Fully annotated reference manual - version 1.8.12
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This is the complete list of members for TestMarket, including all inherited members.
| addSwapIndex(const string &swapindex, const string &discountIndex, const string &configuration=Market::defaultConfiguration) const | MarketImpl | protected |
| asof_ | MarketImpl | protected |
| asofDate() const override | MarketImpl | virtual |
| asofDate() const override | MarketImpl | virtual |
| baseCorrelation(const string &name, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| baseCorrelation(const string &name, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| baseCorrelations_ | MarketImpl | protected |
| baseCpis(const string &index, const string &configuration=Market::defaultConfiguration) const | MarketImpl | |
| baseCpis(const string &index, const string &configuration=Market::defaultConfiguration) const | MarketImpl | |
| baseCpis_ | MarketImpl | protected |
| capFloorCurves_ | MarketImpl | protected |
| capFloorIndexBase_ | MarketImpl | protected |
| capFloorVol(const string &key, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| capFloorVol(const string &key, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| capFloorVolIndexBase(const string &key, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| capFloorVolIndexBase(const string &key, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| cdsVol(const string &name, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| cdsVol(const string &name, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| cdsVols_ | MarketImpl | protected |
| commodityCurveLookup(const string &pm) const | Market | |
| commodityIndex(const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| commodityIndex(const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| commodityIndices_ | MarketImpl | protected |
| commodityPriceCurve(const string &commodityName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | |
| commodityPriceCurve(const string &commodityName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | |
| ore::data::Market::commodityPriceCurve(const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const=0 | Market | pure virtual |
| commodityVolatility(const string &commodityName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | |
| commodityVolatility(const string &commodityName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | |
| ore::data::Market::commodityVolatility(const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const=0 | Market | pure virtual |
| commodityVols_ | MarketImpl | protected |
| correlationCurve(const string &index1, const string &index2, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | |
| correlationCurve(const string &index1, const string &index2, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | |
| ore::data::Market::correlationCurve(const std::string &index1, const std::string &index2, const std::string &configuration=Market::defaultConfiguration) const=0 | Market | pure virtual |
| correlationCurves_ | MarketImpl | protected |
| cpiInflationCapFloorVolatilitySurface(const string &indexName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| cpiInflationCapFloorVolatilitySurface(const string &indexName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| cpiInflationCapFloorVolatilitySurfaces_ | MarketImpl | protected |
| cpr(const string &securityID, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| cpr(const string &securityID, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| cprs_ | MarketImpl | protected |
| defaultConfiguration | Market | static |
| defaultCurve(const string &, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| defaultCurve(const string &, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| defaultCurves_ | MarketImpl | protected |
| discountCurve(const string &ccy, const string &configuration=Market::defaultConfiguration) const | Market | |
| discountCurve(const string &ccy, const string &configuration=Market::defaultConfiguration) const | Market | |
| discountCurveCache_ | Market | private |
| discountCurveImpl(const string &ccy, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| discountCurveImpl(const string &ccy, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| equityCurve(const string &eqName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| equityCurve(const string &eqName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| equityCurves_ | MarketImpl | protected |
| equityDividendCurve(const string &eqName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| equityDividendCurve(const string &eqName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| equityForecastCurve(const string &eqName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| equityForecastCurve(const string &eqName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| equitySpot(const string &eqName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| equitySpot(const string &eqName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| equitySpots_ | MarketImpl | protected |
| equityVol(const string &eqName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| equityVol(const string &eqName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| equityVols_ | MarketImpl | protected |
| flatCorrelation(Real correlation=0.0) | TestMarket | private |
| flatCpiVolSurface(Volatility v) | TestMarket | private |
| flatRateCps(Handle< ZeroInflationIndex > infIndex, const std::vector< Rate > cStrikes, std::vector< Rate > fStrikes, std::vector< Period > cfMaturities, Matrix cPrice, Matrix fPrice) | TestMarket | private |
| flatRateCvs(Volatility vol, VolatilityType type=Normal, Real shift=0.0) | TestMarket | private |
| flatRateDcs(Volatility forward) | TestMarket | private |
| flatRateDiv(Real dividend) | TestMarket | private |
| flatRateFxv(Volatility forward) | TestMarket | private |
| flatRateSvs(Volatility forward, VolatilityType type=ShiftedLognormal, Real shift=0.0) | TestMarket | private |
| flatRateYts(Real forward) | TestMarket | private |
| flatYoYInflationCurve(Real inflationRate, Rate nominalRate) | TestMarket | private |
| flatYoYOptionletVolatilitySurface(Real normalVol) | TestMarket | private |
| flatZeroInflationCurve(Real inflationRate, Rate nominalRate) | TestMarket | private |
