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 energyvanillaswap.hpp
21     \brief Vanilla energy swap
22 */
23 
24 #ifndef quantlib_energy_vanilla_swap_hpp
25 #define quantlib_energy_vanilla_swap_hpp
26 
27 #include <ql/experimental/commodities/energyswap.hpp>
28 #include <ql/experimental/commodities/commodityindex.hpp>
29 #include <ql/termstructures/yieldtermstructure.hpp>
30 
31 namespace QuantLib {
32 
33     //! Vanilla energy swap
34     class EnergyVanillaSwap : public EnergySwap {
35       public:
36         EnergyVanillaSwap(
37                     bool payer,
38                     const Calendar& calendar,
39                     const Money& fixedPrice,
40                     const UnitOfMeasure& fixedPriceUnitOfMeasure,
41                     const ext::shared_ptr<CommodityIndex>& index,
42                     const Currency& payCurrency,
43                     const Currency& receiveCurrency,
44                     const PricingPeriods& pricingPeriods,
45                     const CommodityType& commodityType,
46                     const ext::shared_ptr<SecondaryCosts>& secondaryCosts,
47                     const Handle<YieldTermStructure>& payLegTermStructure,
48                     const Handle<YieldTermStructure>& receiveLegTermStructure,
49                     const Handle<YieldTermStructure>& discountTermStructure);
50 
51         bool isExpired() const;
payReceive() const52         Integer payReceive() const { return payReceive_; }
fixedPrice() const53         const Money& fixedPrice() const { return fixedPrice_; }
fixedPriceUnitOfMeasure() const54         const UnitOfMeasure& fixedPriceUnitOfMeasure() const {
55             return fixedPriceUnitOfMeasure_;
56         }
index() const57         const ext::shared_ptr<CommodityIndex>& index() const {
58             return index_;
59         }
60 
61       protected:
62         void performCalculations() const;
63 
64         Integer payReceive_;
65         Money fixedPrice_;
66         UnitOfMeasure fixedPriceUnitOfMeasure_;
67         ext::shared_ptr<CommodityIndex> index_;
68         Handle<YieldTermStructure> payLegTermStructure_;
69         Handle<YieldTermStructure> receiveLegTermStructure_;
70         Handle<YieldTermStructure> discountTermStructure_;
71     };
72 
73 }
74 
75 
76 #endif
77