CommodityAverageBasisPriceCurve< Interpolator > Class Template Reference

Commodity average basis price curve. More...

#include <qle/termstructures/commodityaveragebasispricecurve.hpp>

Inheritance diagram for CommodityAverageBasisPriceCurve< Interpolator >:

Public Member Functions
Constructors
	CommodityAverageBasisPriceCurve (const QuantLib::Date &referenceDate, const std::map< QuantLib::Date, QuantLib::Handle< QuantLib::Quote > > &basisData, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &basisFec, const QuantLib::ext::shared_ptr< CommodityIndex > &index, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &baseFec, bool addBasis=true, bool priceAsHistFixing=true, const Interpolator &interpolator=Interpolator())
	Curve constructed from dates and quotes.
Observer interface
void	update () override
LazyObject interface
void	performCalculations () const override
TermStructure interface
QuantLib::Date	maxDate () const override
QuantLib::Time	maxTime () const override
PriceTermStructure interface
QuantLib::Time	minTime () const override
	The minimum time for which the curve can return values.
std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure.
const QuantLib::Currency &	currency () const override
	The currency in which prices are expressed.
Inspectors
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Real > &	prices () const
Public Member Functions inherited from CommodityBasisPriceTermStructure
	CommodityBasisPriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &basisFec, const QuantLib::ext::shared_ptr< CommodityIndex > &baseIndex, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &baseFec, bool addBasis=true, QuantLib::Size monthOffset=0, bool averagingBaseCashflow=false, bool priceAsHistoricalFixing=true)
	CommodityBasisPriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &basisFec, const QuantLib::ext::shared_ptr< CommodityIndex > &baseIndex, const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &baseFec, bool addBasis=true, QuantLib::Size monthOffset=0, bool averagingBaseCashflow=false, bool priceAsHistoricalFixing=true)
const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &	basisFutureExpiryCalculator () const
	Inspectors.
const QuantLib::ext::shared_ptr< CommodityIndex > &	baseIndex () const
const QuantLib::ext::shared_ptr< FutureExpiryCalculator > &	baseFutureExpiryCalculator () const
bool	addBasis () const
bool	averagingBaseCashflow () const
bool	priceAsHistoricalFixing () const
QuantLib::Size	monthOffset () const
Public Member Functions inherited from PriceTermStructure
	PriceTermStructure (const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	PriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal=QuantLib::Calendar(), const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	PriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
QuantLib::Real	price (QuantLib::Time t, bool extrapolate=false) const
QuantLib::Real	price (const QuantLib::Date &d, bool extrapolate=false) const
void	update () override

PriceTermStructure implementation
QuantLib::Real	priceImpl (QuantLib::Time t) const override
	Price calculation.

Additional Inherited Members
Protected Member Functions inherited from PriceTermStructure
void	checkRange (QuantLib::Time t, bool extrapolate) const
	Extra time range check for minimum time, then calls TermStructure::checkRange.
Protected Attributes inherited from CommodityBasisPriceTermStructure
QuantLib::ext::shared_ptr< FutureExpiryCalculator >	basisFec_
QuantLib::ext::shared_ptr< CommodityIndex >	baseIndex_
QuantLib::ext::shared_ptr< FutureExpiryCalculator >	baseFec_
bool	addBasis_
QuantLib::Size	monthOffset_
bool	averagingBaseCashflow_
bool	priceAsHistoricalFixing_

Detailed Description

template<class Interpolator>
class QuantExt::CommodityAverageBasisPriceCurve< Interpolator >

Commodity average basis price curve.

Class representing an outright commodity price curve created from a base price curve and a collection of basis quotes that are added to or subtracted from the base curve. This class is intended to be used only for commodity future basis price curves. The base curve is averaged over the period defined the basis quote.

Member Function Documentation

minTime()

template<class Interpolator>

QuantLib::Time minTime ( ) const

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from PriceTermStructure.

pillarDates()

template<class Interpolator>

std::vector< QuantLib::Date > pillarDates ( ) const

overridevirtual

The pillar dates for the PriceTermStructure.

Implements PriceTermStructure.

currency()

template<class Interpolator>

const QuantLib::Currency & currency ( ) const

overridevirtual

The currency in which prices are expressed.

Implements PriceTermStructure.

priceImpl()

template<class Interpolator>

QuantLib::Real priceImpl ( QuantLib::Time ) const

overrideprotectedvirtual

Price calculation.

Implements PriceTermStructure.