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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/commoditypricinghelpers.hpp>
namespace QuantLib {
void CommodityPricingHelper::createPricingPeriods(
Date startDate, Date endDate,
const Quantity& quantity,
EnergyCommodity::DeliverySchedule deliverySchedule,
EnergyCommodity::QuantityPeriodicity qtyPeriodicity,
const PaymentTerm& paymentTerm,
PricingPeriods& pricingPeriods) {
if (deliverySchedule == EnergyCommodity::Monthly) {
Quantity periodQuantity;
if (qtyPeriodicity == EnergyCommodity::PerMonth) {
periodQuantity = quantity;
} else {
QL_FAIL("Invalid period quantity/pricing period combination.");
}
for (Date periodStartDate=startDate; periodStartDate<endDate; ) {
Date periodEndDate = (periodStartDate + (1 * Months)) - 1;
Date paymentDate = paymentTerm.getPaymentDate(periodEndDate);
pricingPeriods.push_back(ext::make_shared<PricingPeriod>(
periodStartDate, periodEndDate,
paymentDate, periodQuantity));
periodStartDate = periodEndDate + 1;
}
} else if (deliverySchedule == EnergyCommodity::Daily) {
QL_REQUIRE(qtyPeriodicity == EnergyCommodity::PerDay,
"Invalid period quantity/pricing period combination.");
for (Date periodStartDate=startDate; periodStartDate<endDate; ) {
Date periodEndDate = (periodStartDate + (1 * Months)) - 1;
Quantity periodQuantity =
quantity * (periodEndDate - periodStartDate);
Date paymentDate = paymentTerm.getPaymentDate(periodEndDate);
pricingPeriods.push_back(ext::make_shared<PricingPeriod>(
periodStartDate, periodEndDate,
paymentDate, periodQuantity));
periodStartDate = periodEndDate + 1;
}
}
}
}
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