CommodityIndexedAverageLeg Class Reference

Helper class building a sequence of commodity indexed average cashflows. More...

#include <qle/cashflows/commodityindexedaveragecashflow.hpp>

Public Member Functions
	CommodityIndexedAverageLeg (const QuantLib::Schedule &schedule, const ext::shared_ptr< CommodityIndex > &index)
CommodityIndexedAverageLeg &	withQuantities (QuantLib::Real quantity)
CommodityIndexedAverageLeg &	withQuantities (const std::vector< QuantLib::Real > &quantities)
CommodityIndexedAverageLeg &	withPaymentLag (QuantLib::Natural paymentLag)
CommodityIndexedAverageLeg &	withPaymentCalendar (const QuantLib::Calendar &paymentCalendar)
CommodityIndexedAverageLeg &	withPaymentConvention (QuantLib::BusinessDayConvention paymentConvention)
CommodityIndexedAverageLeg &	withPricingCalendar (const QuantLib::Calendar &pricingCalendar)
CommodityIndexedAverageLeg &	withSpreads (QuantLib::Real spread)
CommodityIndexedAverageLeg &	withSpreads (const std::vector< QuantLib::Real > &spreads)
CommodityIndexedAverageLeg &	withGearings (QuantLib::Real gearing)
CommodityIndexedAverageLeg &	withGearings (const std::vector< QuantLib::Real > &gearings)
CommodityIndexedAverageLeg &	paymentTiming (CommodityIndexedAverageCashFlow::PaymentTiming paymentTiming)
CommodityIndexedAverageLeg &	useFuturePrice (bool flag=false)
CommodityIndexedAverageLeg &	withDeliveryDateRoll (QuantLib::Natural deliveryDateRoll)
CommodityIndexedAverageLeg &	withFutureMonthOffset (QuantLib::Natural futureMonthOffset)
CommodityIndexedAverageLeg &	withFutureExpiryCalculator (const ext::shared_ptr< FutureExpiryCalculator > &calc=nullptr)
CommodityIndexedAverageLeg &	payAtMaturity (bool flag=false)
CommodityIndexedAverageLeg &	includeEndDate (bool flag=true)
CommodityIndexedAverageLeg &	excludeStartDate (bool flag=true)
CommodityIndexedAverageLeg &	withPaymentDates (const std::vector< QuantLib::Date > &paymentDates)
CommodityIndexedAverageLeg &	useBusinessDays (bool flag=true)
CommodityIndexedAverageLeg &	withQuantityFrequency (CommodityQuantityFrequency quantityFrequency)
CommodityIndexedAverageLeg &	withHoursPerDay (QuantLib::Natural hoursPerDay)
CommodityIndexedAverageLeg &	withDailyExpiryOffset (QuantLib::Natural dailyExpiryOffset)
CommodityIndexedAverageLeg &	unrealisedQuantity (bool flag=false)
CommodityIndexedAverageLeg &	withOffPeakPowerData (const boost::optional< std::pair< QuantLib::Calendar, QuantLib::Real >> &offPeakPowerData)
CommodityIndexedAverageLeg &	withFxIndex (const ext::shared_ptr< FxIndex > &fxIndex)
	operator Leg () const

Detailed Description

Helper class building a sequence of commodity indexed average cashflows.