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 #include <ql/experimental/commodities/energyswap.hpp> 21 #include <ql/settings.hpp> 22 23 namespace QuantLib { 24 EnergySwap(const Calendar & calendar,const Currency & payCurrency,const Currency & receiveCurrency,const PricingPeriods & pricingPeriods,const CommodityType & commodityType,const ext::shared_ptr<SecondaryCosts> & secondaryCosts)25 EnergySwap::EnergySwap( 26 const Calendar& calendar, 27 const Currency& payCurrency, 28 const Currency& receiveCurrency, 29 const PricingPeriods& pricingPeriods, 30 const CommodityType& commodityType, 31 const ext::shared_ptr<SecondaryCosts>& secondaryCosts) 32 : EnergyCommodity(commodityType, secondaryCosts), 33 calendar_(calendar), payCurrency_(payCurrency), 34 receiveCurrency_(receiveCurrency), pricingPeriods_(pricingPeriods) {} 35 commodityType() const36 const CommodityType& EnergySwap::commodityType() const { 37 QL_REQUIRE(!pricingPeriods_.empty(), "no pricing periods"); 38 return pricingPeriods_[0]->quantity().commodityType(); 39 } 40 quantity() const41 Quantity EnergySwap::quantity() const { 42 Real totalQuantityAmount = 0; 43 for (PricingPeriods::const_iterator pi = pricingPeriods_.begin(); 44 pi != pricingPeriods_.end(); ++pi) { 45 totalQuantityAmount += (*pi)->quantity().amount(); 46 } 47 return Quantity(pricingPeriods_[0]->quantity().commodityType(), 48 pricingPeriods_[0]->quantity().unitOfMeasure(), 49 totalQuantityAmount); 50 } 51 isExpired() const52 bool EnergySwap::isExpired() const { 53 return pricingPeriods_.empty() 54 || detail::simple_event(pricingPeriods_.back()->paymentDate()) 55 .hasOccurred(); 56 } 57 58 } 59 60