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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 energybasisswap.hpp
\brief Energy basis swap
*/
#ifndef quantlib_energy_basis_swap_hpp
#define quantlib_energy_basis_swap_hpp
#include <ql/experimental/commodities/energyswap.hpp>
#include <ql/experimental/commodities/commodityindex.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
//! Energy basis swap
class EnergyBasisSwap : public EnergySwap {
public:
EnergyBasisSwap(const Calendar& calendar,
ext::shared_ptr<CommodityIndex> spreadIndex,
ext::shared_ptr<CommodityIndex> payIndex,
ext::shared_ptr<CommodityIndex> receiveIndex,
bool spreadToPayLeg,
const Currency& payCurrency,
const Currency& receiveCurrency,
const PricingPeriods& pricingPeriods,
CommodityUnitCost basis,
const CommodityType& commodityType,
const ext::shared_ptr<SecondaryCosts>& secondaryCosts,
Handle<YieldTermStructure> payLegTermStructure,
Handle<YieldTermStructure> receiveLegTermStructure,
Handle<YieldTermStructure> discountTermStructure);
const ext::shared_ptr<CommodityIndex>& payIndex() const {
return payIndex_;
}
const ext::shared_ptr<CommodityIndex>& receiveIndex() const {
return receiveIndex_;
}
const CommodityUnitCost& basis() const { return basis_; }
protected:
void performCalculations() const override;
ext::shared_ptr<CommodityIndex> spreadIndex_;
ext::shared_ptr<CommodityIndex> payIndex_;
ext::shared_ptr<CommodityIndex> receiveIndex_;
bool spreadToPayLeg_;
CommodityUnitCost basis_;
Handle<YieldTermStructure> payLegTermStructure_;
Handle<YieldTermStructure> receiveLegTermStructure_;
Handle<YieldTermStructure> discountTermStructure_;
};
}
#endif
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