| fx_ | MarketImpl | protected |
| fxIndex(const string &fxIndex, const string &configuration=Market::defaultConfiguration) const | Market | |
| fxIndex(const string &fxIndex, const string &configuration=Market::defaultConfiguration) const | Market | |
| fxIndexImpl(const string &fxIndex, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| fxIndexImpl(const string &fxIndex, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| fxIndicesCache_ | Market | private |
| fxRate(const string &ccypair, const string &configuration=Market::defaultConfiguration) const | Market | |
| fxRate(const string &ccypair, const string &configuration=Market::defaultConfiguration) const | Market | |
| fxRateCache_ | Market | private |
| fxRateImpl(const string &ccypair, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| fxRateImpl(const string &ccypair, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| fxSpot(const string &ccypair, const string &configuration=Market::defaultConfiguration) const | Market | |
| fxSpot(const string &ccypair, const string &configuration=Market::defaultConfiguration) const | Market | |
| fxSpotImpl(const string &ccypair, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| fxSpotImpl(const string &ccypair, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| fxVol(const string &ccypair, const string &configuration=Market::defaultConfiguration) const | Market | |
| fxVol(const string &ccypair, const string &configuration=Market::defaultConfiguration) const | Market | |
| fxVolImpl(const string &ccypair, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| fxVolImpl(const string &ccypair, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| fxVols_ | MarketImpl | protected |
| getCorrelationIndexName(const string &ccy) const | Market | private |
| getFxBaseQuote(const string &ccy, const string &config) const | Market | private |
| getFxSpotBaseQuote(const string &ccy, const string &config) const | Market | private |
| getVolatility(const string &ccy, const string &config) const | Market | private |
| handlePseudoCurrencies() const | Market | |
| handlePseudoCurrencies_ | Market | protected |
| iborIndex(const string &indexName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| iborIndex(const string &indexName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| iborIndices_ | MarketImpl | protected |
| inCcyConfiguration | Market | static |
| makeYoYInflationIndex(string index, vector< Date > dates, vector< Rate > rates, QuantLib::ext::shared_ptr< YoYInflationIndex > ii, Handle< YieldTermStructure > yts) | TestMarket | private |
| makeZeroInflationIndex(string index, vector< Date > dates, vector< Rate > rates, QuantLib::ext::shared_ptr< ZeroInflationIndex > ii, Handle< YieldTermStructure > yts) | TestMarket | private |
| Market(const bool handlePseudoCurrencies) | Market | |
| MarketImpl(const bool handlePseudoCurrencies) | MarketImpl | |
| MarketImpl(const MarketImpl &)=delete | MarketImpl | |
| operator=(const MarketImpl &)=delete | MarketImpl | |
| recoveryRate(const string &, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| recoveryRate(const string &, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| recoveryRates_ | MarketImpl | protected |
| refresh(const string &configuration=Market::defaultConfiguration) override | MarketImpl | virtual |
| refreshTs_ | MarketImpl | protected |
| require(const MarketObject o, const string &name, const string &configuration, const bool forceBuild=false) const | MarketImpl | protectedvirtual |
| securitySpread(const string &securityID, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| securitySpread(const string &securityID, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| securitySpreads_ | MarketImpl | protected |
| shortSwapIndexBase(const string &key, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| shortSwapIndexBase(const string &key, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| spotCache_ | Market | private |
| swapIndex(const string &indexName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| swapIndex(const string &indexName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| swapIndexBase(const string &key, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| swapIndexBase(const string &key, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| swapIndexBases(const string &key, const string &configuration=Market::defaultConfiguration) const | MarketImpl | private |
| swapIndices_ | MarketImpl | protected |
| swaptionCurves_ | MarketImpl | protected |
| swaptionIndexBases_ | MarketImpl | protected |
| swaptionVol(const string &key, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| swaptionVol(const string &key, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| TestMarket(Date asof, bool swapVolCube=false) | TestMarket | |
| volCache_ | Market | private |
| yieldCurve(const YieldCurveType &type, const string &ccy, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| yieldCurve(const string &name, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| yieldCurve(const YieldCurveType &type, const string &ccy, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| yieldCurve(const string &name, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| yieldCurves_ | MarketImpl | protected |
| yieldVol(const string &securityID, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| yieldVol(const string &securityID, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| yieldVolCurves_ | MarketImpl | protected |
| yoyCapFloorVol(const string &name, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| yoyCapFloorVol(const string &name, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| yoyCapFloorVolSurfaces_ | MarketImpl | protected |
| yoyInflationIndex(const string &indexName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| yoyInflationIndex(const string &indexName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| yoyInflationIndices_ | MarketImpl | protected |
| zeroInflationIndex(const string &indexName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| zeroInflationIndex(const string &indexName, const string &configuration=Market::defaultConfiguration) const override | MarketImpl | virtual |
| zeroInflationIndices_ | MarketImpl | protected |
| ~Market() | Market | virtual |