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

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).

Fri Sep 23 2016 Version 1.8.1 QuantLib