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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 J. Erik Radmall
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/experimental/commodities/commodityindex.hpp>
#include <ql/experimental/commodities/commoditypricinghelpers.hpp>
namespace QuantLib {
CommodityIndex::CommodityIndex(
const std::string& indexName,
const CommodityType& commodityType,
const Currency& currency,
const UnitOfMeasure& unitOfMeasure,
const Calendar& calendar,
Real lotQuantity,
const ext::shared_ptr<CommodityCurve>& forwardCurve,
const ext::shared_ptr<ExchangeContracts>& exchangeContracts,
int nearbyOffset)
: name_(indexName), commodityType_(commodityType),
unitOfMeasure_(unitOfMeasure), currency_(currency), calendar_(calendar),
lotQuantity_(lotQuantity), forwardCurve_(forwardCurve),
forwardCurveUomConversionFactor_(1),
exchangeContracts_(exchangeContracts), nearbyOffset_(nearbyOffset) {
quotes_ = IndexManager::instance().getHistory(indexName);
IndexManager::instance().setHistory(indexName, quotes_);
registerWith(Settings::instance().evaluationDate());
registerWith(IndexManager::instance().notifier(name()));
if (forwardCurve_ != 0)
// registerWith(forwardCurve_);
forwardCurveUomConversionFactor_ =
CommodityPricingHelper::calculateUomConversionFactor(
commodityType_,
forwardCurve_->unitOfMeasure_,
unitOfMeasure_);
}
std::ostream& operator<<(std::ostream& out, const CommodityIndex& index) {
out << "[" << index.name_ << "] ("
<< index.currency_.code() << "/"
<< index.unitOfMeasure_.code() << ")";
if (index.forwardCurve_ != 0)
out << "; forward (" << (*index.forwardCurve_) << ")";
return out;
}
}
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