/src/quantlib/ql/experimental/commodities/energyswap.hpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2008 J. Erik Radmall |
5 | | |
6 | | This file is part of QuantLib, a free-software/open-source library |
7 | | for financial quantitative analysts and developers - http://quantlib.org/ |
8 | | |
9 | | QuantLib is free software: you can redistribute it and/or modify it |
10 | | under the terms of the QuantLib license. You should have received a |
11 | | copy of the license along with this program; if not, please email |
12 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
13 | | <http://quantlib.org/license.shtml>. |
14 | | |
15 | | This program is distributed in the hope that it will be useful, but WITHOUT |
16 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
17 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
18 | | */ |
19 | | |
20 | | /*! \file energyswap.hpp |
21 | | \brief Energy swap |
22 | | */ |
23 | | |
24 | | #ifndef quantlib_energy_swap_hpp |
25 | | #define quantlib_energy_swap_hpp |
26 | | |
27 | | #include <ql/experimental/commodities/energycommodity.hpp> |
28 | | #include <ql/experimental/commodities/pricingperiod.hpp> |
29 | | #include <ql/experimental/commodities/commoditycashflow.hpp> |
30 | | #include <ql/time/calendar.hpp> |
31 | | |
32 | | namespace QuantLib { |
33 | | |
34 | | class EnergySwap : public EnergyCommodity { |
35 | | public: |
36 | | EnergySwap(Calendar calendar, |
37 | | Currency payCurrency, |
38 | | Currency receiveCurrency, |
39 | | PricingPeriods pricingPeriods, |
40 | | const CommodityType& commodityType, |
41 | | const ext::shared_ptr<SecondaryCosts>& secondaryCosts); |
42 | | |
43 | | bool isExpired() const override; |
44 | 0 | const Calendar& calendar() const { return calendar_; } |
45 | 0 | const Currency& payCurrency() const { return payCurrency_; } |
46 | 0 | const Currency& receiveCurrency() const { return receiveCurrency_; } |
47 | 0 | const PricingPeriods& pricingPeriods() const { return pricingPeriods_; } |
48 | 0 | const EnergyDailyPositions& dailyPositions() const { |
49 | 0 | return dailyPositions_; |
50 | 0 | } |
51 | 0 | const CommodityCashFlows& paymentCashFlows() const { |
52 | 0 | return paymentCashFlows_; |
53 | 0 | } |
54 | | |
55 | | const CommodityType& commodityType() const; |
56 | | Quantity quantity() const override; |
57 | | |
58 | | protected: |
59 | | Calendar calendar_; |
60 | | Currency payCurrency_; |
61 | | Currency receiveCurrency_; |
62 | | PricingPeriods pricingPeriods_; |
63 | | mutable EnergyDailyPositions dailyPositions_; |
64 | | mutable CommodityCashFlows paymentCashFlows_; |
65 | | }; |
66 | | |
67 | | } |
68 | | |
69 | | #endif |