CapFloorShiftQuote Class Reference

Shift data class (for SLN cap/floor volatilities) More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for CapFloorShiftQuote:

Collaboration diagram for CapFloorShiftQuote:

Public Member Functions
	CapFloorShiftQuote ()
	CapFloorShiftQuote (Real value, const Date &asofDate, const string &name, QuoteType quoteType, const string &ccy, const Period &indexTenor, const string &indexName=string())
QuantLib::ext::shared_ptr< MarketDatum >	clone () override
	Make a copy of the market datum. More...
const string &	ccy () const
const Period &	indexTenor () const
const string &	indexName () const
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

Private Member Functions
template<class Archive >
void	serialize (Archive &ar, const unsigned int version)

Private Attributes
string	ccy_
Period	indexTenor_
string	indexName_

Friends
class	boost::serialization::access
	Serialization. More...

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

Shift data class (for SLN cap/floor volatilities)

This class holds, for a given currency and index tenor, single market points of type

• SHIFT

Definition at line 1061 of file marketdatum.hpp.

Constructor & Destructor Documentation

CapFloorShiftQuote() [1/2]

CapFloorShiftQuote

(

)

Definition at line 1063 of file marketdatum.hpp.

{}

CapFloorShiftQuote() [2/2]

CapFloorShiftQuote	(	Real	value,
		const Date &	asofDate,
		const string &	name,
		QuoteType	quoteType,
		const string &	ccy,
		const Period &	indexTenor,
		const string &	indexName = string()
	)

Definition at line 1064 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, InstrumentType::CAPFLOOR), ccy_(ccy), indexTenor_(indexTenor),
          indexName_(indexName) {
        QL_REQUIRE(quoteType == MarketDatum::QuoteType::SHIFT, "Quote type must be SHIFT for shift data");
    }

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Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 1072 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<CapFloorShiftQuote>(quote_->value(), asofDate_, name_, quoteType_, ccy_, indexTenor_,
                                                      indexName_);
    }

ccy()

const string & ccy

(

)

const

Definition at line 1077 of file marketdatum.hpp.

{ return ccy_; }

indexTenor()

const Period & indexTenor

(

)

const

Definition at line 1078 of file marketdatum.hpp.

{ return indexTenor_; }

indexName()

const string & indexName

(

)

const

Definition at line 1079 of file marketdatum.hpp.

{ return indexName_; }

serialize()

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

private

Definition at line 495 of file marketdatum.cpp.

                                                                                                   {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& ccy_;
    ar& indexTenor_;
    ar& indexName_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1086 of file marketdatum.hpp.

Member Data Documentation

ccy_

string ccy_

private

Definition at line 1082 of file marketdatum.hpp.

indexTenor_

Period indexTenor_

private

Definition at line 1083 of file marketdatum.hpp.

indexName_

string indexName_

private

Definition at line 1084 of file marketdatum.hpp.