ConventionsBasedFutureExpiry Class Reference

Perform date calculations for future contracts based on conventions. More...

#include <ored/utilities/conventionsbasedfutureexpiry.hpp>

Inheritance diagram for ConventionsBasedFutureExpiry:

Public Member Functions
	ConventionsBasedFutureExpiry (const std::string &commName, QuantLib::Size maxIterations=10)
	ConventionsBasedFutureExpiry (const CommodityFutureConvention &convention, QuantLib::Size maxIterations=10)
QuantLib::Date	nextExpiry (bool includeExpiry=true, const QuantLib::Date &referenceDate=QuantLib::Date(), QuantLib::Natural offset=0, bool forOption=false) override
QuantLib::Date	priorExpiry (bool includeExpiry=true, const QuantLib::Date &referenceDate=QuantLib::Date(), bool forOption=false) override
QuantLib::Date	expiryDate (const QuantLib::Date &contractDate, QuantLib::Natural monthOffset=0, bool forOption=false) override
QuantLib::Date	contractDate (const QuantLib::Date &expiryDate) override
QuantLib::Date	applyFutureMonthOffset (const QuantLib::Date &contractDate, Natural futureMonthOffset) override

Inspectors
const CommodityFutureConvention &	commodityFutureConvention () const
	Return the commodity future convention.
QuantLib::Size	maxIterations () const
	Return the maximum iterations parameter.

Detailed Description

Perform date calculations for future contracts based on conventions.