AverageSpotPriceHelper Class Reference

#include <qle/termstructures/averagespotpricehelper.hpp>

Inheritance diagram for AverageSpotPriceHelper:

Public Member Functions
Constructors
	AverageSpotPriceHelper (const QuantLib::Handle< QuantLib::Quote > &price, const QuantLib::ext::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 QuantLib::ext::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
QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow >	averageCashflow () const

Detailed Description

Helper for bootstrapping using prices that are the average of a spot price over a period.

Constructor & Destructor Documentation

AverageSpotPriceHelper() [1/2]

AverageSpotPriceHelper	(	const QuantLib::Handle< QuantLib::Quote > &	price,
		const QuantLib::ext::shared_ptr< CommoditySpotIndex > &	index,
		const QuantLib::Date &	start,
		const QuantLib::Date &	end,
		const QuantLib::Calendar &	calendar = QuantLib::Calendar(),
		bool	useBusinessDays = true
	)

Parameters

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() [2/2]

AverageSpotPriceHelper	(	QuantLib::Real	price,
		const QuantLib::ext::shared_ptr< CommoditySpotIndex > &	index,
		const QuantLib::Date &	start,
		const QuantLib::Date &	end,
		const QuantLib::Calendar &	calendar = QuantLib::Calendar(),
		bool	useBusinessDays = true
	)

Parameters

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.