Reference manual - version qle_version
Cash flow dependent on the average commodity spot price or future's settlement price over a period. If settled in a foreign currency (domestic: currency on which the underlying curve is traded, foreing: settlement currency) the FX is applied day by day. This approach cannot be appied to averaged underlying curves. More...
#include <ql/cashflow.hpp>#include <ql/patterns/visitor.hpp>#include <ql/time/schedule.hpp>#include <qle/cashflows/commoditycashflow.hpp>#include <qle/indexes/commodityindex.hpp>#include <qle/indexes/fxindex.hpp>#include <qle/time/futureexpirycalculator.hpp>Classes | |
| class | CommodityIndexedAverageCashFlow |
| class | CommodityIndexedAverageLeg |
| Helper class building a sequence of commodity indexed average cashflows. More... | |
Cash flow dependent on the average commodity spot price or future's settlement price over a period. If settled in a foreign currency (domestic: currency on which the underlying curve is traded, foreing: settlement currency) the FX is applied day by day. This approach cannot be appied to averaged underlying curves.