CommodityFuturesIndex Class Reference

Inheritance diagram for CommodityFuturesIndex:

Public Member Functions
	CommodityFuturesIndex (const std::string &underlyingName, const Date &expiryDate, const Calendar &fixingCalendar, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >(), const Date &optionExpiryDate=Date())
	CommodityFuturesIndex (const std::string &underlyingName, const Date &expiryDate, const Calendar &fixingCalendar, bool keepDays, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >(), const Date &optionExpiryDate=Date())
QuantLib::ext::shared_ptr< CommodityIndex >	clone (const QuantLib::Date &expiryDate=QuantLib::Date(), const Date &optionExpiryDate=QuantLib::Date(), const QuantLib::ext::optional< QuantLib::Handle< PriceTermStructure > > &ts=QuantLib::ext::nullopt) const override
	Implement the base clone.
Public Member Functions inherited from CommodityIndex
	CommodityIndex (const std::string &underlyingName, const QuantLib::Date &expiryDate, const Calendar &fixingCalendar, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >(), const QuantLib::Date &optionExpiryDate=QuantLib::Date())
	CommodityIndex (const std::string &underlyingName, const QuantLib::Date &expiryDate, const Calendar &fixingCalendar, bool keepDays, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >(), const QuantLib::Date &optionExpiryDate=QuantLib::Date())
std::string	name () const override
Calendar	fixingCalendar () const override
bool	isValidFixingDate (const Date &fixingDate) const override
Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
void	update () override
std::string	underlyingName () const
const Handle< QuantExt::PriceTermStructure > &	priceCurve () const
bool	isFuturesIndex () const
const QuantLib::Date &	expiryDate () const
const QuantLib::Date &	optionExpiryDate () const
bool	keepDays () const
virtual Real	forecastFixing (const Date &fixingDate) const
virtual Real	forecastFixing (const Time &fixingTime) const override
	returns the fixing at the given time
virtual Real	pastFixing (const Date &fixingDate) const override
	returns a past fixing at the given date

Additional Inherited Members
void	init ()
std::string	underlyingName_
Date	expiryDate_
Calendar	fixingCalendar_
Handle< QuantExt::PriceTermStructure >	curve_
std::string	name_
bool	isFuturesIndex_
bool	keepDays_
Date	optionExpiryDate_

Member Function Documentation

clone()

QuantLib::ext::shared_ptr< CommodityIndex > clone ( const QuantLib::Date & expiryDate = QuantLib::Date(), const Date & optionExpiryDate = QuantLib::Date(), const QuantLib::ext::optional< QuantLib::Handle< PriceTermStructure > > & ts = QuantLib::ext::nullopt ) const

overridevirtual

Implement the base clone.

Implements CommodityIndex.