forwardCurve (3) - Linux Manuals

forwardCurve: base class for commodity indexes

NAME

QuantLib::CommodityIndex - base class for commodity indexes

SYNOPSIS

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

Inherits QuantLib::Observable, and QuantLib::Observer.

Public Member Functions

CommodityIndex (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, Real lotQuantity, const boost::shared_ptr< CommodityCurve > &forwardCurve, const boost::shared_ptr< ExchangeContracts > &exchangeContracts, int nearbyOffset)

void addQuote (const Date &quoteDate, Real quote)

void addQuotes (const std::map< Date, Real > &quotes)

void clearQuotes ()

bool isValidQuoteDate (const Date &quoteDate) const
returns TRUE if the quote date is valid
bool empty () const

bool forwardCurveEmpty () const

const TimeSeries< Real > & quotes () const

Index interface

std::string name () const

Observer interface

void update ()

Inspectors

const CommodityType & commodityType () const

const Currency & currency () const

const UnitOfMeasure & unitOfMeasure () const

const Calendar & calendar () const

const boost::shared_ptr< CommodityCurve > & forwardCurve () const

Real lotQuantity () const

Real price (const Date &date)

Real forwardPrice (const Date &date) const

Date lastQuoteDate () const

Protected Attributes

std::string name_

CommodityType commodityType_

UnitOfMeasure unitOfMeasure_

Currency currency_

Calendar calendar_

Real lotQuantity_

TimeSeries< Real > quotes_

boost::shared_ptr< CommodityCurve > forwardCurve_

Real forwardCurveUomConversionFactor_

boost::shared_ptr< ExchangeContracts > exchangeContracts_

Integer nearbyOffset_

Friends

std::ostream & operator<< (std::ostream &, const CommodityIndex &)

Detailed Description

base class for commodity indexes

Member Function Documentation

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Author

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