EnergyCommodity Class Referenceabstract

Energy commodity class. More...

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

Inheritance diagram for EnergyCommodity:

Public Types

enum  DeliverySchedule {
  Constant, Window, Hourly, Daily,
  Weekly, Monthly, Quarterly, Yearly
}
 
enum  QuantityPeriodicity {
  Absolute, PerHour, PerDay, PerWeek,
  PerMonth, PerQuarter, PerYear
}
 
enum  PaymentSchedule { WindowSettlement, MonthlySettlement, QuarterlySettlement, YearlySettlement }
 

Public Member Functions

 EnergyCommodity (const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts)
 
virtual Quantity quantity () const =0
 
const CommodityTypecommodityType () const
 
void setupArguments (PricingEngine::arguments *) const
 
void fetchResults (const PricingEngine::results *) const
 
- Public Member Functions inherited from Commodity
 Commodity (const boost::shared_ptr< SecondaryCosts > &secondaryCosts)
 
const boost::shared_ptr
< SecondaryCosts > & 
secondaryCosts () const
 
const SecondaryCostAmounts & secondaryCostAmounts () const
 
const PricingErrors & pricingErrors () const
 
void addPricingError (PricingError::Level errorLevel, const std::string &error, const std::string &detail="") const
 
- Public Member Functions inherited from Instrument
Real NPV () const
 returns the net present value of the instrument.
 
Real errorEstimate () const
 returns the error estimate on the NPV when available.
 
const DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename T >
result (const std::string &tag) const
 returns any additional result returned by the pricing engine.
 
const std::map< std::string,
boost::any > & 
additionalResults () const
 returns all additional result returned by the pricing engine.
 
virtual bool isExpired () const =0
 returns whether the instrument might have value greater than zero.
 
void setPricingEngine (const boost::shared_ptr< PricingEngine > &)
 set the pricing engine to be used. More...
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Protected Member Functions

Real calculateUnitCost (const CommodityType &commodityType, const CommodityUnitCost &unitCost, const Date &evaluationDate) const
 
void calculateSecondaryCostAmounts (const CommodityType &commodityType, Real totalQuantityValue, const Date &evaluationDate) const
 
- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void setupExpired () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject

Static Protected Member Functions

static Real calculateFxConversionFactor (const Currency &fromCurrency, const Currency &toCurrency, const Date &evaluationDate)
 
static Real calculateUomConversionFactor (const CommodityType &commodityType, const UnitOfMeasure &fromUnitOfMeasure, const UnitOfMeasure &toUnitOfMeasure)
 

Protected Attributes

CommodityType commodityType_
 
- Protected Attributes inherited from Commodity
boost::shared_ptr< SecondaryCosts > secondaryCosts_
 
PricingErrors pricingErrors_
 
SecondaryCostAmounts secondaryCostAmounts_
 
- Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngineengine_
 
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

Detailed Description

Energy commodity class.

Member Function Documentation

void setupArguments ( PricingEngine::arguments *  ) const
virtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

void fetchResults ( const PricingEngine::results *  r) const
virtual

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.