DummyMarket Class Reference

DummyMarket. More...

#include <ored/marketdata/dummymarket.hpp>

Inheritance diagram for DummyMarket:

Collaboration diagram for DummyMarket:

Public Member Functions
	DummyMarket ()
Date	asofDate () const override
	Get the asof Date. More...
Handle< YieldTermStructure >	discountCurveImpl (const string &key, const string &config) const override
Handle< YieldTermStructure >	yieldCurve (const ore::data::YieldCurveType &type, const string &, const string &) const override
Handle< YieldTermStructure >	yieldCurve (const string &, const string &) const override
Handle< IborIndex >	iborIndex (const string &, const string &) const override
Handle< SwapIndex >	swapIndex (const string &, const string &) const override
Handle< SwaptionVolatilityStructure >	swaptionVol (const string &, const string &) const override
string	shortSwapIndexBase (const string &, const string &) const override
string	swapIndexBase (const string &, const string &) const override
Handle< SwaptionVolatilityStructure >	yieldVol (const string &, const string &) const override
Handle< QuantExt::FxIndex >	fxIndexImpl (const string &index, const string &) const override
Handle< Quote >	fxSpotImpl (const string &, const string &) const override
Handle< Quote >	fxRateImpl (const string &, const string &) const override
Handle< BlackVolTermStructure >	fxVolImpl (const string &, const string &) const override
Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &) const override
Handle< Quote >	recoveryRate (const string &, const string &) const override
Handle< QuantExt::CreditVolCurve >	cdsVol (const string &, const string &) const override
Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &, const string &) const override
Handle< OptionletVolatilityStructure >	capFloorVol (const string &, const string &) const override
std::pair< string, QuantLib::Period >	capFloorVolIndexBase (const string &, const string &) const override
Handle< ZeroInflationIndex >	zeroInflationIndex (const string &, const string &) const override
	Inflation Indexes. More...
Handle< YoYInflationIndex >	yoyInflationIndex (const string &, const string &) const override
Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &, const string &) const override
Handle< QuantLib::CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &, const string &) const override
	CPI Inflation Cap Floor Volatility Surfaces. More...
Handle< Quote >	equitySpot (const string &, const string &) const override
Handle< YieldTermStructure >	equityDividendCurve (const string &, const string &) const override
Handle< YieldTermStructure >	equityForecastCurve (const string &, const string &) const override
Handle< QuantExt::EquityIndex2 >	equityCurve (const string &eqName, const string &) const override
Handle< BlackVolTermStructure >	equityVol (const string &, const string &) const override
Handle< Quote >	securitySpread (const string &, const string &) const override
QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const std::string &, const std::string &) const override
QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &, const std::string &) const override
QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const std::string &, const std::string &) const override
QuantLib::Handle< QuantLib::Quote >	cpr (const string &, const string &) const override
QuantLib::Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const std::string &, const std::string &, const std::string &) const override
Public Member Functions inherited from Market
	Market (const bool handlePseudoCurrencies)
	Constructor. More...
virtual	~Market ()
	Destructor. More...
virtual Date	asofDate () const =0
	Get the asof Date. More...
Handle< YieldTermStructure >	discountCurve (const string &ccy, const string &configuration=Market::defaultConfiguration) const
QuantLib::Handle< QuantExt::FxIndex >	fxIndex (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const
Handle< Quote >	fxRate (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
Handle< Quote >	fxSpot (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
Handle< BlackVolTermStructure >	fxVol (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
virtual void	refresh (const string &)
	Refresh term structures for a given configuration. More...
string	commodityCurveLookup (const string &pm) const
bool	handlePseudoCurrencies () const

Additional Inherited Members
Static Public Attributes inherited from Market
static const string	defaultConfiguration = "default"
	Default configuration label. More...
static const string	inCcyConfiguration = "inccy"
	InCcy configuration label. More...
Protected Attributes inherited from Market
bool	handlePseudoCurrencies_ = false

Detailed Description

DummyMarket.

Definition at line 37 of file dummymarket.hpp.

Constructor & Destructor Documentation

DummyMarket()

DummyMarket

(

)

Definition at line 39 of file dummymarket.hpp.

