bondspreadimplymarket.hpp

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/*
 Copyright (C) 2020 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file ored/marketdata/bondspreadimplymarket.hpp
    \brief market that can be used to imply bond spreads
    \ingroup marketdata
*/
 
#pragma once
 
#include <ored/marketdata/wrappedmarket.hpp>
 
#include <ql/quotes/simplequote.hpp>
 
namespace ore {
namespace data {
 
class BondSpreadImplyMarket : public WrappedMarket {
public:
    explicit BondSpreadImplyMarket(const QuantLib::ext::shared_ptr<Market>& market, const bool handlePseudoCurrencies = true);
 
    // an internally constructed spread quote returned by securitySpread()
    QuantLib::ext::shared_ptr<SimpleQuote> spreadQuote(const string& securityID) const;
 
    Handle<Quote> securitySpread(const string& securityID,
                                 const string& configuration = Market::defaultConfiguration) const override;
 
protected:
    mutable std::map<std::string, QuantLib::ext::shared_ptr<SimpleQuote>> spreadQuote_;
};
 
} // namespace data
} // namespace ore