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| CommodityBasisPriceCurveWrapper (const QuantLib::Date &referenceDate, const boost::shared_ptr< PriceTermStructure > &priceCurve, 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 priceAsHistFixing=true) |
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| CommodityBasisPriceCurveWrapper (const boost::shared_ptr< CommodityBasisPriceTermStructure > &referenceCurve, const boost::shared_ptr< CommodityIndex > &baseIndex, const boost::shared_ptr< PriceTermStructure > &priceCurve) |
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QuantLib::Date | maxDate () const override |
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void | update () override |
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QuantLib::Natural | settlementDays () const override |
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QuantLib::Time | minTime () const override |
| The minimum time for which the curve can return values.
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const QuantLib::Currency & | currency () const override |
| The currency in which prices are expressed.
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std::vector< QuantLib::Date > | pillarDates () const override |
| The pillar dates for the PriceTermStructure.
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| 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) |
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| 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) |
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const boost::shared_ptr< FutureExpiryCalculator > & | basisFutureExpiryCalculator () const |
| Inspectors.
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const boost::shared_ptr< CommodityIndex > & | baseIndex () const |
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const boost::shared_ptr< FutureExpiryCalculator > & | baseFutureExpiryCalculator () const |
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bool | addBasis () const |
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bool | averagingBaseCashflow () const |
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bool | priceAsHistoricalFixing () const |
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QuantLib::Size | monthOffset () const |
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| PriceTermStructure (const QuantLib::DayCounter &dc=QuantLib::DayCounter()) |
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| PriceTermStructure (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal=QuantLib::Calendar(), const QuantLib::DayCounter &dc=QuantLib::DayCounter()) |
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| PriceTermStructure (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, const QuantLib::DayCounter &dc=QuantLib::DayCounter()) |
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QuantLib::Real | price (QuantLib::Time t, bool extrapolate=false) const |
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QuantLib::Real | price (const QuantLib::Date &d, bool extrapolate=false) const |
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void | update () override |
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