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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 energyswap.hpp
\brief Energy swap
*/
#ifndef quantlib_energy_swap_hpp
#define quantlib_energy_swap_hpp
#include <ql/experimental/commodities/energycommodity.hpp>
#include <ql/experimental/commodities/pricingperiod.hpp>
#include <ql/experimental/commodities/commoditycashflow.hpp>
#include <ql/time/calendar.hpp>
namespace QuantLib {
class EnergySwap : public EnergyCommodity {
public:
EnergySwap(Calendar calendar,
Currency payCurrency,
Currency receiveCurrency,
PricingPeriods pricingPeriods,
const CommodityType& commodityType,
const ext::shared_ptr<SecondaryCosts>& secondaryCosts);
bool isExpired() const override;
const Calendar& calendar() const { return calendar_; }
const Currency& payCurrency() const { return payCurrency_; }
const Currency& receiveCurrency() const { return receiveCurrency_; }
const PricingPeriods& pricingPeriods() const { return pricingPeriods_; }
const EnergyDailyPositions& dailyPositions() const {
return dailyPositions_;
}
const CommodityCashFlows& paymentCashFlows() const {
return paymentCashFlows_;
}
const CommodityType& commodityType() const;
Quantity quantity() const override;
protected:
Calendar calendar_;
Currency payCurrency_;
Currency receiveCurrency_;
PricingPeriods pricingPeriods_;
mutable EnergyDailyPositions dailyPositions_;
mutable CommodityCashFlows paymentCashFlows_;
};
}
#endif
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