QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Friends | List of all members
CommodityCurve Class Reference

Commodity term structure. More...

#include <ql/experimental/commodities/commoditycurve.hpp>

+ Inheritance diagram for CommodityCurve:

Public Member Functions

 CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &prices, const DayCounter &dayCounter=Actual365Fixed())
 
 CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const DayCounter &dayCounter=Actual365Fixed())
 
- Public Member Functions inherited from TermStructure
 TermStructure (const DayCounter &dc=DayCounter())
 default constructor More...
 
 TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 
 TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date
 
virtual ~TermStructure ()
 
virtual DayCounter dayCounter () const
 the day counter used for date/time conversion
 
Time timeFromReference (const Date &date) const
 date/time conversion
 
virtual Time maxTime () const
 the latest time for which the curve can return values
 
virtual const DatereferenceDate () const
 the date at which discount = 1.0 and/or variance = 0.0
 
virtual Calendar calendar () const
 the calendar used for reference and/or option date calculation
 
virtual Natural settlementDays () const
 the settlementDays used for reference date calculation
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Extrapolator
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls
 
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls
 
bool allowsExtrapolation () const
 tells whether extrapolation is enabled
 

Friends

class CommodityIndex
 

Inspectors

std::ostream & operator<< (std::ostream &out, const CommodityCurve &curve)
 
std::string name_
 
CommodityType commodityType_
 
UnitOfMeasure unitOfMeasure_
 
Currency currency_
 
std::vector< Datedates_
 
std::vector< Timetimes_
 
std::vector< Realdata_
 
Interpolation interpolation_
 
ForwardFlat interpolator_
 
ext::shared_ptr< CommodityCurvebasisOfCurve_
 
Real basisOfCurveUomConversionFactor_
 
const std::string & name () const
 
const CommodityTypecommodityType () const
 
const UnitOfMeasureunitOfMeasure () const
 
const Currencycurrency () const
 
Date maxDate () const
 the latest date for which the curve can return values
 
const std::vector< Time > & times () const
 
const std::vector< Date > & dates () const
 
const std::vector< Real > & prices () const
 
std::vector< std::pair< Date, Real > > nodes () const
 
bool empty () const
 
void setPrices (std::map< Date, Real > &prices)
 
void setBasisOfCurve (const ext::shared_ptr< CommodityCurve > &basisOfCurve)
 
Real price (const Date &d, const ext::shared_ptr< ExchangeContracts > &exchangeContracts, Integer nearbyOffset) const
 
Real basisOfPrice (const Date &d) const
 
Date underlyingPriceDate (const Date &date, const ext::shared_ptr< ExchangeContracts > &exchangeContracts, Integer nearbyOffset) const
 
const ext::shared_ptr< CommodityCurve > & basisOfCurve () const
 
Real basisOfPriceImpl (Time t) const
 
Real priceImpl (Time t) const
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from TermStructure
void checkRange (const Date &d, bool extrapolate) const
 date-range check
 
void checkRange (Time t, bool extrapolate) const
 time-range check
 
- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 

Detailed Description

Commodity term structure.