Vanilla energy swap. More...

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

Inherits QuantLib::EnergySwap.

List of all members.

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 might have value greater than zero.
Integer payReceive () const
const MoneyfixedPrice () const
const UnitOfMeasurefixedPriceUnitOfMeasure () 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< CommodityIndexindex_
Handle< YieldTermStructurepayLegTermStructure_
Handle< YieldTermStructurereceiveLegTermStructure_
Handle< YieldTermStructurediscountTermStructure_

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.