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

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

Fri Sep 23 2016 Version 1.8.1 QuantLib