CdsQuote Class Reference

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for CdsQuote:

Collaboration diagram for CdsQuote:

Public Member Functions
	CdsQuote ()
	CdsQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, const string &underlyingName, const string &seniority, const string &ccy, Period term, const string &docClause="", Real runningSpread=Null< Real >())
	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	underlyingName_
string	seniority_
string	ccy_
Period	term_
string	docClause_
Real	runningSpread_
class	boost::serialization::access
	Serialization. More...
const Period &	term () const
const string &	seniority () const
const string &	ccy () const
const string &	underlyingName () const
const string &	docClause () const
Real	runningSpread () 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

CDS Spread data class This class holds single market points of type

• CREDIT_SPREAD
• CONV_CREDIT_SPREAD
• PRICE

Definition at line 711 of file marketdatum.hpp.

Constructor & Destructor Documentation

CdsQuote() [1/2]

CdsQuote

(

)

Definition at line 713 of file marketdatum.hpp.

: runningSpread_(Null<Real>()) {}

CdsQuote() [2/2]

CdsQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		const string &	underlyingName,
		const string &	seniority,
		const string &	ccy,
		Period	term,
		const string &	docClause = "",
		Real	runningSpread = Null<Real>()
	)

Constructor.

Definition at line 716 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, InstrumentType::CDS), underlyingName_(underlyingName),
          seniority_(seniority), ccy_(ccy), term_(term), docClause_(docClause), runningSpread_(runningSpread) {}

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 723 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<CdsQuote>(quote_->value(), asofDate_, name_, quoteType_, underlyingName_,
            seniority_, ccy_, term_, docClause_, runningSpread_);
    }

term()

const Period & term

(

)

const

Definition at line 730 of file marketdatum.hpp.

{ return term_; }

seniority()

const string & seniority

(

)

const

Definition at line 731 of file marketdatum.hpp.

{ return seniority_; }

ccy()

const string & ccy

(

)

const

Definition at line 732 of file marketdatum.hpp.

{ return ccy_; }

underlyingName()

const string & underlyingName

(

)

const

Definition at line 733 of file marketdatum.hpp.

{ return underlyingName_; }

docClause()

const string & docClause

(

)

const

Definition at line 734 of file marketdatum.hpp.

{ return docClause_; }

runningSpread()

Real runningSpread

(

)

const

Definition at line 735 of file marketdatum.hpp.

{ return runningSpread_; }

serialize()

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

private

Definition at line 427 of file marketdatum.cpp.

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

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 747 of file marketdatum.hpp.

Member Data Documentation

underlyingName_

string underlyingName_

private

Definition at line 739 of file marketdatum.hpp.

seniority_

string seniority_

private

Definition at line 740 of file marketdatum.hpp.

ccy_

string ccy_

private

Definition at line 741 of file marketdatum.hpp.

term_

Period term_

private

Definition at line 742 of file marketdatum.hpp.

docClause_

string docClause_

private

Definition at line 743 of file marketdatum.hpp.

runningSpread_

Real runningSpread_

private

Definition at line 744 of file marketdatum.hpp.