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(const Calendar& calendar,
37                    const Currency& payCurrency,
38                    const Currency& receiveCurrency,
39                    const PricingPeriods& pricingPeriods,
40                    const CommodityType& commodityType,
41                    const ext::shared_ptr<SecondaryCosts>& secondaryCosts);
42 
43         bool isExpired() const;
calendar() const44         const Calendar& calendar() const { return calendar_; }
payCurrency() const45         const Currency& payCurrency() const { return payCurrency_; }
receiveCurrency() const46         const Currency& receiveCurrency() const { return receiveCurrency_; }
pricingPeriods() const47         const PricingPeriods& pricingPeriods() const { return pricingPeriods_; }
dailyPositions() const48         const EnergyDailyPositions& dailyPositions() const {
49             return dailyPositions_;
50         }
paymentCashFlows() const51         const CommodityCashFlows& paymentCashFlows() const {
52             return paymentCashFlows_;
53         }
54 
55         const CommodityType& commodityType() const;
56         Quantity quantity() const;
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
70