QuantLib_EnergyBasisSwap man page

EnergyBasisSwap — Energy basis swap.  

Synopsis

#include <ql/experimental/commodities/energybasisswap.hpp>

Inherits EnergySwap.

Public Member Functions

EnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure > &payLegTermStructure, const Handle< YieldTermStructure > &receiveLegTermStructure, const Handle< YieldTermStructure > &discountTermStructure)
const boost::shared_ptr< CommodityIndex > & payIndex () const
const boost::shared_ptr< CommodityIndex > & receiveIndex () const
const CommodityUnitCost & basis () const

Protected Member Functions

void performCalculations () const

Protected Attributes

boost::shared_ptr< CommodityIndex > spreadIndex_
boost::shared_ptr< CommodityIndex > payIndex_
boost::shared_ptr< CommodityIndex > receiveIndex_
bool spreadToPayLeg_
CommodityUnitCost basis_
Handle< YieldTermStructure > payLegTermStructure_
Handle< YieldTermStructure > receiveLegTermStructure_
Handle< YieldTermStructure > discountTermStructure_

Detailed Description

Energy basis swap.

Member Function Documentation

void performCalculations () const [protected], [virtual]

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from Instrument.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages basis(3), basis_(3), discountTermStructure_(3), EnergyBasisSwap(3), payIndex(3), payIndex_(3), payLegTermStructure_(3), receiveIndex(3), receiveIndex_(3), receiveLegTermStructure_(3), spreadIndex_(3) and spreadToPayLeg_(3) are aliases of QuantLib_EnergyBasisSwap(3).

Wed Aug 2 2017 Version 1.10 QuantLib