#include <qle/indexes/commodityindex.hpp>

Inheritance diagram for CommodityIndex:

Public Member Functions
	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())
Index interface
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
Observer interface
void	update () override
Inspectors
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

Fixing calculations
std::string	underlyingName_
Date	expiryDate_
Calendar	fixingCalendar_
Handle< QuantExt::PriceTermStructure >	curve_
std::string	name_
bool	isFuturesIndex_
bool	keepDays_
Date	optionExpiryDate_
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
virtual 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 =0
void	init ()

Detailed Description

Commodity Index.

This index can represent both spot and futures prices. In the latter case the constructor needs to be called with the futures expiry date. If the expiry date is set to Date(), the index is interpreted as spot index.

If it is spot index, the index name() is set to the underlying name passed to the constructor prefixed by "COMM-".

If it is a futures index and keepDays_ is false, we set the name() to "COMM-" + underlyingName + "-" + "yyyy-mm", where "yyyy" is the expiry date's year and "mm" is the expiry date's month. The index forecast for fixing Date yields the price curve's forecast to the futures expiry instead which is beyond the fixing date. If keepDays_ is true, the date suffix in the name is "yyyy-mm-dd" i.e. we keep the full date. This is useful for commodities whose expiry cycle is less than one month e.g. daily.

Constructor & Destructor Documentation

◆ 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() )

spot quote is interpreted as of today

Member Function Documentation

◆ forecastFixing()

virtual Real forecastFixing ( const Time & fixingTime ) const

overridevirtual

returns the fixing at the given time

Implements EqFxIndexBase.

◆ pastFixing()

virtual Real pastFixing ( const Date & fixingDate ) const

overridevirtual

returns a past fixing at the given date

the date passed as arguments must be the actual calendar date of the fixing; no settlement days must be used.

Implements EqFxIndexBase.

Reimplemented in OffPeakPowerIndex.

◆ clone()

virtual 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

pure virtual

Returns a copy of itself with a potentially different expiry date and pricing curve.

If the expiryDate is an empty Date, it is ignored and the CommodityIndex instance's expiry date is used. If the ts is uninitialised, it is ignored and the CommodityIndex instance's price curve is used.

Implemented in CommodityFuturesIndex, and CommoditySpotIndex.

Public Member Functions