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EnergyBasisSwap

NAME

EnergyBasisSwap −

Energy basis swap.

SYNOPSIS

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

Inherits 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

Generated automatically by Doxygen for QuantLib from the source code.

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