/src/quantlib/ql/experimental/commodities/commoditypricinghelpers.cpp
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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 | | <https://www.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 | | #include <ql/experimental/commodities/commoditypricinghelpers.hpp> |
21 | | |
22 | | namespace QuantLib { |
23 | | |
24 | | void CommodityPricingHelper::createPricingPeriods( |
25 | | Date startDate, Date endDate, |
26 | | const Quantity& quantity, |
27 | | EnergyCommodity::DeliverySchedule deliverySchedule, |
28 | | EnergyCommodity::QuantityPeriodicity qtyPeriodicity, |
29 | | const PaymentTerm& paymentTerm, |
30 | 0 | PricingPeriods& pricingPeriods) { |
31 | 0 | if (deliverySchedule == EnergyCommodity::Monthly) { |
32 | 0 | Quantity periodQuantity; |
33 | 0 | if (qtyPeriodicity == EnergyCommodity::PerMonth) { |
34 | 0 | periodQuantity = quantity; |
35 | 0 | } else { |
36 | 0 | QL_FAIL("Invalid period quantity/pricing period combination."); |
37 | 0 | } |
38 | | |
39 | 0 | for (Date periodStartDate=startDate; periodStartDate<endDate; ) { |
40 | 0 | Date periodEndDate = (periodStartDate + (1 * Months)) - 1; |
41 | 0 | Date paymentDate = paymentTerm.getPaymentDate(periodEndDate); |
42 | 0 | pricingPeriods.push_back(ext::make_shared<PricingPeriod>( |
43 | 0 | periodStartDate, periodEndDate, |
44 | 0 | paymentDate, periodQuantity)); |
45 | 0 | periodStartDate = periodEndDate + 1; |
46 | 0 | } |
47 | 0 | } else if (deliverySchedule == EnergyCommodity::Daily) { |
48 | 0 | QL_REQUIRE(qtyPeriodicity == EnergyCommodity::PerDay, |
49 | 0 | "Invalid period quantity/pricing period combination."); |
50 | | |
51 | 0 | for (Date periodStartDate=startDate; periodStartDate<endDate; ) { |
52 | 0 | Date periodEndDate = (periodStartDate + (1 * Months)) - 1; |
53 | |
|
54 | 0 | Quantity periodQuantity = |
55 | 0 | quantity * (periodEndDate - periodStartDate); |
56 | 0 | Date paymentDate = paymentTerm.getPaymentDate(periodEndDate); |
57 | 0 | pricingPeriods.push_back(ext::make_shared<PricingPeriod>( |
58 | 0 | periodStartDate, periodEndDate, |
59 | 0 | paymentDate, periodQuantity)); |
60 | 0 | periodStartDate = periodEndDate + 1; |
61 | 0 | } |
62 | 0 | } |
63 | 0 | } |
64 | | |
65 | | } |