Commodity term structure.
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#include <ql/experimental/commodities/commoditycurve.hpp>
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| CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency ¤cy, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &prices, const DayCounter &dayCounter=Actual365Fixed()) |
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| CommodityCurve (const std::string &name, const CommodityType &commodityType, const Currency ¤cy, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, const DayCounter &dayCounter=Actual365Fixed()) |
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| TermStructure (const DayCounter &dc=DayCounter()) |
| default constructor More...
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| TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) |
| initialize with a fixed reference date
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| TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) |
| calculate the reference date based on the global evaluation date
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virtual | ~TermStructure () |
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virtual DayCounter | dayCounter () const |
| the day counter used for date/time conversion
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Time | timeFromReference (const Date &date) const |
| date/time conversion
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virtual Time | maxTime () const |
| the latest time for which the curve can return values
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virtual const Date & | referenceDate () const |
| the date at which discount = 1.0 and/or variance = 0.0
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virtual Calendar | calendar () const |
| the calendar used for reference and/or option date calculation
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virtual Natural | settlementDays () const |
| the settlementDays used for reference date calculation
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void | update () |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
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void | registerWithObservables (const ext::shared_ptr< Observer > &) |
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Size | unregisterWith (const ext::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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virtual void | deepUpdate () |
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| Observable (const Observable &) |
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Observable & | operator= (const Observable &) |
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void | notifyObservers () |
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std::ostream & | operator<< (std::ostream &out, const CommodityCurve &curve) |
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std::string | name_ |
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CommodityType | commodityType_ |
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UnitOfMeasure | unitOfMeasure_ |
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Currency | currency_ |
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std::vector< Date > | dates_ |
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std::vector< Time > | times_ |
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std::vector< Real > | data_ |
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Interpolation | interpolation_ |
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ForwardFlat | interpolator_ |
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ext::shared_ptr< CommodityCurve > | basisOfCurve_ |
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Real | basisOfCurveUomConversionFactor_ |
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const std::string & | name () const |
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const CommodityType & | commodityType () const |
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const UnitOfMeasure & | unitOfMeasure () const |
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const Currency & | currency () const |
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Date | maxDate () const |
| the latest date for which the curve can return values
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const std::vector< Time > & | times () const |
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const std::vector< Date > & | dates () const |
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const std::vector< Real > & | prices () const |
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std::vector< std::pair< Date, Real > > | nodes () const |
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bool | empty () const |
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void | setPrices (std::map< Date, Real > &prices) |
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void | setBasisOfCurve (const ext::shared_ptr< CommodityCurve > &basisOfCurve) |
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Real | price (const Date &d, const ext::shared_ptr< ExchangeContracts > &exchangeContracts, Integer nearbyOffset) const |
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Real | basisOfPrice (const Date &d) const |
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Date | underlyingPriceDate (const Date &date, const ext::shared_ptr< ExchangeContracts > &exchangeContracts, Integer nearbyOffset) const |
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const ext::shared_ptr< CommodityCurve > & | basisOfCurve () const |
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Real | basisOfPriceImpl (Time t) const |
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Real | priceImpl (Time t) const |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
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typedef set_type::iterator | iterator |
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void | checkRange (const Date &d, bool extrapolate) const |
| date-range check
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void | checkRange (Time t, bool extrapolate) const |
| time-range check
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bool | moving_ |
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bool | updated_ |
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Calendar | calendar_ |
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Commodity term structure.