CrossCcyBasisSwapQuote Class Reference

Cross Currency Basis Swap data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for CrossCcyBasisSwapQuote:

Collaboration diagram for CrossCcyBasisSwapQuote:

Public Member Functions
	CrossCcyBasisSwapQuote ()
	CrossCcyBasisSwapQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, string flatCcy, Period flatTerm, string ccy, Period term, Period maturity=3 *Months)
	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	flatCcy_
Period	flatTerm_
string	ccy_
Period	term_
Period	maturity_
class	boost::serialization::access
	Serialization. More...
const string &	flatCcy () const
const Period &	flatTerm () const
const string &	ccy () const
const Period &	term () const
const Period &	maturity () 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

Cross Currency Basis Swap data class.

This class holds single market points of type

• CC_BASIS_SWAP BASIS_SPREAD Specific data comprise
• flat currency
• currency

The quote in Basis Points is then interpreted as follows:

A fair Swap pays the reference index of "flat currency" in "flat currency" with spread zero and receives the reference index of "currency" in "currency" plus the quoted spread.

Definition at line 628 of file marketdatum.hpp.

Constructor & Destructor Documentation

CrossCcyBasisSwapQuote() [1/2]

CrossCcyBasisSwapQuote

(

)

Definition at line 630 of file marketdatum.hpp.

{}

CrossCcyBasisSwapQuote() [2/2]

CrossCcyBasisSwapQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		string	flatCcy,
		Period	flatTerm,
		string	ccy,
		Period	term,
		Period	maturity = 3 * Months
	)

Constructor.

Definition at line 632 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, InstrumentType::CC_BASIS_SWAP), flatCcy_(flatCcy),
          flatTerm_(flatTerm), ccy_(ccy), term_(term), maturity_(maturity) {}

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 638 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<CrossCcyBasisSwapQuote>(quote_->value(), asofDate_, name_, quoteType_, flatCcy_, flatTerm_, ccy_, term_, maturity_);
    }

flatCcy()

const string & flatCcy

(

)

const

Definition at line 644 of file marketdatum.hpp.

{ return flatCcy_; }

flatTerm()

const Period & flatTerm

(

)

const

Definition at line 645 of file marketdatum.hpp.

{ return flatTerm_; }

ccy()

const string & ccy

(

)

const

Definition at line 646 of file marketdatum.hpp.

{ return ccy_; }

term()

const Period & term

(

)

const

Definition at line 647 of file marketdatum.hpp.

{ return term_; }

maturity()

const Period & maturity

(

)

const

Definition at line 648 of file marketdatum.hpp.

{ return maturity_; }

serialize()

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

private

Definition at line 409 of file marketdatum.cpp.

                                                                                                       {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& flatCcy_;
    ar& flatTerm_;
    ar& ccy_;
    ar& term_;
    ar& maturity_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 658 of file marketdatum.hpp.

Member Data Documentation

flatCcy_

string flatCcy_

private

Definition at line 652 of file marketdatum.hpp.

flatTerm_

Period flatTerm_

private

Definition at line 653 of file marketdatum.hpp.

ccy_

string ccy_

private

Definition at line 654 of file marketdatum.hpp.

term_

Period term_

private

Definition at line 655 of file marketdatum.hpp.

maturity_

Period maturity_

private

Definition at line 656 of file marketdatum.hpp.