basis (3) - Linux Manuals

basis: Energy basis swap.

NAME

QuantLib::EnergyBasisSwap - Energy basis swap.

SYNOPSIS

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

Inherits QuantLib::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

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