EnergyBasisSwap Class Reference

Energy basis swap. More...

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

Inherits EnergySwap.

Public Member Functions
	EnergyBasisSwap (const Calendar &calendar, const ext::shared_ptr< CommodityIndex > &spreadIndex, const ext::shared_ptr< CommodityIndex > &payIndex, const ext::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const ext::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure > &payLegTermStructure, const Handle< YieldTermStructure > &receiveLegTermStructure, const Handle< YieldTermStructure > &discountTermStructure)
const ext::shared_ptr< CommodityIndex > &	payIndex () const
const ext::shared_ptr< CommodityIndex > &	receiveIndex () const
const CommodityUnitCost &	basis () const

Protected Member Functions
void	performCalculations () const

Protected Attributes
ext::shared_ptr< CommodityIndex >	spreadIndex_
ext::shared_ptr< CommodityIndex >	payIndex_
ext::shared_ptr< CommodityIndex >	receiveIndex_
bool	spreadToPayLeg_
CommodityUnitCost	basis_
Handle< YieldTermStructure >	payLegTermStructure_
Handle< YieldTermStructure >	receiveLegTermStructure_
Handle< YieldTermStructure >	discountTermStructure_

Detailed Description

Energy basis swap.

Member Function Documentation

performCalculations()

void performCalculations ( ) const

protectedvirtual

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from Instrument.