Reference manual - version qle_version
Commodity average basis price curve. More...
#include <qle/termstructures/commodityaveragebasispricecurve.hpp>
Inheritance diagram for CommodityAverageBasisPriceCurve< Interpolator >:Public Member Functions | |
Constructors | |
| CommodityAverageBasisPriceCurve (const QuantLib::Date &referenceDate, const std::map< QuantLib::Date, QuantLib::Handle< QuantLib::Quote >> &basisData, const boost::shared_ptr< FutureExpiryCalculator > &basisFec, const boost::shared_ptr< CommodityIndex > &index, const boost::shared_ptr< FutureExpiryCalculator > &baseFec, bool addBasis=true, bool priceAsHistFixing=true, const Interpolator &interpolator=Interpolator()) | |
| Curve constructed from dates and quotes. | |
Observer interface | |
| void | update () override |
LazyObject interface | |
| void | performCalculations () const override |
TermStructure interface | |
| QuantLib::Date | maxDate () const override |
| QuantLib::Time | maxTime () const override |
PriceTermStructure interface | |
| QuantLib::Time | minTime () const override |
| The minimum time for which the curve can return values. | |
| std::vector< QuantLib::Date > | pillarDates () const override |
| The pillar dates for the PriceTermStructure. | |
| const QuantLib::Currency & | currency () const override |
| The currency in which prices are expressed. | |
Inspectors | |
| const std::vector< QuantLib::Time > & | times () const |
| const std::vector< QuantLib::Real > & | prices () const |
| Public Member Functions inherited from CommodityBasisPriceTermStructure | |
| CommodityBasisPriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc, const boost::shared_ptr< FutureExpiryCalculator > &basisFec, const boost::shared_ptr< CommodityIndex > &baseIndex, const boost::shared_ptr< FutureExpiryCalculator > &baseFec, bool addBasis=true, QuantLib::Size monthOffset=0, bool averagingBaseCashflow=false, bool priceAsHistoricalFixing=true) | |
| CommodityBasisPriceTermStructure (const QuantLib::Date &referenceDate, const boost::shared_ptr< FutureExpiryCalculator > &basisFec, const boost::shared_ptr< CommodityIndex > &baseIndex, const boost::shared_ptr< FutureExpiryCalculator > &baseFec, bool addBasis=true, QuantLib::Size monthOffset=0, bool averagingBaseCashflow=false, bool priceAsHistoricalFixing=true) | |
| const boost::shared_ptr< FutureExpiryCalculator > & | basisFutureExpiryCalculator () const |
| Inspectors. | |
| const boost::shared_ptr< CommodityIndex > & | baseIndex () const |
| const boost::shared_ptr< FutureExpiryCalculator > & | baseFutureExpiryCalculator () const |
| bool | addBasis () const |
| bool | averagingBaseCashflow () const |
| bool | priceAsHistoricalFixing () const |
| QuantLib::Size | monthOffset () const |
| Public Member Functions inherited from PriceTermStructure | |
| PriceTermStructure (const QuantLib::DayCounter &dc=QuantLib::DayCounter()) | |
| PriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal=QuantLib::Calendar(), const QuantLib::DayCounter &dc=QuantLib::DayCounter()) | |
| PriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc=QuantLib::DayCounter()) | |
| QuantLib::Real | price (QuantLib::Time t, bool extrapolate=false) const |
| QuantLib::Real | price (const QuantLib::Date &d, bool extrapolate=false) const |
| void | update () override |
PriceTermStructure implementation | |
| QuantLib::Real | priceImpl (QuantLib::Time t) const override |
| Price calculation. | |
Additional Inherited Members | |
| Protected Member Functions inherited from PriceTermStructure | |
| void | checkRange (QuantLib::Time t, bool extrapolate) const |
| Extra time range check for minimum time, then calls TermStructure::checkRange. | |
| Protected Attributes inherited from CommodityBasisPriceTermStructure | |
| boost::shared_ptr< FutureExpiryCalculator > | basisFec_ |
| boost::shared_ptr< CommodityIndex > | baseIndex_ |
| boost::shared_ptr< FutureExpiryCalculator > | baseFec_ |
| bool | addBasis_ |
| QuantLib::Size | monthOffset_ |
| bool | averagingBaseCashflow_ |
| bool | priceAsHistoricalFixing_ |
Commodity average basis price curve.
Class representing an outright commodity price curve created from a base price curve and a collection of basis quotes that are added to or subtracted from the base curve. This class is intended to be used only for commodity future basis price curves. The base curve is averaged over the period defined the basis quote.
