| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2008 J. Erik Radmall |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/experimental/commodities/energyswap.hpp> |
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| 21 | #include <ql/settings.hpp> |
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| 22 | #include <utility> |
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| 23 | |
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| 24 | namespace QuantLib { |
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| 25 | |
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| 26 | EnergySwap::EnergySwap(Calendar calendar, |
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| 27 | Currency payCurrency, |
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| 28 | Currency receiveCurrency, |
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| 29 | PricingPeriods pricingPeriods, |
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| 30 | const CommodityType& commodityType, |
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| 31 | const ext::shared_ptr<SecondaryCosts>& secondaryCosts) |
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| 32 | : EnergyCommodity(commodityType, secondaryCosts), calendar_(std::move(calendar)), |
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| 33 | payCurrency_(std::move(payCurrency)), receiveCurrency_(std::move(receiveCurrency)), |
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| 34 | pricingPeriods_(std::move(pricingPeriods)) {} |
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| 35 | |
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| 36 | const CommodityType& EnergySwap::commodityType() const { |
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| 37 | QL_REQUIRE(!pricingPeriods_.empty(), "no pricing periods" ); |
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| 38 | return pricingPeriods_[0]->quantity().commodityType(); |
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| 39 | } |
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| 40 | |
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| 41 | Quantity EnergySwap::quantity() const { |
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| 42 | Real totalQuantityAmount = 0; |
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| 43 | for (const auto& pricingPeriod : pricingPeriods_) { |
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| 44 | totalQuantityAmount += pricingPeriod->quantity().amount(); |
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| 45 | } |
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| 46 | return Quantity(pricingPeriods_[0]->quantity().commodityType(), |
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| 47 | pricingPeriods_[0]->quantity().unitOfMeasure(), |
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| 48 | totalQuantityAmount); |
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| 49 | } |
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| 50 | |
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| 51 | bool EnergySwap::isExpired() const { |
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| 52 | return pricingPeriods_.empty() |
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| 53 | || detail::simple_event(pricingPeriods_.back()->paymentDate()) |
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| 54 | .hasOccurred(); |
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| 55 | } |
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| 56 | |
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| 57 | } |
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| 58 | |
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| 59 | |
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