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

Energy future. More...

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

+ Inheritance diagram for EnergyFuture:

Public Member Functions

 EnergyFuture (Integer buySell, const Quantity &quantity, const CommodityUnitCost &tradePrice, const ext::shared_ptr< CommodityIndex > &index, const CommodityType &commodityType, const ext::shared_ptr< SecondaryCosts > &secondaryCosts)
 
bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
Quantity quantity () const
 
const CommodityUnitCost & tradePrice () const
 
ext::shared_ptr< CommodityIndexindex () const
 
- Public Member Functions inherited from EnergyCommodity
 EnergyCommodity (const CommodityType &commodityType, const ext::shared_ptr< SecondaryCosts > &secondaryCosts)
 
const CommodityTypecommodityType () const
 
void setupArguments (PricingEngine::arguments *) const
 
void fetchResults (const PricingEngine::results *) const
 
- Public Member Functions inherited from Commodity
 Commodity (const ext::shared_ptr< SecondaryCosts > &secondaryCosts)
 
const ext::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
 
- Public Member Functions inherited from Instrument
Real NPV () const
 returns the net present value of the instrument.
 
Real errorEstimate () const
 returns the error estimate on the NPV when available.
 
const DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename 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.
 
void setPricingEngine (const ext::shared_ptr< PricingEngine > &)
 set the pricing engine to be used. More...
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
void alwaysForwardNotifications ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- 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 ()
 

Protected Member Functions

void performCalculations () const
 
- Protected Member Functions inherited from EnergyCommodity
Real calculateUnitCost (const CommodityType &commodityType, const CommodityUnitCost &unitCost, const Date &evaluationDate) const
 
void calculateSecondaryCostAmounts (const CommodityType &commodityType, Real totalQuantityValue, const Date &evaluationDate) const
 
- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void setupExpired () const
 
- Protected Member Functions inherited from LazyObject

Protected Attributes

Integer buySell_
 
Quantity quantity_
 
CommodityUnitCost tradePrice_
 
ext::shared_ptr< CommodityIndexindex_
 
- Protected Attributes inherited from EnergyCommodity
CommodityType commodityType_
 
- Protected Attributes inherited from Commodity
ext::shared_ptr< SecondaryCosts > secondaryCosts_
 
PricingErrors pricingErrors_
 
SecondaryCostAmounts secondaryCostAmounts_
 
- Protected Attributes inherited from Instrument
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
ext::shared_ptr< PricingEngineengine_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 
bool alwaysForward_
 

Additional Inherited Members

- Public Types inherited from EnergyCommodity
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 }
 
- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Static Protected Member Functions inherited from EnergyCommodity
static Real calculateFxConversionFactor (const Currency &fromCurrency, const Currency &toCurrency, const Date &evaluationDate)
 
static Real calculateUomConversionFactor (const CommodityType &commodityType, const UnitOfMeasure &fromUnitOfMeasure, const UnitOfMeasure &toUnitOfMeasure)
 

Detailed Description

Energy future.

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.