Discounting commodity forward engine. More...

#include <qle/pricingengines/discountingcommodityforwardengine.hpp>

Inheritance diagram for DiscountingCommodityForwardEngine:

Public Member Functions
Constructors
	DiscountingCommodityForwardEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, QuantLib::ext::optional< bool > includeSettlementDateFlows=QuantLib::ext::nullopt, const QuantLib::Date &npvDate=QuantLib::Date(), const Handle< Quote > &npvFxConversion={})
PricingEngine interface
void	calculate () const override

Inspectors
const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve () const

Detailed Description

Discounting commodity forward engine.

This class implements pricing of a commodity forward by discounting the future nominal cash flows using the respective yield curve.

Constructor & Destructor Documentation

DiscountingCommodityForwardEngine	(	const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve,
		QuantLib::ext::optional< bool >	includeSettlementDateFlows = QuantLib::ext::nullopt,
		const QuantLib::Date &	npvDate = QuantLib::Date(),
		const Handle< Quote > &	npvFxConversion = {} )

Parameters

discountCurve	The discount curve to discount the forward cashflow.
includeSettlementDateFlows	If true (false), cashflows on the forward maturity are (are not) included in the NPV.
npvDate	Discount to this date. If not given, is set to the evaluation date