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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/energyfuture.hpp>
#include <ql/experimental/commodities/commoditysettings.hpp>
#include <ql/settings.hpp>
namespace QuantLib {
EnergyFuture::EnergyFuture(
Integer buySell, const Quantity& quantity,
const CommodityUnitCost& tradePrice,
const ext::shared_ptr<CommodityIndex>& index,
const CommodityType& commodityType,
const ext::shared_ptr<SecondaryCosts>& secondaryCosts)
: EnergyCommodity(commodityType, secondaryCosts),
buySell_(buySell), quantity_(quantity), tradePrice_(tradePrice),
index_(index) {
registerWith(Settings::instance().evaluationDate());
registerWith(index_);
}
bool EnergyFuture::isExpired() const {
return false;
}
void EnergyFuture::performCalculations() const {
NPV_ = 0.0;
additionalResults_.clear();
Date evaluationDate = Settings::instance().evaluationDate();
const Currency& baseCurrency =
CommoditySettings::instance().currency();
const UnitOfMeasure baseUnitOfMeasure =
CommoditySettings::instance().unitOfMeasure();
Real quantityUomConversionFactor =
calculateUomConversionFactor(
quantity_.commodityType(),
baseUnitOfMeasure,
quantity_.unitOfMeasure()) * index_->lotQuantity();
Real indexUomConversionFactor =
calculateUomConversionFactor(index_->commodityType(),
index_->unitOfMeasure(),
baseUnitOfMeasure);
Real tradePriceUomConversionFactor =
calculateUomConversionFactor(quantity_.commodityType(),
tradePrice_.unitOfMeasure(),
baseUnitOfMeasure);
Real tradePriceFxConversionFactor =
calculateFxConversionFactor(tradePrice_.amount().currency(),
baseCurrency, evaluationDate);
Real indexPriceFxConversionFactor =
calculateFxConversionFactor(index_->currency(), baseCurrency,
evaluationDate);
Real quoteValue = 0;
Date lastQuoteDate = index_->lastQuoteDate();
if (lastQuoteDate >= evaluationDate - 1) {
quoteValue = index_->price(evaluationDate);
} else {
quoteValue = index_->forwardPrice(evaluationDate);
std::ostringstream message;
message << "curve [" << index_->name()
<< "] has last quote date of "
<< io::iso_date(lastQuoteDate)
<< " using forward price from ["
<< index_->forwardCurve()->name() << "]";
addPricingError(PricingError::Warning, message.str());
}
QL_REQUIRE(quoteValue != Null<Real>(),
"missing quote for [" << index_->name() << "]");
Real tradePriceValue =
tradePrice_.amount().value() * tradePriceUomConversionFactor
* tradePriceFxConversionFactor;
Real quotePriceValue = quoteValue * indexUomConversionFactor
* indexPriceFxConversionFactor;
Real quantityAmount = quantity_.amount() * quantityUomConversionFactor;
Real delta = (((quotePriceValue - tradePriceValue) * quantityAmount)
* index_->lotQuantity()) * buySell_;
NPV_ = delta;
calculateSecondaryCostAmounts(quantity_.commodityType(),
quantity_.amount(), evaluationDate);
for (SecondaryCostAmounts::const_iterator i = secondaryCostAmounts_.begin(); i != secondaryCostAmounts_.end(); ++i) {
Real amount = i->second.value();
NPV_ -= amount;
}
// additionalResults_["brokerCommission"] =
// -(brokerCommissionValue * quantityAmount);
}
}
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