#include <qle/termstructures/averageoffpeakpowerhelper.hpp>
Public Member Functions | |
Constructors | |
AverageOffPeakPowerHelper (const QuantLib::Handle< QuantLib::Quote > &price, const boost::shared_ptr< CommodityIndex > &index, const QuantLib::Date &start, const QuantLib::Date &end, const ext::shared_ptr< FutureExpiryCalculator > &calc, const boost::shared_ptr< CommodityIndex > &peakIndex, const QuantLib::Calendar &peakCalendar, QuantLib::Natural peakHoursPerDay=16) | |
AverageOffPeakPowerHelper (QuantLib::Real price, const boost::shared_ptr< CommodityIndex > &index, const QuantLib::Date &start, const QuantLib::Date &end, const ext::shared_ptr< FutureExpiryCalculator > &calc, const boost::shared_ptr< CommodityIndex > &peakIndex, const QuantLib::Calendar &peakCalendar, QuantLib::Natural peakHoursPerDay=16) | |
PriceHelper interface | |
QuantLib::Real | impliedQuote () const override |
void | setTermStructure (PriceTermStructure *ts) override |
Visitability | |
void | accept (QuantLib::AcyclicVisitor &v) override |
void | deepUpdate () override |
Helper for bootstrapping using prices that are the average of future settlement prices over a period.
AverageOffPeakPowerHelper | ( | const QuantLib::Handle< QuantLib::Quote > & | price, |
const boost::shared_ptr< CommodityIndex > & | index, | ||
const QuantLib::Date & | start, | ||
const QuantLib::Date & | end, | ||
const ext::shared_ptr< FutureExpiryCalculator > & | calc, | ||
const boost::shared_ptr< CommodityIndex > & | peakIndex, | ||
const QuantLib::Calendar & | peakCalendar, | ||
QuantLib::Natural | peakHoursPerDay = 16 |
||
) |
price | The average price quote. |
index | The commodity index. Used to convey the off-peak commodity's name and calendar. The underlying averaging cashflow may reference more than one commodity future indices. |
start | The start date of the averaging period. The averaging period includes the start date if it is a pricing date according to the calendar . |
end | The end date of the averaging period. The averaging period includes the end date if it is a pricing date according to the calendar . |
calc | A FutureExpiryCalculator instance. |
peakIndex | The commodity index for the peak electricity prices. |
peakCalendar | The calendar used to determine peak dates in the averaging period. |
peakHoursPerDay | The number of peak hours per day. |
AverageOffPeakPowerHelper | ( | QuantLib::Real | price, |
const boost::shared_ptr< CommodityIndex > & | index, | ||
const QuantLib::Date & | start, | ||
const QuantLib::Date & | end, | ||
const ext::shared_ptr< FutureExpiryCalculator > & | calc, | ||
const boost::shared_ptr< CommodityIndex > & | peakIndex, | ||
const QuantLib::Calendar & | peakCalendar, | ||
QuantLib::Natural | peakHoursPerDay = 16 |
||
) |
price | The average price. |
index | The commodity index. Used to convey the off-peak commodity's name and calendar. The underlying averaging cashflow may reference more than one commodity future indices. |
start | The start date of the averaging period. The averaging period includes the start date if it is a pricing date according to the calendar . |
end | The end date of the averaging period. The averaging period includes the end date if it is a pricing date according to the calendar . |
calc | A FutureExpiryCalculator instance. |
peakIndex | The commodity index for the peak electricity prices. |
peakCalendar | The calendar used to determine peak dates in the averaging period. |
peakHoursPerDay | The number of peak hours per day. |