: Market(false) {}

Member Function Documentation

asofDate()

Date asofDate ( ) const

overridevirtual

Get the asof Date.

Implements Market.

Definition at line 42 of file dummymarket.hpp.

{ return Date(); }

discountCurveImpl()

Handle< YieldTermStructure > discountCurveImpl ( const string &  key, const string &  config  ) const

overridevirtual

Implements Market.

Definition at line 44 of file dummymarket.hpp.

                                                                                                         {
        return Handle<YieldTermStructure>();
    }

yieldCurve() [1/2]

Handle< YieldTermStructure > yieldCurve ( const ore::data::YieldCurveType &  type, const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 47 of file dummymarket.hpp.

                                                                        {
        return Handle<YieldTermStructure>();
    }

yieldCurve() [2/2]

Handle< YieldTermStructure > yieldCurve ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 51 of file dummymarket.hpp.

                                                                                       {
        return Handle<YieldTermStructure>();
    }

iborIndex()

Handle< IborIndex > iborIndex ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 54 of file dummymarket.hpp.

                                                                             {
        return Handle<IborIndex>(ore::data::parseIborIndex("EUR-EONIA")); // ugly, but some people check index.empty()
    }

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swapIndex()

Handle< SwapIndex > swapIndex ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 57 of file dummymarket.hpp.

{ return Handle<SwapIndex>(); }

swaptionVol()

Handle< SwaptionVolatilityStructure > swaptionVol ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 58 of file dummymarket.hpp.

                                                                                                 {
        return Handle<SwaptionVolatilityStructure>();
    }

shortSwapIndexBase()

string shortSwapIndexBase ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 61 of file dummymarket.hpp.

{ return string(); }

swapIndexBase()

string swapIndexBase ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 62 of file dummymarket.hpp.

{ return string(); }

yieldVol()

Handle< SwaptionVolatilityStructure > yieldVol ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 64 of file dummymarket.hpp.

                                                                                              {
        return Handle<SwaptionVolatilityStructure>();
    }

fxIndexImpl()

Handle< QuantExt::FxIndex > fxIndexImpl ( const string &  index, const string &    ) const

overridevirtual

Implements Market.

Definition at line 68 of file dummymarket.hpp.

                                                                                           {
        if (isFxIndex(index))
            return Handle<QuantExt::FxIndex>(parseFxIndex(index));
        return Handle<QuantExt::FxIndex>();
    };

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fxSpotImpl()

Handle< Quote > fxSpotImpl ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 73 of file dummymarket.hpp.

{ return Handle<Quote>(); }

fxRateImpl()

Handle< Quote > fxRateImpl ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 74 of file dummymarket.hpp.

{ return Handle<Quote>(); }

fxVolImpl()

Handle< BlackVolTermStructure > fxVolImpl ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 75 of file dummymarket.hpp.

                                                                                         {
        return Handle<BlackVolTermStructure>();
    }

defaultCurve()

Handle< QuantExt::CreditCurve > defaultCurve ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 79 of file dummymarket.hpp.

                                                                                          {
        return Handle<QuantExt::CreditCurve>(
            QuantLib::ext::make_shared<QuantExt::CreditCurve>(Handle<DefaultProbabilityTermStructure>()));
    }

recoveryRate()

Handle< Quote > recoveryRate ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 83 of file dummymarket.hpp.

{ return Handle<Quote>(); }

cdsVol()

Handle< QuantExt::CreditVolCurve > cdsVol ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 85 of file dummymarket.hpp.

                                                                                       {
        return Handle<QuantExt::CreditVolCurve>();
    }

baseCorrelation()

Handle< QuantExt::BaseCorrelationTermStructure > baseCorrelation ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 89 of file dummymarket.hpp.

                                                                                                              {
        return Handle<QuantExt::BaseCorrelationTermStructure>();
    }

capFloorVol()

Handle< OptionletVolatilityStructure > capFloorVol ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 93 of file dummymarket.hpp.

                                                                                                  {
        return Handle<OptionletVolatilityStructure>();
    }

capFloorVolIndexBase()

std::pair< string, QuantLib::Period > capFloorVolIndexBase ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 97 of file dummymarket.hpp.

