#include <qle/termstructures/averagespotpricehelper.hpp>
Public Member Functions | |
Constructors | |
AverageSpotPriceHelper (const QuantLib::Handle< QuantLib::Quote > &price, const boost::shared_ptr< CommoditySpotIndex > &index, const QuantLib::Date &start, const QuantLib::Date &end, const QuantLib::Calendar &calendar=QuantLib::Calendar(), bool useBusinessDays=true) | |
AverageSpotPriceHelper (QuantLib::Real price, const boost::shared_ptr< CommoditySpotIndex > &index, const QuantLib::Date &start, const QuantLib::Date &end, const QuantLib::Calendar &calendar=QuantLib::Calendar(), bool useBusinessDays=true) | |
PriceHelper interface | |
QuantLib::Real | impliedQuote () const override |
void | setTermStructure (PriceTermStructure *ts) override |
Visitability | |
void | accept (QuantLib::AcyclicVisitor &v) override |
Inspectors | |
boost::shared_ptr< CommodityIndexedAverageCashFlow > | averageCashflow () const |
Helper for bootstrapping using prices that are the average of a spot price over a period.
AverageSpotPriceHelper | ( | const QuantLib::Handle< QuantLib::Quote > & | price, |
const boost::shared_ptr< CommoditySpotIndex > & | index, | ||
const QuantLib::Date & | start, | ||
const QuantLib::Date & | end, | ||
const QuantLib::Calendar & | calendar = QuantLib::Calendar() , |
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bool | useBusinessDays = true |
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) |
price | The average price quote. |
index | The commodity spot index. |
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 . |
calendar | The calendar used to determine pricing dates in the averaging period. If not provided, the index calendar is used. |
useBusinessDays | If set to false , the averaging happens on the complement of the pricing calendar dates in the period. |
AverageSpotPriceHelper | ( | QuantLib::Real | price, |
const boost::shared_ptr< CommoditySpotIndex > & | index, | ||
const QuantLib::Date & | start, | ||
const QuantLib::Date & | end, | ||
const QuantLib::Calendar & | calendar = QuantLib::Calendar() , |
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bool | useBusinessDays = true |
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) |
price | The average price. |
index | The commodity spot index. |
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 . |
calendar | The calendar used to determine pricing dates in the averaging period. If not provided, the index calendar is used. |
useBusinessDays | If set to false , the averaging happens on the complement of the pricing calendar dates in the period. |