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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
<https://www.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 commodityindex.hpp
\brief Commodity index
*/
#ifndef quantlib_commodity_index_hpp
#define quantlib_commodity_index_hpp
#include <ql/experimental/commodities/commoditycurve.hpp>
#include <ql/index.hpp>
namespace QuantLib {
class TermStructure;
//! base class for commodity indexes
class CommodityIndex : public Index {
public:
CommodityIndex(std::string name,
CommodityType commodityType,
Currency currency,
UnitOfMeasure unitOfMeasure,
Calendar calendar,
Real lotQuantity,
ext::shared_ptr<CommodityCurve> forwardCurve,
ext::shared_ptr<ExchangeContracts> exchangeContracts,
int nearbyOffset);
//! \name Index interface
//@{
std::string name() const override;
Calendar fixingCalendar() const override;
bool isValidFixingDate(const Date& fixingDate) const override;
Real fixing(const Date& fixingDate,
bool forecastTodaysFixing = false) const override;
//@}
//! \name Observer interface
//@{
void update() override;
//@}
//! \name Inspectors
//@{
const CommodityType& commodityType() const;
const Currency& currency() const;
const UnitOfMeasure& unitOfMeasure() const;
const ext::shared_ptr<CommodityCurve>& forwardCurve() const;
Real lotQuantity() const;
Real forwardPrice(const Date& date) const;
Date lastQuoteDate() const;
bool empty() const;
bool forwardCurveEmpty() const;
//@}
/*! \deprecated Use fixingCalendar instead.
Deprecated in version 1.37.
*/
[[deprecated("Use fixingCalendar instead")]]
const Calendar& calendar() const {
return calendar_;
}
/*! \deprecated Use fixing instead.
Deprecated in version 1.37.
*/
[[deprecated("Use fixing instead")]]
Real price(const Date& date) {
return fixing(date);
}
/*! \deprecated Use addFixing instead.
Deprecated in version 1.37.
*/
[[deprecated("Use addFixing instead")]]
void addQuote(const Date& quoteDate, Real quote) {
addFixing(quoteDate, quote);
}
/*! \deprecated Use addFixings instead.
Deprecated in version 1.37.
*/
[[deprecated("Use addFixings instead")]]
void addQuotes(const std::map<Date, Real>& quotes) {
for (auto quote : quotes) {
addFixing(quote.first, quote.second);
}
}
/*! \deprecated Use clearFixings instead.
Deprecated in version 1.37.
*/
[[deprecated("Use clearFixings instead")]]
void clearQuotes() {
clearFixings();
}
/*! \deprecated Use isValidFixingDate instead.
Deprecated in version 1.37.
*/
[[deprecated("Use isValidFixingDate instead")]]
bool isValidQuoteDate(const Date& quoteDate) const {
return isValidFixingDate(quoteDate);
}
/*! \deprecated Use timeSeries instead.
Deprecated in version 1.37.
*/
[[deprecated("Use timeSeries instead")]]
const TimeSeries<Real>& quotes() const {
return timeSeries();
}
friend std::ostream& operator<<(std::ostream&, const CommodityIndex&);
protected:
std::string name_;
CommodityType commodityType_;
UnitOfMeasure unitOfMeasure_;
Currency currency_;
Calendar calendar_;
Real lotQuantity_;
ext::shared_ptr<CommodityCurve> forwardCurve_;
Real forwardCurveUomConversionFactor_ = 1;
ext::shared_ptr<ExchangeContracts> exchangeContracts_;
Integer nearbyOffset_;
};
// inline definitions
inline bool operator==(const CommodityIndex& i1, const CommodityIndex& i2) {
return i1.name() == i2.name();
}
inline void CommodityIndex::update() {
notifyObservers();
}
inline std::string CommodityIndex::name() const {
return name_;
}
inline Calendar CommodityIndex::fixingCalendar() const {
return calendar_;
}
inline bool CommodityIndex::isValidFixingDate(const Date& fixingDate) const {
return fixingCalendar().isBusinessDay(fixingDate);
}
inline Real CommodityIndex::fixing(const Date& date, bool) const {
return pastFixing(date);
}
inline const CommodityType& CommodityIndex::commodityType() const {
return commodityType_;
}
inline const UnitOfMeasure& CommodityIndex::unitOfMeasure() const {
return unitOfMeasure_;
}
inline const Currency& CommodityIndex::currency() const {
return currency_;
}
inline Real CommodityIndex::lotQuantity() const {
return lotQuantity_;
}
inline const ext::shared_ptr<CommodityCurve>&
CommodityIndex::forwardCurve() const {
return forwardCurve_;
}
inline Real CommodityIndex::forwardPrice(const Date& date) const {
try {
Real forwardPrice =
forwardCurve_->price(date, exchangeContracts_, nearbyOffset_);
return forwardPrice * forwardCurveUomConversionFactor_;
} catch (const std::exception& e) {
QL_FAIL("error fetching forward price for index " << name_
<< ": " << e.what());
}
}
inline Date CommodityIndex::lastQuoteDate() const {
return timeSeries().lastDate();
}
inline bool CommodityIndex::empty() const {
return timeSeries().empty();
}
inline bool CommodityIndex::forwardCurveEmpty() const {
if (forwardCurve_ != nullptr)
return forwardCurve_->empty();
return false;
}
}
#endif
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