#include <qle/cashflows/commodityindexedaveragecashflow.hpp>

Inheritance diagram for CommodityIndexedAverageCashFlow:

Public Types
enum class	PaymentTiming { InAdvance , InArrears }

Public Member Functions
	CommodityIndexedAverageCashFlow (QuantLib::Real quantity, const QuantLib::Date &startDate, const QuantLib::Date &endDate, const QuantLib::Date &paymentDate, const ext::shared_ptr< CommodityIndex > &index, const QuantLib::Calendar &pricingCalendar=QuantLib::Calendar(), QuantLib::Real spread=0.0, QuantLib::Real gearing=1.0, bool useFuturePrice=false, QuantLib::Natural deliveryDateRoll=0, QuantLib::Integer futureMonthOffset=0, const ext::shared_ptr< FutureExpiryCalculator > &calc=nullptr, bool includeEndDate=true, bool excludeStartDate=true, bool useBusinessDays=true, CommodityQuantityFrequency quantityFrequency=CommodityQuantityFrequency::PerCalculationPeriod, QuantLib::Natural hoursPerDay=QuantLib::Null< QuantLib::Natural >(), QuantLib::Natural dailyExpiryOffset=QuantLib::Null< QuantLib::Natural >(), bool unrealisedQuantity=false, const QuantLib::ext::optional< std::pair< QuantLib::Calendar, QuantLib::Real > > &offPeakPowerData=QuantLib::ext::nullopt, const ext::shared_ptr< FxIndex > &fxIndex=nullptr, QuantLib::Natural avgPricePrecision=QuantLib::Null< QuantLib::Natural >())
	Constructor taking an explicit `paymentDate`.
	CommodityIndexedAverageCashFlow (QuantLib::Real quantity, const QuantLib::Date &startDate, const QuantLib::Date &endDate, QuantLib::Natural paymentLag, QuantLib::Calendar paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, const ext::shared_ptr< CommodityIndex > &index, const QuantLib::Calendar &pricingCalendar=QuantLib::Calendar(), QuantLib::Real spread=0.0, QuantLib::Real gearing=1.0, PaymentTiming paymentTiming=PaymentTiming::InArrears, bool useFuturePrice=false, QuantLib::Natural deliveryDateRoll=0, QuantLib::Integer futureMonthOffset=0, const ext::shared_ptr< FutureExpiryCalculator > &calc=nullptr, bool includeEndDate=true, bool excludeStartDate=true, const QuantLib::Date &paymentDateOverride=Date(), bool useBusinessDays=true, CommodityQuantityFrequency quantityFrequency=CommodityQuantityFrequency::PerCalculationPeriod, QuantLib::Natural hoursPerDay=QuantLib::Null< QuantLib::Natural >(), QuantLib::Natural dailyExpiryOffset=QuantLib::Null< QuantLib::Natural >(), bool unrealisedQuantity=false, const QuantLib::ext::optional< std::pair< QuantLib::Calendar, QuantLib::Real > > &offPeakPowerData=QuantLib::ext::nullopt, const ext::shared_ptr< FxIndex > &fxIndex=nullptr, QuantLib::Natural avgPricePrecision=QuantLib::Null< QuantLib::Natural >())
	Constructor that deduces payment date from `endDate` using payment conventions.
Inspectors
const QuantLib::Date &	startDate () const
const QuantLib::Date &	endDate () const
ext::shared_ptr< CommodityIndex >	index () const
QuantLib::Natural	deliveryDateRoll () const
QuantLib::Integer	futureMonthOffset () const
bool	useBusinessDays () const
CommodityQuantityFrequency	quantityFrequency () const
QuantLib::Natural	hoursPerDay () const
QuantLib::Natural	dailyExpiryOffset () const
bool	unrealisedQuantity () const
const QuantLib::ext::optional< std::pair< QuantLib::Calendar, QuantLib::Real > > &	offPeakPowerData () const
const std::map< QuantLib::Date, QuantLib::Real > &	weights () const
const std::vector< std::pair< QuantLib::Date, ext::shared_ptr< CommodityIndex > > > &	indices () const override
QuantLib::Real	periodQuantity () const override
Event interface
QuantLib::Date	date () const override
CashFlow interface
QuantLib::Real	amount () const override
Visitability
void	accept (QuantLib::AcyclicVisitor &v) override
Public Member Functions inherited from CommodityCashFlow
	CommodityCashFlow (QuantLib::Real quantity, QuantLib::Real spread, QuantLib::Real gearing, bool useFuturePrice, const ext::shared_ptr< CommodityIndex > &index, const ext::shared_ptr< FxIndex > &fxIndex)
QuantLib::Real	quantity () const
QuantLib::Real	spread () const
QuantLib::Real	gearing () const
bool	useFuturePrice () const
ext::shared_ptr< CommodityIndex >	index () const
ext::shared_ptr< FxIndex >	fxIndex () const
void	accept (QuantLib::AcyclicVisitor &v) override

CommodityCashFlow interface
QuantLib::Date	lastPricingDate () const override
QuantLib::Real	fixing () const override

Additional Inherited Members
QuantLib::Real	quantity_
QuantLib::Real	spread_
QuantLib::Real	gearing_
bool	useFuturePrice_
ext::shared_ptr< CommodityIndex >	index_
ext::shared_ptr< FxIndex >	fxIndex_
QuantLib::Real	amount_

Detailed Description

Cash flow dependent on the average of commodity spot prices or futures settlement prices over a period.

The cash flow takes a start date and an end date. The set of valid pricing dates is determined from and including the start date to but excluding the end date. The cash flow amount is then the arithmetic average of the commodity spot prices or next commodity future settlement prices on each valid pricing date times the quantity. The next commodity future is determined relative to each pricing date so the settlement prices for multiple commodity contracts may be involved in the averaging.

Member Function Documentation

◆ indices()

const std::vector< std::pair< QuantLib::Date, ext::shared_ptr< CommodityIndex > > > & indices ( ) const

overridevirtual

Return the index used to get the price for each pricing date in the period. The map keys are the pricing dates. For a given key date, the map value holds the commodity index used to give the price on that date. If the averaging does not reference future contract settlement prices, i.e. useFirstFuture() is false, the commodity index is simply the commodity spot index passed in the constructor. If the averaging references future contract settlement prices, i.e. useFirstFuture() is true, the commodity index is the commodity future contract index relevant for that pricing date.

Implements CommodityCashFlow.