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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/energycommodity.hpp>
#include <ql/experimental/commodities/commoditysettings.hpp>
#include <ql/experimental/commodities/unitofmeasureconversionmanager.hpp>
#include <ql/currencies/exchangeratemanager.hpp>
#include <iomanip>
namespace QuantLib {
EnergyDailyPosition::EnergyDailyPosition()
: payLegPrice(0), receiveLegPrice(0), unrealized(false) {}
EnergyDailyPosition::EnergyDailyPosition(const Date& date,
Real payLegPrice,
Real receiveLegPrice,
bool unrealized)
: date(date), quantityAmount(0), payLegPrice(payLegPrice),
receiveLegPrice(receiveLegPrice), unrealized(unrealized) {}
std::ostream& operator<<(std::ostream& out,
const EnergyDailyPositions& dailyPositions) {
out << std::setw(12) << std::left << "positions"
<< std::setw(12) << std::right << "pay"
<< std::setw(12) << std::right << "receive"
<< std::setw(10) << std::right << "qty"
<< std::setw(14) << std::right << "delta"
<< std::setw(10) << std::right << "open" << std::endl;
for (EnergyDailyPositions::const_iterator i = dailyPositions.begin();
i != dailyPositions.end(); ++i) {
const EnergyDailyPosition& dailyPosition = i->second;
out << std::setw(4) << io::iso_date(i->first) << " "
<< std::setw(12) << std::right << std::fixed
<< std::setprecision(6) << dailyPosition.payLegPrice
<< std::setw(12) << std::right << std::fixed
<< std::setprecision(6) << dailyPosition.receiveLegPrice
<< std::setw(10) << std::right << std::fixed
<< std::setprecision(2) << dailyPosition.quantityAmount
<< std::setw(14) << std::right << std::fixed
<< std::setprecision(2) << dailyPosition.riskDelta
<< std::setw(10) << std::right << std::fixed
<< std::setprecision(2)
<< (dailyPosition.unrealized ? dailyPosition.quantityAmount : 0)
<< std::endl;
}
return out;
}
void EnergyCommodity::setupArguments(PricingEngine::arguments* args) const {
EnergyCommodity::arguments* arguments =
dynamic_cast<EnergyCommodity::arguments*>(args);
QL_REQUIRE(arguments != 0, "wrong argument type");
//arguments->legs = legs_;
//arguments->payer = payer_;
}
void EnergyCommodity::fetchResults(const PricingEngine::results* r) const {
Instrument::fetchResults(r);
const EnergyCommodity::results* results =
dynamic_cast<const EnergyCommodity::results*>(r);
QL_REQUIRE(results != 0, "wrong result type");
}
EnergyCommodity::EnergyCommodity(
const CommodityType& commodityType,
const ext::shared_ptr<SecondaryCosts>& secondaryCosts)
: Commodity(secondaryCosts), commodityType_(commodityType) {}
const CommodityType& EnergyCommodity::commodityType() const {
return commodityType_;
}
Real EnergyCommodity::calculateUomConversionFactor(
const CommodityType& commodityType,
const UnitOfMeasure& fromUnitOfMeasure,
const UnitOfMeasure& toUnitOfMeasure) {
if (toUnitOfMeasure != fromUnitOfMeasure) {
UnitOfMeasureConversion uomConv =
UnitOfMeasureConversionManager::instance().lookup(
commodityType, fromUnitOfMeasure, toUnitOfMeasure);
return uomConv.conversionFactor();
}
return 1;
}
Real EnergyCommodity::calculateFxConversionFactor(
const Currency& fromCurrency,
const Currency& toCurrency,
const Date& evaluationDate) {
if (fromCurrency != toCurrency) {
ExchangeRate exchRate = ExchangeRateManager::instance().lookup(
fromCurrency, toCurrency,
evaluationDate /*, ExchangeRate::Direct*/);
if (fromCurrency == exchRate.target())
return 1.0 / exchRate.rate();
return exchRate.rate();
}
return 1;
}
Real EnergyCommodity::calculateUnitCost(const CommodityType& commodityType,
const CommodityUnitCost& unitCost,
const Date& evaluationDate) const {
if (unitCost.amount().value() != 0) {
const Currency& baseCurrency =
CommoditySettings::instance().currency();
const UnitOfMeasure baseUnitOfMeasure =
CommoditySettings::instance().unitOfMeasure();
Real unitCostUomConversionFactor =
calculateUomConversionFactor(commodityType,
unitCost.unitOfMeasure(),
baseUnitOfMeasure);
Real unitCostFxConversionFactor =
calculateFxConversionFactor(unitCost.amount().currency(),
baseCurrency, evaluationDate);
return unitCost.amount().value() * unitCostUomConversionFactor
* unitCostFxConversionFactor;
}
return 0;
}
void EnergyCommodity::calculateSecondaryCostAmounts(
const CommodityType& commodityType,
Real totalQuantityValue,
const Date& evaluationDate) const {
secondaryCostAmounts_.clear();
if (secondaryCosts_ != 0) {
const Currency& baseCurrency =
CommoditySettings::instance().currency();
try {
for (SecondaryCosts::const_iterator i = secondaryCosts_->begin();
i != secondaryCosts_->end(); ++i) {
if (boost::any_cast<CommodityUnitCost>(&i->second) != 0) {
Real value =
calculateUnitCost(
commodityType,
boost::any_cast<CommodityUnitCost>(i->second),
evaluationDate) * totalQuantityValue;
secondaryCostAmounts_[i->first] =
Money(baseCurrency, value);
} else if (boost::any_cast<Money>(&i->second) != 0) {
const Money& amount = boost::any_cast<Money>(i->second);
Real fxConversionFactor =
calculateFxConversionFactor(amount.currency(),
baseCurrency,
evaluationDate);
secondaryCostAmounts_[i->first] =
Money(baseCurrency,
amount.value() * fxConversionFactor);
}
}
} catch (const std::exception& e) {
QL_FAIL("error calculating secondary costs: " << e.what());
}
}
}
}
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