CommodityOptionQuote Class Reference

Commodity option data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for CommodityOptionQuote:

Collaboration diagram for CommodityOptionQuote:

Public Member Functions
	CommodityOptionQuote ()
	CommodityOptionQuote (QuantLib::Real value, const QuantLib::Date &asof, const std::string &name, QuoteType quoteType, const std::string &commodityName, const std::string &quoteCurrency, const QuantLib::ext::shared_ptr< Expiry > &expiry, const QuantLib::ext::shared_ptr< BaseStrike > &strike, QuantLib::Option::Type optionType=QuantLib::Option::Call)
	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::ext::shared_ptr< Expiry >	expiry_
QuantLib::ext::shared_ptr< BaseStrike >	strike_
QuantLib::Option::Type	optionType_
class	boost::serialization::access
	Serialization. More...
const std::string &	commodityName () const
const std::string &	quoteCurrency () const
const QuantLib::ext::shared_ptr< Expiry > &	expiry () const
const QuantLib::ext::shared_ptr< BaseStrike > &	strike () const
QuantLib::Option::Type	optionType () 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

Commodity option data class.

This class holds single market points of type COMMODITY_OPTION

Definition at line 1790 of file marketdatum.hpp.

Constructor & Destructor Documentation

CommodityOptionQuote() [1/2]

CommodityOptionQuote

(

)

Definition at line 1792 of file marketdatum.hpp.

: optionType_(QuantLib::Option::Call) {}

CommodityOptionQuote() [2/2]

CommodityOptionQuote	(	QuantLib::Real	value,
		const QuantLib::Date &	asof,
		const std::string &	name,
		QuoteType	quoteType,
		const std::string &	commodityName,
		const std::string &	quoteCurrency,
		const QuantLib::ext::shared_ptr< Expiry > &	expiry,
		const QuantLib::ext::shared_ptr< BaseStrike > &	strike,
		QuantLib::Option::Type	optionType = QuantLib::Option::Call
	)

Constructor.

Parameters

value	The volatility value
asof	The quote date
name	The quote name
quoteType	The quote type, should be RATE_LNVOL
commodityName	The name of the underlying commodity
quoteCurrency	The quote currency
expiry	Expiry object defining the quote's expiry
strike	Strike object defining the quote's strike
optionType	The option type.

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 1811 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<CommodityOptionQuote>(quote_->value(), asofDate_, name_,
            quoteType_, commodityName_, quoteCurrency_, expiry_, strike_, optionType_);
    }

commodityName()

const std::string & commodityName

(

)

const

Definition at line 1818 of file marketdatum.hpp.

{ return commodityName_; }

quoteCurrency()

const std::string & quoteCurrency

(

)

const

Definition at line 1819 of file marketdatum.hpp.

{ return quoteCurrency_; }

expiry()

const QuantLib::ext::shared_ptr< Expiry > & expiry

(

)

const

Definition at line 1820 of file marketdatum.hpp.

{ return expiry_; }

strike()

const QuantLib::ext::shared_ptr< BaseStrike > & strike

(

)

const

Definition at line 1821 of file marketdatum.hpp.

{ return strike_; }

optionType()

QuantLib::Option::Type optionType

(

)

const

Definition at line 1822 of file marketdatum.hpp.

{ return optionType_; }

serialize()

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

private

Definition at line 624 of file marketdatum.cpp.

                                                                                                     {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& commodityName_;
    ar& quoteCurrency_;
    ar& expiry_;
    ar& strike_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1832 of file marketdatum.hpp.

Member Data Documentation

commodityName_

std::string commodityName_

private

Definition at line 1826 of file marketdatum.hpp.

quoteCurrency_

std::string quoteCurrency_

private

Definition at line 1827 of file marketdatum.hpp.

expiry_

QuantLib::ext::shared_ptr<Expiry> expiry_

private

Definition at line 1828 of file marketdatum.hpp.

strike_

QuantLib::ext::shared_ptr<BaseStrike> strike_

private

Definition at line 1829 of file marketdatum.hpp.

optionType_

QuantLib::Option::Type optionType_

private

Definition at line 1830 of file marketdatum.hpp.