payReceive (3) - Linux Manuals

payReceive: Vanilla energy swap.

NAME

QuantLib::EnergyVanillaSwap - Vanilla energy swap.

SYNOPSIS

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

Inherits QuantLib::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 is still tradable.
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

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