BasisSwapQuote Class Reference

Basis Swap data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for BasisSwapQuote:

Collaboration diagram for BasisSwapQuote:

Public Member Functions
	BasisSwapQuote ()
	BasisSwapQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, Period flatTerm, Period term, string ccy="USD", Period maturity=3 *Months)
	Constructor. More...
QuantLib::ext::shared_ptr< MarketDatum >	clone () override
	Make a copy of the market datum. More...
Public Member Functions inherited from MarketDatum
	MarketDatum ()
	MarketDatum (Real value, Date asofDate, const string &name, QuoteType quoteType, InstrumentType instrumentType)
	Constructor. More...
virtual	~MarketDatum ()
	Default destructor. More...
virtual QuantLib::ext::shared_ptr< MarketDatum >	clone ()
	Make a copy of the market datum. More...
const string &	name () const
const Handle< Quote > &	quote () const
Date	asofDate () const
InstrumentType	instrumentType () const
QuoteType	quoteType () const

Inspectors
Period	flatTerm_
Period	term_
string	ccy_
Period	maturity_
class	boost::serialization::access
	Serialization. More...
const Period &	flatTerm () const
const Period &	term () const
const string &	ccy () const
const Period &	maturity () const
template<class Archive >
void	serialize (Archive &ar, const unsigned int version)

Additional Inherited Members
Public Types inherited from MarketDatum
enum class	InstrumentType {   ZERO , DISCOUNT , MM , MM_FUTURE ,   OI_FUTURE , FRA , IMM_FRA , IR_SWAP ,   BASIS_SWAP , BMA_SWAP , CC_BASIS_SWAP , CC_FIX_FLOAT_SWAP ,   CDS , CDS_INDEX , FX_SPOT , FX_FWD ,   HAZARD_RATE , RECOVERY_RATE , SWAPTION , CAPFLOOR ,   FX_OPTION , ZC_INFLATIONSWAP , ZC_INFLATIONCAPFLOOR , YY_INFLATIONSWAP ,   YY_INFLATIONCAPFLOOR , SEASONALITY , EQUITY_SPOT , EQUITY_FWD ,   EQUITY_DIVIDEND , EQUITY_OPTION , BOND , BOND_OPTION ,   INDEX_CDS_OPTION , COMMODITY_SPOT , COMMODITY_FWD , CORRELATION ,   COMMODITY_OPTION , CPR , RATING , NONE }
	Supported market instrument types. More...
enum class	QuoteType {   BASIS_SPREAD , CREDIT_SPREAD , CONV_CREDIT_SPREAD , YIELD_SPREAD ,   HAZARD_RATE , RATE , RATIO , PRICE ,   RATE_LNVOL , RATE_NVOL , RATE_SLNVOL , BASE_CORRELATION ,   SHIFT , TRANSITION_PROBABILITY , NONE }
	Supported market quote types. More...
Protected Attributes inherited from MarketDatum
Handle< Quote >	quote_
Date	asofDate_
string	name_
InstrumentType	instrumentType_
QuoteType	quoteType_

Detailed Description

Basis Swap data class.

This class holds single market points of type

• BASIS_SWAP SPREAD Specific data comprise
• flat term
• term

The quote (in Basis Points) is then interpreted as follows:

A fair Swap pays the reference index with "flat term" with spread zero and receives the reference index with "term" plus the quoted spread.

Definition at line 536 of file marketdatum.hpp.

Constructor & Destructor Documentation

BasisSwapQuote() [1/2]

BasisSwapQuote

(

)

Definition at line 538 of file marketdatum.hpp.

{}

BasisSwapQuote() [2/2]

BasisSwapQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		Period	flatTerm,
		Period	term,
		string	ccy = "USD",
		Period	maturity = 3 * Months
	)

Constructor.

Definition at line 540 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, InstrumentType::BASIS_SWAP), flatTerm_(flatTerm), term_(term),
          ccy_(ccy), maturity_(maturity) {}

Member Function Documentation

clone()

QuantLib::ext::shared_ptr< MarketDatum > clone ( )

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 546 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<BasisSwapQuote>(quote_->value(), asofDate_, name_, quoteType_, flatTerm_, term_, ccy_, maturity_);
    }

flatTerm()

const Period & flatTerm

(

)

const

Definition at line 552 of file marketdatum.hpp.

{ return flatTerm_; }

term()

const Period & term

(

)

const

Definition at line 553 of file marketdatum.hpp.

{ return term_; }

ccy()

const string & ccy

(

)

const

Definition at line 554 of file marketdatum.hpp.

{ return ccy_; }

maturity()

const Period & maturity

(

)

const

Definition at line 555 of file marketdatum.hpp.

{ return maturity_; }

serialize()

template void serialize ( Archive &  ar, const unsigned int  version  )

private

Definition at line 394 of file marketdatum.cpp.

                                                                                               {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& flatTerm_;
    ar& term_;
    ar& ccy_;
    ar& maturity_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 563 of file marketdatum.hpp.

Member Data Documentation

flatTerm_

Period flatTerm_

private

Definition at line 558 of file marketdatum.hpp.

term_

Period term_

private

Definition at line 559 of file marketdatum.hpp.

ccy_

string ccy_

private

Definition at line 560 of file marketdatum.hpp.

maturity_

Period maturity_

private

Definition at line 561 of file marketdatum.hpp.