QuantLib_EnergyVanillaSwap man page

EnergyVanillaSwap — Vanilla energy swap.  


#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.


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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).

Mon Apr 30 2018 Version 1.12.1 QuantLib