NettedCommodityCashFlow Class Reference

#include <qle/cashflows/nettedcommoditycashflow.hpp>

Inheritance diagram for NettedCommodityCashFlow:

Public Member Functions
	NettedCommodityCashFlow (const std::vector< QuantLib::ext::shared_ptr< CommodityCashFlow > > &underlyingCashflows, const std::vector< bool > &isPayer, QuantLib::Natural nettingPrecision=QuantLib::Null< QuantLib::Natural >())
Inspectors
const std::vector< QuantLib::ext::shared_ptr< CommodityCashFlow > > &	underlyingCashflows () const
QuantLib::Natural	nettingPrecision () const
CommodityCashFlow interface
const std::vector< std::pair< QuantLib::Date, QuantLib::ext::shared_ptr< CommodityIndex > > > &	indices () const override
	Return a map of pricing date and corresponding commodity index.
QuantLib::Date	lastPricingDate () const override
QuantLib::Real	periodQuantity () const override
QuantLib::Real	fixing () const override
CashFlow interface
QuantLib::Real	amount () const override
Event interface
QuantLib::Date	date () const override
Observer interface
void	update () override
void	deepUpdate () 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

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 that aggregates multiple commodity floating leg cashflows for netting.

This class takes a collection of commodity floating leg cashflows that have the same payment date and creates a single netted cashflow. The netting logic:

1. Verifies all underlying cashflows have the same periodQuantity()
2. Calculates sum of effective fixings: sum((isPayer ? -1 : 1) * cashflow->fixing())
3. Rounds this sum to specified precision
4. Multiplies rounded sum by common periodQuantity to get final amount

Constructor & Destructor Documentation

NettedCommodityCashFlow()

NettedCommodityCashFlow	(	const std::vector< QuantLib::ext::shared_ptr< CommodityCashFlow > > &	underlyingCashflows,
		const std::vector< bool > &	isPayer,
		QuantLib::Natural	nettingPrecision = QuantLib::Null< QuantLib::Natural >() )

Constructor

Parameters

underlyingCashflows	Vector of containing the underlying commodity cashflows
isPayer	their payer flags
nettingPrecision	Number of decimal places to round the total average fixing to (Null<Natural>() means no rounding)

Member Function Documentation

indices()

const std::vector< std::pair< QuantLib::Date, QuantLib::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.

periodQuantity()

QuantLib::Real periodQuantity ( ) const

overridevirtual

Implements CommodityCashFlow.

fixing()

QuantLib::Real fixing ( ) const

overridevirtual

Implements CommodityCashFlow.