AverageOffPeakPowerHelper Class Reference

#include <qle/termstructures/averageoffpeakpowerhelper.hpp>

Inheritance diagram for AverageOffPeakPowerHelper:

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

Detailed Description

Helper for bootstrapping using prices that are the average of future settlement prices over a period.

Constructor & Destructor Documentation

AverageOffPeakPowerHelper() [1/2]

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
	)

Parameters

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() [2/2]

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
	)

Parameters

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.