Vanilla energy swap. More...
#include <ql/experimental/commodities/energyvanillaswap.hpp>
Inherits EnergySwap.
Public Member Functions | |
| EnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const ext::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const ext::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 ext::shared_ptr< CommodityIndex > & | index () const |
Protected Member Functions | |
| void | performCalculations () const |
Protected Attributes | |
| Integer | payReceive_ |
| Money | fixedPrice_ |
| UnitOfMeasure | fixedPriceUnitOfMeasure_ |
| ext::shared_ptr< CommodityIndex > | index_ |
| Handle< YieldTermStructure > | payLegTermStructure_ |
| Handle< YieldTermStructure > | receiveLegTermStructure_ |
| Handle< YieldTermStructure > | discountTermStructure_ |
Vanilla energy swap.
|
protectedvirtual |
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.