QuantLib_EnergyVanillaSwap man page

EnergyVanillaSwap — Vanilla energy swap.  

Synopsis

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

Inherits EnergySwap.

Public Member Functions

EnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const boost::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure > &payLegTermStructure, const Handle< YieldTermStructure > &receiveLegTermStructure, const Handle< YieldTermStructure > &discountTermStructure)
bool isExpired () const
returns whether the instrument might have value greater than zero.
Integer payReceive () const
const Money & fixedPrice () const
const UnitOfMeasure & fixedPriceUnitOfMeasure () const
const boost::shared_ptr< CommodityIndex > & index () const

Protected Member Functions

void performCalculations () const

Protected Attributes

Integer payReceive_
Money fixedPrice_
UnitOfMeasure fixedPriceUnitOfMeasure_
boost::shared_ptr< CommodityIndex > index_
Handle< YieldTermStructure > payLegTermStructure_
Handle< YieldTermStructure > receiveLegTermStructure_
Handle< YieldTermStructure > discountTermStructure_

Detailed Description

Vanilla energy 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 EnergyVanillaSwap(3), fixedPrice(3), fixedPrice_(3), fixedPriceUnitOfMeasure(3), fixedPriceUnitOfMeasure_(3), payReceive(3) and payReceive_(3) are aliases of QuantLib_EnergyVanillaSwap(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib