Energy basis swap. More...
#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_ |
Energy basis swap.
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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.