EnergyVanillaSwap Class Reference

Vanilla energy swap. More...

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

Inherits EnergySwap.

Public Member Functions
	EnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const ext::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const ext::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure > &payLegTermStructure, const Handle< YieldTermStructure > &receiveLegTermStructure, const Handle< YieldTermStructure > &discountTermStructure)
bool	isExpired () const
	returns whether the instrument might have value greater than zero.
Integer	payReceive () const
const Money &	fixedPrice () const
const UnitOfMeasure &	fixedPriceUnitOfMeasure () const
const ext::shared_ptr< CommodityIndex > &	index () const

Protected Member Functions
void	performCalculations () const

Protected Attributes
Integer	payReceive_
Money	fixedPrice_
UnitOfMeasure	fixedPriceUnitOfMeasure_
ext::shared_ptr< CommodityIndex >	index_
Handle< YieldTermStructure >	payLegTermStructure_
Handle< YieldTermStructure >	receiveLegTermStructure_
Handle< YieldTermStructure >	discountTermStructure_

Detailed Description

Vanilla energy 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.