#include <qle/instruments/commodityforward.hpp>
Classes | |
class | arguments |
class | engine |
Public Member Functions | |
Constructors | |
CommodityForward (const boost::shared_ptr< CommodityIndex > &index, const QuantLib::Currency ¤cy, QuantLib::Position::Type position, QuantLib::Real quantity, const QuantLib::Date &maturityDate, QuantLib::Real strike, bool physicallySettled=true, const Date &paymentDate=Date(), const QuantLib::Currency &payCcy=Currency(), const Date &fixingDate=Date(), const boost::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr) | |
Instrument interface | |
bool | isExpired () const override |
void | setupArguments (QuantLib::PricingEngine::arguments *) const override |
Inspectors | |
const boost::shared_ptr< CommodityIndex > & | index () const |
const QuantLib::Currency & | currency () const |
QuantLib::Position::Type | position () const |
QuantLib::Real | quantity () const |
const QuantLib::Date & | maturityDate () const |
QuantLib::Real | strike () const |
bool | physicallySettled () const |
const QuantLib::Date & | paymentDate () const |
Currency | payCcy () const |
Date | fixingDate () const |
boost::shared_ptr< QuantExt::FxIndex > | fxIndex () const |
Instrument representing a commodity forward contract.
CommodityForward | ( | const boost::shared_ptr< CommodityIndex > & | index, |
const QuantLib::Currency & | currency, | ||
QuantLib::Position::Type | position, | ||
QuantLib::Real | quantity, | ||
const QuantLib::Date & | maturityDate, | ||
QuantLib::Real | strike, | ||
bool | physicallySettled = true , |
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const Date & | paymentDate = Date() , |
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const QuantLib::Currency & | payCcy = Currency() , |
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const Date & | fixingDate = Date() , |
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const boost::shared_ptr< QuantExt::FxIndex > & | fxIndex = nullptr |
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) |
Constructs a cash settled or physically settled commodity forward instrument.
index | The underlying commodity index. |
currency | The currency of the commodity trade. |
position | Long (Short) for buying (selling) commodity forward |
quantity | Number of underlying commodity units referenced |
maturityDate | Maturity date of forward. For a cash settled forward, this is the date on which the underlying price is observed. |
strike | The agreed forward price |
physicallySettled | Set to true if the forward is physically settled and false if the forward is cash settled. If omitted, physical settlement is assumed. |
paymentDate | If the forward is cash settled, provide a date on or after the maturityDate for the cash settlement payment. If omitted, it is assumed equal to maturityDate . |
payCcy | If cash settled, the settlement currency |
fixingDate | If cash settled, the fixing date |
fxIndex | If cash settled, the FX index from which to take the fixing on the fixing date |