OffPeakPowerIndex Class Reference

Off peak power index. More...

#include <qle/indexes/offpeakpowerindex.hpp>

Inheritance diagram for OffPeakPowerIndex:

Public Member Functions
	OffPeakPowerIndex (const std::string &underlyingName, const QuantLib::Date &expiryDate, const boost::shared_ptr< CommodityFuturesIndex > &offPeakIndex, const boost::shared_ptr< CommodityFuturesIndex > &peakIndex, QuantLib::Real offPeakHours, const QuantLib::Calendar &peakCalendar, const Handle< QuantExt::PriceTermStructure > &priceCurve=Handle< QuantExt::PriceTermStructure >())
	Constructor.
Inspectors
const boost::shared_ptr< CommodityFuturesIndex > &	offPeakIndex () const
const boost::shared_ptr< CommodityFuturesIndex > &	peakIndex () const
QuantLib::Real	offPeakHours () const
const QuantLib::Calendar &	peakCalendar () const
boost::shared_ptr< CommodityIndex >	clone (const QuantLib::Date &expiryDate, const boost::optional< QuantLib::Handle< PriceTermStructure >> &ts=boost::none) const override
	Implement the base clone.
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 >())
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

CommodityIndex interface
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_

Detailed Description

Off peak power index.

A commodity index to represent daily off-peak power prices.

In general, when used in derivatives the off-peak power value for a given date will be:

1. the average of Locational Marginal Prices (LMPs) over the off-peak hours, generally 8, on peak calendar business days
2. the average of LMPs over all hours on peak calendar holidays

There are generally two types of daily futures in the power markets:

1. those that average the LMPs over the peak hours, generally 16, on every calendar day
2. those that average the LMPs over the off-peak hours, generally 8, on every calendar day

This off peak power index uses the prices of both of these daily future contracts to construct the index that is used in derivatives that reference off-peak power prices. The off-peak future is used directly on peak calendar business days. On peak calendar holidays, the weighted average of the daily off-peak future price and daily peak future price is used where the weights are the number of off-peak hours and peak hours respectively divided by 24.

Member Function Documentation

pastFixing()

Real pastFixing ( const Date &  fixingDate ) const

overrideprotectedvirtual

returns a past fixing at the given date

the date passed as arguments must be the actual calendar date of the fixing; no settlement days must be used.

Reimplemented from CommodityIndex.