1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
|
/* -*- 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.
*/
/*! \file commoditypricinghelpers.hpp
\brief Commodity pricing helpers
*/
#ifndef quantlib_commodity_pricing_helpers_hpp
#define quantlib_commodity_pricing_helpers_hpp
#include <ql/experimental/commodities/energycommodity.hpp>
#include <ql/experimental/commodities/paymentterm.hpp>
#include <ql/experimental/commodities/pricingperiod.hpp>
#include <ql/experimental/commodities/unitofmeasureconversionmanager.hpp>
#include <ql/currencies/exchangeratemanager.hpp>
namespace QuantLib {
//! commodity index helper
class CommodityPricingHelper {
public:
CommodityPricingHelper();
static Real calculateFxConversionFactor(const Currency& fromCurrency,
const Currency& toCurrency,
const Date& evaluationDate);
static Real calculateUomConversionFactor(
const CommodityType& commodityType,
const UnitOfMeasure& fromUnitOfMeasure,
const UnitOfMeasure& toUnitOfMeasure);
static Real calculateUnitCost(const CommodityType& commodityType,
const CommodityUnitCost& unitCost,
const Currency& baseCurrency,
const UnitOfMeasure& baseUnitOfMeasure,
const Date& evaluationDate);
static void createPricingPeriods(
Date startDate, Date endDate,
const Quantity& quantity,
EnergyCommodity::DeliverySchedule deliverySchedule,
EnergyCommodity::QuantityPeriodicity qtyPeriodicity,
const PaymentTerm& paymentTerm,
PricingPeriods& pricingPeriods);
};
inline Real CommodityPricingHelper::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;
}
inline Real CommodityPricingHelper::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.source())
return (Real)1 / exchRate.rate();
return exchRate.rate();
}
return 1;
}
inline Real CommodityPricingHelper::calculateUnitCost(
const CommodityType& commodityType,
const CommodityUnitCost& unitCost,
const Currency& baseCurrency,
const UnitOfMeasure& baseUnitOfMeasure,
const Date& evaluationDate) {
if (unitCost.amount().value() != 0) {
Real unitCostUomConversionFactor =
calculateUomConversionFactor(commodityType,
unitCost.unitOfMeasure(),
baseUnitOfMeasure);
Real unitCostFxConversionFactor =
calculateFxConversionFactor(unitCost.amount().currency(),
baseCurrency, evaluationDate);
return unitCost.amount().value() * unitCostUomConversionFactor
* unitCostFxConversionFactor;
}
return 0;
}
}
#endif
|
