Reference manual - version qle_version
Commodity Basis Future Index. More...
#include <qle/indexes/commoditybasisfutureindex.hpp>
Inheritance diagram for CommodityBasisFutureIndex:Public Member Functions | |
| CommodityBasisFutureIndex (const std::string &underlyingName, const QuantLib::Date &expiryDate, const QuantLib::Calendar &fixingCalendar, const boost::shared_ptr< FutureExpiryCalculator > &basisFec, const boost::shared_ptr< QuantExt::CommodityIndex > &baseIndex, const boost::shared_ptr< FutureExpiryCalculator > &baseFec, const QuantLib::Handle< QuantExt::PriceTermStructure > &priceCurve=QuantLib::Handle< QuantExt::PriceTermStructure >(), const bool addBasis=true, const QuantLib::Size monthOffset=0, const bool baseIsAveraging=false, const bool priceAsHistoricalFixing=true) | |
| CommodityBasisFutureIndex (const std::string &underlyingName, const QuantLib::Date &expiryDate, const QuantLib::Calendar &fixingCalendar, const boost::shared_ptr< CommodityBasisPriceTermStructure > &priceCurve) | |
| boost::shared_ptr< CommodityIndex > | clone (const QuantLib::Date &expiryDate=QuantLib::Date(), const boost::optional< QuantLib::Handle< PriceTermStructure >> &ts=boost::none) const override |
| Implement the base clone. Ajust the base future to match the same contract month. | |
| QuantLib::Real | pastFixing (const QuantLib::Date &fixingDate) const override |
| const boost::shared_ptr< QuantExt::CommodityIndex > & | baseIndex () |
| boost::shared_ptr< QuantLib::CashFlow > | baseCashflow (const QuantLib::Date &paymentDate=QuantLib::Date()) const |
| Public Member Functions inherited from CommodityFuturesIndex | |
| CommodityFuturesIndex (const std::string &underlyingName, const Date &expiryDate, const Calendar &fixingCalendar, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >()) | |
| CommodityFuturesIndex (const std::string &underlyingName, const Date &expiryDate, const Calendar &fixingCalendar, bool keepDays, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >()) | |
| boost::shared_ptr< CommodityIndex > | clone (const QuantLib::Date &expiryDate=QuantLib::Date(), const boost::optional< QuantLib::Handle< PriceTermStructure >> &ts=boost::none) const override |
| Implement the base clone. | |
| Public Member Functions inherited from CommodityIndex | |
| CommodityIndex (const std::string &underlyingName, const QuantLib::Date &expiryDate, const Calendar &fixingCalendar, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >()) | |
| CommodityIndex (const std::string &underlyingName, const QuantLib::Date &expiryDate, const Calendar &fixingCalendar, bool keepDays, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >()) | |
| std::string | name () const override |
| Calendar | fixingCalendar () const override |
| bool | isValidFixingDate (const Date &fixingDate) const override |
| Real | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override |
| void | update () override |
| std::string | underlyingName () const |
| const Handle< QuantExt::PriceTermStructure > & | priceCurve () const |
| bool | isFuturesIndex () const |
| const QuantLib::Date & | expiryDate () const |
| bool | keepDays () const |
| virtual Real | forecastFixing (const Date &fixingDate) const |
| virtual Real | forecastFixing (const Time &fixingTime) const override |
| returns the fixing at the given time | |
| virtual Real | pastFixing (const Date &fixingDate) const override |
| returns a past fixing at the given date More... | |
Additional Inherited Members | |
| Protected Member Functions inherited from CommodityIndex | |
| void | init () |
| Protected Attributes inherited from CommodityIndex | |
| std::string | underlyingName_ |
| Date | expiryDate_ |
| Calendar | fixingCalendar_ |
| Handle< QuantExt::PriceTermStructure > | curve_ |
| std::string | name_ |
| bool | isFuturesIndex_ |
| bool | keepDays_ |
Commodity Basis Future Index.
This index can represent futures prices derived from basis future index and a base future index
