CommodityBasisPriceCurveWrapper Class Reference

Inheritance diagram for CommodityBasisPriceCurveWrapper:

Public Member Functions
	CommodityBasisPriceCurveWrapper (const QuantLib::Date &referenceDate, const QuantLib::ext::shared_ptr< PriceTermStructure > &priceCurve, 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 priceAsHistFixing=true)
	CommodityBasisPriceCurveWrapper (const QuantLib::ext::shared_ptr< CommodityBasisPriceTermStructure > &referenceCurve, const QuantLib::ext::shared_ptr< CommodityIndex > &baseIndex, const QuantLib::ext::shared_ptr< PriceTermStructure > &priceCurve)
QuantLib::Date	maxDate () const override
void	update () override
QuantLib::Natural	settlementDays () const override
QuantLib::Time	minTime () const override
	The minimum time for which the curve can return values.
const QuantLib::Currency &	currency () const override
	The currency in which prices are expressed.
std::vector< QuantLib::Date >	pillarDates () const override
	The pillar dates for the PriceTermStructure.
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

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_

Member Function Documentation

minTime()

QuantLib::Time minTime ( ) const

overridevirtual

The minimum time for which the curve can return values.

Reimplemented from PriceTermStructure.

currency()

const QuantLib::Currency & currency ( ) const

overridevirtual

The currency in which prices are expressed.

Implements PriceTermStructure.

pillarDates()

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

overridevirtual

The pillar dates for the PriceTermStructure.

Implements PriceTermStructure.