignored. If set to a positive integer, it is the number of business days on the index calendar to offset each daily expiry date on each pricing date. |
| offPeakPowerData | Optional data for off-peak power averaging futures. Contains the Holiday calendar number of offpeak hours on a workday. Used for compute the average hourly price from the daily price fixings. |
