commoditycashflow.hpp File Reference

Some data and logic shared among commodity cashflows. More...

#include <ql/cashflow.hpp>
#include <ql/patterns/visitor.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/date.hpp>
#include <qle/indexes/commodityindex.hpp>
#include <qle/indexes/fxindex.hpp>
#include <set>

Classes
class	CommodityCashFlow

Enumerations
enum class	CommodityQuantityFrequency {   PerCalculationPeriod , PerCalendarDay , PerPricingDay , PerHour ,   PerHourAndCalendarDay }
	Enumeration indicating the frequency associated with a commodity quantity.

Functions
std::set< QuantLib::Date >	pricingDates (const QuantLib::Date &start, const QuantLib::Date &end, const QuantLib::Calendar &pricingCalendar, bool excludeStart, bool includeEnd, bool useBusinessDays=true)
	Get the set of valid pricing dates in a period. More...
bool	isPricingDate (const QuantLib::Date &d, const QuantLib::Calendar &pricingCalendar, bool useBusinessDays=true)
	Check if a date is a pricing date. More...

Detailed Description

Some data and logic shared among commodity cashflows.

Function Documentation

pricingDates()

std::set<QuantLib::Date> QuantExt::pricingDates	(	const QuantLib::Date &	start,
		const QuantLib::Date &	end,
		const QuantLib::Calendar &	pricingCalendar,
		bool	excludeStart,
		bool	includeEnd,
		bool	useBusinessDays = true
	)

Get the set of valid pricing dates in a period.

Parameters

start	The start date of the period.
end	The end date of the period.
pricingCalendar	The pricing calendar used to determine valid dates
excludeStart	Set to true if the start date should be excluded from the set of pricing dates and to false if the start date should be included.
includeEnd	set to true if the end date should be included in the set of pricing dates and to false if the end date should be excluded.
useBusinessDays	Set to true if pricingCalendar business dates are to be considered valid pricing dates and false if pricingCalendar holidays are to be considered valid pricing dates. The latter case is unusual but is useful for some electricity futures e.g. ICE PW2 contract which averages over weekends and non-NERC business days.

Returns

The set of valid pricing dates in the period.

isPricingDate()

bool QuantExt::isPricingDate	(	const QuantLib::Date &	d,
		const QuantLib::Calendar &	pricingCalendar,
		bool	useBusinessDays = true
	)

Check if a date is a pricing date.

Parameters

d	The date that we wish to check.
pricingCalendar	The pricing calendar used to determine valid dates
useBusinessDays	Set to true if pricingCalendar business dates are to be considered valid pricing dates and false if pricingCalendar holidays are to be considered valid pricing dates. The latter case is unusual but is useful for some electricity futures e.g. ICE PW2 contract which averages over weekends and non-NERC business days.

Returns

Returns true if d is a pricing date and false otherwise.