Energy commodity class. More...
#include <ql/experimental/commodities/energycommodity.hpp>
Public Types | |
enum | DeliverySchedule { Constant, Window, Hourly, Daily, Weekly, Monthly, Quarterly, Yearly } |
enum | QuantityPeriodicity { Absolute, PerHour, PerDay, PerWeek, PerMonth, PerQuarter, PerYear } |
enum | PaymentSchedule { WindowSettlement, MonthlySettlement, QuarterlySettlement, YearlySettlement } |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Public Member Functions | |
EnergyCommodity (const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts) | |
virtual Quantity | quantity () const =0 |
const CommodityType & | commodityType () const |
void | setupArguments (PricingEngine::arguments *) const |
void | fetchResults (const PricingEngine::results *) const |
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Commodity (const boost::shared_ptr< SecondaryCosts > &secondaryCosts) | |
const boost::shared_ptr< SecondaryCosts > & | secondaryCosts () const |
const SecondaryCostAmounts & | secondaryCostAmounts () const |
const PricingErrors & | pricingErrors () const |
void | addPricingError (PricingError::Level errorLevel, const std::string &error, const std::string &detail="") const |
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Real | NPV () const |
returns the net present value of the instrument. | |
Real | errorEstimate () const |
returns the error estimate on the NPV when available. | |
const Date & | valuationDate () const |
returns the date the net present value refers to. | |
template<typename T > | |
T | result (const std::string &tag) const |
returns any additional result returned by the pricing engine. | |
const std::map< std::string, boost::any > & | additionalResults () const |
returns all additional result returned by the pricing engine. | |
virtual bool | isExpired () const =0 |
returns whether the instrument might have value greater than zero. | |
void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
set the pricing engine to be used. More... | |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
void | alwaysForwardNotifications () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Protected Member Functions | |
Real | calculateUnitCost (const CommodityType &commodityType, const CommodityUnitCost &unitCost, const Date &evaluationDate) const |
void | calculateSecondaryCostAmounts (const CommodityType &commodityType, Real totalQuantityValue, const Date &evaluationDate) const |
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void | calculate () const |
virtual void | setupExpired () const |
virtual void | performCalculations () const |
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Static Protected Member Functions | |
static Real | calculateFxConversionFactor (const Currency &fromCurrency, const Currency &toCurrency, const Date &evaluationDate) |
static Real | calculateUomConversionFactor (const CommodityType &commodityType, const UnitOfMeasure &fromUnitOfMeasure, const UnitOfMeasure &toUnitOfMeasure) |
Protected Attributes | |
CommodityType | commodityType_ |
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boost::shared_ptr< SecondaryCosts > | secondaryCosts_ |
PricingErrors | pricingErrors_ |
SecondaryCostAmounts | secondaryCostAmounts_ |
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boost::shared_ptr< PricingEngine > | engine_ |
Real | NPV_ |
Real | errorEstimate_ |
Date | valuationDate_ |
std::map< std::string, boost::any > | additionalResults_ |
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bool | calculated_ |
bool | frozen_ |
bool | alwaysForward_ |
Energy commodity class.
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virtual |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
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virtual |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.