                                                                                                      {
        return std::make_pair(string(), 0 * Days);
    }

zeroInflationIndex()

Handle< ZeroInflationIndex > zeroInflationIndex ( const string &  indexName, const string &  configuration  ) const

overridevirtual

Inflation Indexes.

Implements Market.

Definition at line 101 of file dummymarket.hpp.

                                                                                               {
        return Handle<ZeroInflationIndex>();
    }

yoyInflationIndex()

Handle< YoYInflationIndex > yoyInflationIndex ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 104 of file dummymarket.hpp.

                                                                                             {
        return Handle<YoYInflationIndex>();
    }

yoyCapFloorVol()

Handle< QuantExt::YoYOptionletVolatilitySurface > yoyCapFloorVol ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 108 of file dummymarket.hpp.

                                                                                                              {
        return Handle<QuantExt::YoYOptionletVolatilitySurface>();
    }

cpiInflationCapFloorVolatilitySurface()

Handle< QuantLib::CPIVolatilitySurface > cpiInflationCapFloorVolatilitySurface ( const string &  indexName, const string &  configuration  ) const

overridevirtual

CPI Inflation Cap Floor Volatility Surfaces.

Implements Market.

Definition at line 112 of file dummymarket.hpp.

                                                                                                                            {
        return Handle<QuantLib::CPIVolatilitySurface>();
    }

equitySpot()

Handle< Quote > equitySpot ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 116 of file dummymarket.hpp.

{ return Handle<Quote>(); }

equityDividendCurve()

Handle< YieldTermStructure > equityDividendCurve ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 117 of file dummymarket.hpp.

                                                                                                {
        return Handle<YieldTermStructure>();
    }

equityForecastCurve()

Handle< YieldTermStructure > equityForecastCurve ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 120 of file dummymarket.hpp.

                                                                                                {
        return Handle<YieldTermStructure>();
    }

equityCurve()

Handle< QuantExt::EquityIndex2 > equityCurve ( const string &  eqName, const string &    ) const

overridevirtual

Implements Market.

Definition at line 124 of file dummymarket.hpp.

                                                                                                 {
        return Handle<QuantExt::EquityIndex2>();
    }

equityVol()

Handle< BlackVolTermStructure > equityVol ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 128 of file dummymarket.hpp.

                                                                                         {
        return Handle<BlackVolTermStructure>();
    }

securitySpread()

Handle< Quote > securitySpread ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 132 of file dummymarket.hpp.

{ return Handle<Quote>(); }

commodityPriceCurve()

QuantLib::Handle< QuantExt::PriceTermStructure > commodityPriceCurve ( const std::string &  , const std::string &    ) const

overridevirtual

Implements Market.

Definition at line 134 of file dummymarket.hpp.

                                                                                                        {
        return QuantLib::Handle<QuantExt::PriceTermStructure>();
    }

commodityIndex()

QuantLib::Handle< QuantExt::CommodityIndex > commodityIndex ( const std::string &  , const std::string &    ) const

overridevirtual

Implements Market.

Definition at line 139 of file dummymarket.hpp.

                                                                                                             {
        return QuantLib::Handle<QuantExt::CommodityIndex>();
    }

commodityVolatility()

QuantLib::Handle< QuantLib::BlackVolTermStructure > commodityVolatility ( const std::string &  , const std::string &    ) const

overridevirtual

Implements Market.

Definition at line 143 of file dummymarket.hpp.

                                                                                                           {
        return Handle<BlackVolTermStructure>();
    }

cpr()

QuantLib::Handle< QuantLib::Quote > cpr ( const string &  , const string &    ) const

overridevirtual

Implements Market.

Definition at line 148 of file dummymarket.hpp.

                                                                                   {
        return QuantLib::Handle<QuantLib::Quote>();
    }

correlationCurve()

QuantLib::Handle< QuantExt::CorrelationTermStructure > correlationCurve ( const std::string &  , const std::string &  , const std::string &    ) const

overridevirtual

Implements Market.

Definition at line 152 of file dummymarket.hpp.

                                                                                                           {
        return QuantLib::Handle<QuantExt::CorrelationTermStructure>();
    }