11344565157

Committed 15 Oct 2024 10:52AM UTC coverage: 72.787% (+0.001%) from 72.786%

Build # 11344565157

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Commit Message

Inherit CommodityIndex from Index (#2094)

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3 existing lines in 1 file now uncovered.

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/ql/experimental/commodities/energyfuture.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2008 J. Erik Radmall

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

#include <ql/experimental/commodities/commoditysettings.hpp>
#include <ql/experimental/commodities/energyfuture.hpp>
#include <ql/settings.hpp>
#include <utility>

namespace QuantLib {

    EnergyFuture::EnergyFuture(Integer buySell,
                               Quantity quantity,
                               CommodityUnitCost tradePrice,
                               ext::shared_ptr<CommodityIndex> index,
                               const CommodityType& commodityType,
                               const ext::shared_ptr<SecondaryCosts>& secondaryCosts)
    : EnergyCommodity(commodityType, secondaryCosts), buySell_(buySell),
      quantity_(std::move(quantity)), tradePrice_(std::move(tradePrice)), index_(std::move(index)) {
        registerWith(Settings::instance().evaluationDate());
        registerWith(index_);
    }

    bool EnergyFuture::isExpired() const {
        return false;
    }

    void EnergyFuture::performCalculations() const {

        NPV_ = 0.0;
        additionalResults_.clear();

        Date evaluationDate = Settings::instance().evaluationDate();
        const Currency& baseCurrency =
            CommoditySettings::instance().currency();
        const UnitOfMeasure baseUnitOfMeasure =
            CommoditySettings::instance().unitOfMeasure();

        Real quantityUomConversionFactor =
            calculateUomConversionFactor(
                           quantity_.commodityType(),
                           baseUnitOfMeasure,
                           quantity_.unitOfMeasure()) * index_->lotQuantity();
        Real indexUomConversionFactor =
            calculateUomConversionFactor(index_->commodityType(),
                                         index_->unitOfMeasure(),
                                         baseUnitOfMeasure);
        Real tradePriceUomConversionFactor =
            calculateUomConversionFactor(quantity_.commodityType(),
                                         tradePrice_.unitOfMeasure(),
                                         baseUnitOfMeasure);

        Real tradePriceFxConversionFactor =
            calculateFxConversionFactor(tradePrice_.amount().currency(),
                                        baseCurrency, evaluationDate);
        Real indexPriceFxConversionFactor =
            calculateFxConversionFactor(index_->currency(), baseCurrency,
                                        evaluationDate);

        Real quoteValue = 0;

        Date lastQuoteDate = index_->lastQuoteDate();
        if (lastQuoteDate >= evaluationDate - 1) {
            quoteValue = index_->fixing(evaluationDate);
        } else {
            quoteValue = index_->forwardPrice(evaluationDate);
            std::ostringstream message;
            message << "curve [" << index_->name()
                    << "] has last quote date of "
                    << io::iso_date(lastQuoteDate)
                    << " using forward price from ["
                    << index_->forwardCurve()->name() << "]";
            addPricingError(PricingError::Warning, message.str());
        }

        QL_REQUIRE(quoteValue != Null<Real>(),
                   "missing quote for [" << index_->name() << "]");

        Real tradePriceValue =
            tradePrice_.amount().value() * tradePriceUomConversionFactor
            * tradePriceFxConversionFactor;
        Real quotePriceValue = quoteValue * indexUomConversionFactor
            * indexPriceFxConversionFactor;

        Real quantityAmount = quantity_.amount() * quantityUomConversionFactor;

        Real delta = (((quotePriceValue - tradePriceValue) * quantityAmount)
                      * index_->lotQuantity()) * buySell_;

        NPV_ = delta;

        calculateSecondaryCostAmounts(quantity_.commodityType(),
                                      quantity_.amount(), evaluationDate);
        for (auto & secondaryCostAmount : secondaryCostAmounts_) {
            Real amount = secondaryCostAmount.second.value();
            NPV_ -= amount;
        }

        // additionalResults_["brokerCommission"] =
        //     -(brokerCommissionValue * quantityAmount);
    }

