EnergyBasisSwap (3) - Linux Manuals
EnergyBasisSwap: Energy basis swap.
NAME
QuantLib::EnergyBasisSwap - Energy basis swap.
SYNOPSIS
#include <ql/experimental/commodities/energybasisswap.hpp>
Inherits QuantLib::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
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.