CorrelationQuote Class Reference

Spread data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for CorrelationQuote:

Collaboration diagram for CorrelationQuote:

Public Member Functions
	CorrelationQuote ()
	CorrelationQuote (QuantLib::Real value, const QuantLib::Date &asof, const std::string &name, QuoteType quoteType, const std::string &index1, const std::string &index2, const std::string &expiry, const std::string &strike)
	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	index1_
std::string	index2_
std::string	expiry_
std::string	strike_
class	boost::serialization::access
	Serialization. More...
const std::string &	index1 () const
const std::string &	index2 () const
const std::string &	expiry () const
const std::string &	strike () 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

Spread data class.

This class holds single market points of type SPREAD

Definition at line 1840 of file marketdatum.hpp.

Constructor & Destructor Documentation

CorrelationQuote() [1/2]

CorrelationQuote

(

)

Definition at line 1842 of file marketdatum.hpp.

{}

CorrelationQuote() [2/2]

CorrelationQuote	(	QuantLib::Real	value,
		const QuantLib::Date &	asof,
		const std::string &	name,
		QuoteType	quoteType,
		const std::string &	index1,
		const std::string &	index2,
		const std::string &	expiry,
		const std::string &	strike
	)

Constructor.

Parameters

value	The correlation value
asof	The quote date
name	The quote name
quoteType	The quote type, should be RATE or PRICE
index1	The name of the first index
index2	The name of the second index
expiry	Expiry can be a period or a date
strike	Can be underlying commodity price or ATM

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 1858 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<CorrelationQuote>(quote_->value(), asofDate_, name_, quoteType_, index1_, index2_, expiry_, strike_);
    }

index1()

const std::string & index1

(

)

const

Definition at line 1864 of file marketdatum.hpp.

{ return index1_; }

index2()

const std::string & index2

(

)

const

Definition at line 1865 of file marketdatum.hpp.

{ return index2_; }

expiry()

const std::string & expiry

(

)

const

Definition at line 1866 of file marketdatum.hpp.

{ return expiry_; }

strike()

const std::string & strike

(

)

const

Definition at line 1867 of file marketdatum.hpp.

{ return strike_; }

serialize()

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

private

Definition at line 632 of file marketdatum.cpp.

                                                                                                 {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& index1_;
    ar& index2_;
    ar& expiry_;
    ar& strike_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1876 of file marketdatum.hpp.

Member Data Documentation

index1_

std::string index1_

private

Definition at line 1871 of file marketdatum.hpp.

index2_

std::string index2_

private

Definition at line 1872 of file marketdatum.hpp.

expiry_

std::string expiry_

private

Definition at line 1873 of file marketdatum.hpp.

strike_

std::string strike_

private

Definition at line 1874 of file marketdatum.hpp.