}


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/commoditysettings.hpp>
21	#include <ql/experimental/commodities/energyfuture.hpp>
22	#include <ql/settings.hpp>
23	#include <utility>
24
25	namespace QuantLib {
26
27	EnergyFuture::EnergyFuture(Integer buySell,	×
28	Quantity quantity,
29	CommodityUnitCost tradePrice,
30	ext::shared_ptr<CommodityIndex> index,
31	const CommodityType& commodityType,
32	const ext::shared_ptr<SecondaryCosts>& secondaryCosts)	×
33	: EnergyCommodity(commodityType, secondaryCosts), buySell_(buySell),	×
34	quantity_(std::move(quantity)), tradePrice_(std::move(tradePrice)), index_(std::move(index)) {	×
35	registerWith(Settings::instance().evaluationDate());	×
36	registerWith(index_);	×
37	}	×
38
39	bool EnergyFuture::isExpired() const {	×
40	return false;	×
41	}
42
43	void EnergyFuture::performCalculations() const {	×
44
45	NPV_ = 0.0;	×
46	additionalResults_.clear();
47
48	Date evaluationDate = Settings::instance().evaluationDate();	×
49	const Currency& baseCurrency =
50	CommoditySettings::instance().currency();	×
51	const UnitOfMeasure baseUnitOfMeasure =
52	CommoditySettings::instance().unitOfMeasure();	×
53
54	Real quantityUomConversionFactor =
55	calculateUomConversionFactor(	×
56	quantity_.commodityType(),
57	baseUnitOfMeasure,
58	quantity_.unitOfMeasure()) * index_->lotQuantity();	×
59	Real indexUomConversionFactor =
60	calculateUomConversionFactor(index_->commodityType(),	×
61	index_->unitOfMeasure(),
62	baseUnitOfMeasure);
63	Real tradePriceUomConversionFactor =
64	calculateUomConversionFactor(quantity_.commodityType(),	×
65	tradePrice_.unitOfMeasure(),
66	baseUnitOfMeasure);
67
68	Real tradePriceFxConversionFactor =
69	calculateFxConversionFactor(tradePrice_.amount().currency(),	×
70	baseCurrency, evaluationDate);
71	Real indexPriceFxConversionFactor =
72	calculateFxConversionFactor(index_->currency(), baseCurrency,	×
73	evaluationDate);
74
75	Real quoteValue = 0;
76
77	Date lastQuoteDate = index_->lastQuoteDate();	×
78	if (lastQuoteDate >= evaluationDate - 1) {	×
NEW 79	quoteValue = index_->fixing(evaluationDate);	×
80	} else {
81	quoteValue = index_->forwardPrice(evaluationDate);	×
82	std::ostringstream message;	×
83	message << "curve [" << index_->name()	×
84	<< "] has last quote date of "	×
85	<< io::iso_date(lastQuoteDate)	×
86	<< " using forward price from ["
87	<< index_->forwardCurve()->name() << "]";	×
88	addPricingError(PricingError::Warning, message.str());	×
89	}	×
90
91	QL_REQUIRE(quoteValue != Null<Real>(),	×
92	"missing quote for [" << index_->name() << "]");
93
94	Real tradePriceValue =
95	tradePrice_.amount().value() * tradePriceUomConversionFactor	×
96	* tradePriceFxConversionFactor;	×
97	Real quotePriceValue = quoteValue * indexUomConversionFactor	×
98	* indexPriceFxConversionFactor;
99
100	Real quantityAmount = quantity_.amount() * quantityUomConversionFactor;	×
101
102	Real delta = (((quotePriceValue - tradePriceValue) * quantityAmount)	×
103	* index_->lotQuantity()) * buySell_;	×
104
105	NPV_ = delta;	×
106
107	calculateSecondaryCostAmounts(quantity_.commodityType(),	×
108	quantity_.amount(), evaluationDate);
109	for (auto & secondaryCostAmount : secondaryCostAmounts_) {	×
110	Real amount = secondaryCostAmount.second.value();
111	NPV_ -= amount;	×
112	}
113
114	// additionalResults_["brokerCommission"] =
115	// -(brokerCommissionValue * quantityAmount);
116	}	×
117
118	}
119

lballabio / QuantLib / 11344565157

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