CapFloorQuote Class Reference

Cap/Floor data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for CapFloorQuote:

Collaboration diagram for CapFloorQuote:

Public Member Functions
	CapFloorQuote ()
	CapFloorQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, string ccy, Period term, Period underlying, bool atm, bool relative, Real strike=0.0, const string &indexName=string(), bool isCap=true)
	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
string	ccy_
Period	term_
Period	underlying_
bool	atm_
bool	relative_
Real	strike_
string	indexName_
bool	isCap_
class	boost::serialization::access
	Serialization. More...
const string &	ccy () const
const Period &	term () const
const Period &	underlying () const
bool	atm () const
bool	relative () const
Real	strike ()
const string &	indexName () const
bool	isCap () 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

Cap/Floor data class.

This class holds single market points of type

• CAPFLOOR Specific data comprise
• currency
• term
• underlying index tenor
• at-the-money flag (is an at-the-money cap/floor quote?)
• relative quotation flag (quote to be added to the at-the-money quote?)
• strike

Definition at line 1016 of file marketdatum.hpp.

Constructor & Destructor Documentation

CapFloorQuote() [1/2]

CapFloorQuote

(

)

Definition at line 1018 of file marketdatum.hpp.

{}

CapFloorQuote() [2/2]

CapFloorQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		string	ccy,
		Period	term,
		Period	underlying,
		bool	atm,
		bool	relative,
		Real	strike = 0.0,
		const string &	indexName = string(),
		bool	isCap = true
	)

Constructor.

Definition at line 1020 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, InstrumentType::CAPFLOOR), ccy_(ccy), term_(term),
          underlying_(underlying), atm_(atm), relative_(relative), strike_(strike), indexName_(indexName), isCap_(isCap) {}

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 1026 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<CapFloorQuote>(quote_->value(), asofDate_, name_, quoteType_, ccy_, term_,
                                                 underlying_, atm_, relative_, strike_, indexName_, isCap_);
    }

ccy()

const string & ccy

(

)

const

Definition at line 1033 of file marketdatum.hpp.

{ return ccy_; }

term()

const Period & term

(

)

const

Definition at line 1034 of file marketdatum.hpp.

{ return term_; }

underlying()

const Period & underlying

(

)

const

Definition at line 1035 of file marketdatum.hpp.

{ return underlying_; }

atm()

bool atm

(

)

const

Definition at line 1036 of file marketdatum.hpp.

{ return atm_; }

relative()

bool relative

(

)

const

Definition at line 1037 of file marketdatum.hpp.

{ return relative_; }

strike()

Real strike

(

)

Definition at line 1038 of file marketdatum.hpp.

{ return strike_; }

indexName()

const string & indexName

(

)

const

Definition at line 1039 of file marketdatum.hpp.

{ return indexName_; }

isCap()

bool isCap

(

)

const

Definition at line 1040 of file marketdatum.hpp.

{ return isCap_; }

serialize()

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

private

Definition at line 483 of file marketdatum.cpp.

                                                                                              {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& ccy_;
    ar& term_;
    ar& underlying_;
    ar& atm_;
    ar& relative_;
    ar& strike_;
    ar& indexName_;
    ar& isCap_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1052 of file marketdatum.hpp.

Member Data Documentation

ccy_

string ccy_

private

Definition at line 1043 of file marketdatum.hpp.

term_

Period term_

private

Definition at line 1044 of file marketdatum.hpp.

underlying_

Period underlying_

private

Definition at line 1045 of file marketdatum.hpp.

atm_

bool atm_

private

Definition at line 1046 of file marketdatum.hpp.

relative_

bool relative_

private

Definition at line 1047 of file marketdatum.hpp.

strike_

Real strike_

private

Definition at line 1048 of file marketdatum.hpp.

indexName_

string indexName_

private

Definition at line 1049 of file marketdatum.hpp.

isCap_

bool isCap_

private

Definition at line 1050 of file marketdatum.hpp.