Commodity forward quote class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for CommodityForwardQuote:

Collaboration diagram for CommodityForwardQuote:

Public Member Functions
	CommodityForwardQuote ()

	CommodityForwardQuote (QuantLib::Real value, const QuantLib::Date &asofDate, const std::string &name, QuoteType quoteType, const std::string &commodityName, const std::string &quoteCurrency, const QuantLib::Date &expiryDate)
	Date based commodity forward constructor. More...

	CommodityForwardQuote (QuantLib::Real value, const QuantLib::Date &asofDate, const std::string &name, QuoteType quoteType, const std::string &commodityName, const std::string &quoteCurrency, const QuantLib::Period &tenor, boost::optional< QuantLib::Period > startTenor=boost::none)
	Tenor based commodity forward 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
std::string	commodityName_

std::string	quoteCurrency_

QuantLib::Date	expiryDate_

QuantLib::Period	tenor_

boost::optional< QuantLib::Period >	startTenor_

bool	tenorBased_

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

const std::string &	commodityName () const

const std::string &	quoteCurrency () const

const QuantLib::Date &	expiryDate () const
	The commodity forward's expiry if the quote is date based. More...

const QuantLib::Period &	tenor () const
	The commodity forward's tenor if the quote is tenor based. More...

const boost::optional< QuantLib::Period > &	startTenor () const

bool	tenorBased () const
	Returns `true` if the forward is tenor based and `false` if forward is date based. More...

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

Commodity forward quote class.

This class holds a forward price for a commodity in a given currency

Definition at line 1730 of file marketdatum.hpp.

Constructor & Destructor Documentation

◆ CommodityForwardQuote() [1/3]

CommodityForwardQuote ( )

Definition at line 1732 of file marketdatum.hpp.

1732{}

◆ CommodityForwardQuote() [2/3]

CommodityForwardQuote	(	QuantLib::Real	value,
		const QuantLib::Date &	asofDate,
		const std::string &	name,
		QuoteType	quoteType,
		const std::string &	commodityName,
		const std::string &	quoteCurrency,
		const QuantLib::Date &	expiryDate
	)

Date based commodity forward constructor.

Definition at line 207 of file marketdatum.cpp.

    : MarketDatum(value, asofDate, name, quoteType, InstrumentType::COMMODITY_FWD), commodityName_(commodityName),
      quoteCurrency_(quoteCurrency), expiryDate_(expiryDate), tenorBased_(false) {
    QL_REQUIRE(quoteType == QuoteType::PRICE, "Commodity forward quote must be of type 'PRICE'");
    QL_REQUIRE(asofDate <= expiryDate, "MarketDatumParser: Invalid COMMODITY_FWD quote, expiry date "
                                           << expiryDate << " must be after asof date " << asofDate);
}

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◆ CommodityForwardQuote() [3/3]

CommodityForwardQuote	(	QuantLib::Real	value,
		const QuantLib::Date &	asofDate,
		const std::string &	name,
		QuoteType	quoteType,
		const std::string &	commodityName,
		const std::string &	quoteCurrency,
		const QuantLib::Period &	tenor,
		boost::optional< QuantLib::Period >	startTenor = `boost::none`
	)

Tenor based commodity forward constructor.

Definition at line 218 of file marketdatum.cpp.

    : MarketDatum(value, asofDate, name, quoteType, InstrumentType::COMMODITY_FWD), commodityName_(commodityName),
      quoteCurrency_(quoteCurrency), tenor_(tenor), startTenor_(startTenor), tenorBased_(true) {
    QL_REQUIRE(quoteType == QuoteType::PRICE, "Commodity forward quote must be of type 'PRICE'");
}

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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 1744 of file marketdatum.hpp.

                                                        {
        if (tenorBased_) {
            return QuantLib::ext::make_shared<CommodityForwardQuote>(quote_->value(), asofDate_, name_, quoteType_, commodityName_, quoteCurrency_, tenor_, startTenor_);
        } else {
            return QuantLib::ext::make_shared<CommodityForwardQuote>(quote_->value(), asofDate_, name_, quoteType_, commodityName_, quoteCurrency_, expiryDate_);
        }
    }

◆ commodityName()

const std::string & commodityName ( ) const

Definition at line 1754 of file marketdatum.hpp.

1754{ return commodityName_; }

◆ quoteCurrency()

const std::string & quoteCurrency ( ) const

Definition at line 1755 of file marketdatum.hpp.

1755{ return quoteCurrency_; }

◆ expiryDate()

const QuantLib::Date & expiryDate ( ) const

The commodity forward's expiry if the quote is date based.

Definition at line 1758 of file marketdatum.hpp.

1758{ return expiryDate_; }

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◆ tenor()

const QuantLib::Period & tenor ( ) const

The commodity forward's tenor if the quote is tenor based.

Definition at line 1761 of file marketdatum.hpp.

1761{ return tenor_; }

◆ startTenor()

const boost::optional< QuantLib::Period > & startTenor ( ) const

The period between the as of date and the date from which the forward tenor is applied. This is generally the spot tenor which is indicated by boost::none but there are special cases:

overnight forward: startTenor will be 0 * Days and tenor will be 1 * Days
tom-next forward: startTenor will be 1 * Days and tenor will be 1 * Days

Definition at line 1768 of file marketdatum.hpp.

1768{ return startTenor_; }

◆ tenorBased()

bool tenorBased ( ) const

Returns true if the forward is tenor based and false if forward is date based.

Definition at line 1771 of file marketdatum.hpp.

1771{ return tenorBased_; }

◆ serialize()

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

private

Definition at line 614 of file marketdatum.cpp.

                                                                                                      {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& commodityName_;
    ar& quoteCurrency_;
    ar& expiryDate_;
    ar& tenor_;
    ar& startTenor_;
    ar& tenorBased_;
}

Friends And Related Function Documentation

◆ boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1782 of file marketdatum.hpp.

Member Data Documentation

◆ commodityName_

std::string commodityName_

private

Definition at line 1775 of file marketdatum.hpp.

◆ quoteCurrency_

std::string quoteCurrency_

private

Definition at line 1776 of file marketdatum.hpp.

◆ expiryDate_

QuantLib::Date expiryDate_

private

Definition at line 1777 of file marketdatum.hpp.

◆ tenor_

QuantLib::Period tenor_

private

Definition at line 1778 of file marketdatum.hpp.

◆ startTenor_

boost::optional<QuantLib::Period> startTenor_

private

Definition at line 1779 of file marketdatum.hpp.

◆ tenorBased_

bool tenorBased_

private

Definition at line 1780 of file marketdatum.hpp.

Public Member Functions

Inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CommodityForwardQuote() [1/3]

◆ CommodityForwardQuote() [2/3]

◆ CommodityForwardQuote() [3/3]

Member Function Documentation

◆ clone()

◆ commodityName()

◆ quoteCurrency()

◆ expiryDate()

◆ tenor()

◆ startTenor()

◆ tenorBased()

◆ serialize()

Friends And Related Function Documentation

◆ boost::serialization::access

Member Data Documentation

◆ commodityName_

◆ quoteCurrency_

◆ expiryDate_

◆ tenor_

◆ startTenor_

◆ tenorBased_