Discounting commodity forward engine. More...
#include <qle/pricingengines/discountingcommodityforwardengine.hpp>
Public Member Functions | |
Constructors | |
DiscountingCommodityForwardEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, boost::optional< bool > includeSettlementDateFlows=boost::none, const QuantLib::Date &npvDate=QuantLib::Date()) | |
PricingEngine interface | |
void | calculate () const override |
Inspectors | |
const QuantLib::Handle< QuantLib::YieldTermStructure > & | discountCurve () const |
Discounting commodity forward engine.
This class implements pricing of a commodity forward by discounting the future nominal cash flows using the respective yield curve.
DiscountingCommodityForwardEngine | ( | const QuantLib::Handle< QuantLib::YieldTermStructure > & | discountCurve, |
boost::optional< bool > | includeSettlementDateFlows = boost::none , |
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const QuantLib::Date & | npvDate = QuantLib::Date() |
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) |
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 |