CommodityIndexedCashFlow Class Reference

Cash flow dependent on a single commodity spot price or futures settlement price on a given pricing date. More...

#include <qle/cashflows/commodityindexedcashflow.hpp>

Inheritance diagram for CommodityIndexedCashFlow:

Public Types
enum class	PaymentTiming { InAdvance , InArrears , RelativeToExpiry }

Public Member Functions
	CommodityIndexedCashFlow (QuantLib::Real quantity, const QuantLib::Date &pricingDate, const QuantLib::Date &paymentDate, const ext::shared_ptr< CommodityIndex > &index, QuantLib::Real spread=0.0, QuantLib::Real gearing=1.0, bool useFuturePrice=false, const Date &contractDate=Date(), const ext::shared_ptr< FutureExpiryCalculator > &calc=nullptr, QuantLib::Natural dailyExpiryOffset=QuantLib::Null< QuantLib::Natural >(), const ext::shared_ptr< FxIndex > &fxIndex=nullptr)
	Constructor taking an explicit pricingDate and paymentDate.
	CommodityIndexedCashFlow (QuantLib::Real quantity, const QuantLib::Date &startDate, const QuantLib::Date &endDate, const ext::shared_ptr< CommodityIndex > &index, QuantLib::Natural paymentLag, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, QuantLib::Natural pricingLag, const QuantLib::Calendar &pricingLagCalendar, QuantLib::Real spread=0.0, QuantLib::Real gearing=1.0, PaymentTiming paymentTiming=PaymentTiming::InArrears, bool isInArrears=true, bool useFuturePrice=false, bool useFutureExpiryDate=true, QuantLib::Integer futureMonthOffset=0, const ext::shared_ptr< FutureExpiryCalculator > &calc=nullptr, const QuantLib::Date &paymentDateOverride=Date(), const QuantLib::Date &pricingDateOverride=Date(), QuantLib::Natural dailyExpiryOffset=QuantLib::Null< QuantLib::Natural >(), const ext::shared_ptr< FxIndex > &fxIndex=nullptr, const bool spotAveragingFrontCoupon=false, const QuantLib::Calendar &pricingCalendar=QuantLib::Calendar(), bool includeEndDate=true, bool excludeStartDate=true)
Inspectors
const QuantLib::Date &	pricingDate () const
bool	useFutureExpiryDate () const
QuantLib::Integer	futureMonthOffset () const
QuantLib::Real	periodQuantity () const override
QuantLib::Natural	dailyExpiryOffset () const
CommodityCashFlow interface
const std::vector< std::pair< QuantLib::Date, ext::shared_ptr< CommodityIndex > > > &	indices () const override
	Return a map of pricing date and corresponding commodity index.
const ext::shared_ptr< CommodityIndex > &	spotIndex () const
const std::set< QuantLib::Date > &	spotAveragingPricingDates () const
bool	isAveragingFrontMonthCashflow (const QuantLib::Date &asof) const
QuantLib::Date	lastPricingDate () const override
QuantLib::Real	fixing () const override
Event interface
QuantLib::Date	date () const override
CashFlow interface
QuantLib::Real	amount () const 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

Visitability
void	accept (QuantLib::AcyclicVisitor &v) override
void	setPeriodQuantity (QuantLib::Real periodQuantity)
	Allow the full calculation period quantity to be updated.

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 a single commodity spot price or futures settlement price on a given pricing date.

Constructor & Destructor Documentation

CommodityIndexedCashFlow()

CommodityIndexedCashFlow	(	QuantLib::Real	quantity,
		const QuantLib::Date &	startDate,
		const QuantLib::Date &	endDate,
		const ext::shared_ptr< CommodityIndex > &	index,
		QuantLib::Natural	paymentLag,
		const QuantLib::Calendar &	paymentCalendar,
		QuantLib::BusinessDayConvention	paymentConvention,
		QuantLib::Natural	pricingLag,
		const QuantLib::Calendar &	pricingLagCalendar,
		QuantLib::Real	spread = 0.0,
		QuantLib::Real	gearing = 1.0,
		PaymentTiming	paymentTiming = PaymentTiming::InArrears,
		bool	isInArrears = true,
		bool	useFuturePrice = false,
		bool	useFutureExpiryDate = true,
		QuantLib::Integer	futureMonthOffset = 0,
		const ext::shared_ptr< FutureExpiryCalculator > &	calc = nullptr,
		const QuantLib::Date &	paymentDateOverride = Date(),
		const QuantLib::Date &	pricingDateOverride = Date(),
		QuantLib::Natural	dailyExpiryOffset = QuantLib::Null< QuantLib::Natural >(),
		const ext::shared_ptr< FxIndex > &	fxIndex = nullptr,
		const bool	spotAveragingFrontCoupon = false,
		const QuantLib::Calendar &	pricingCalendar = QuantLib::Calendar(),
		bool	includeEndDate = true,
		bool	excludeStartDate = true )

Constructor taking a period startDate, endDate and some conventions. The pricing date and payment date are derived from the start date and end date using the conventions.

Member Function Documentation

periodQuantity()

QuantLib::Real periodQuantity ( ) const

overridevirtual

Implements CommodityCashFlow.

indices()

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

overridevirtual

Return a map of pricing date and corresponding commodity index.

Implements CommodityCashFlow.

lastPricingDate()

QuantLib::Date lastPricingDate ( ) const

overridevirtual

Implements CommodityCashFlow.

fixing()

QuantLib::Real fixing ( ) const

overridevirtual

Implements CommodityCashFlow.