EquityDividendYieldQuote Class Reference

Equity/Index Dividend yield data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for EquityDividendYieldQuote:

Collaboration diagram for EquityDividendYieldQuote:

Public Member Functions
	EquityDividendYieldQuote ()
	EquityDividendYieldQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, string equityName, string ccy, const Date &tenorDate)
	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	eqName_
string	ccy_
Date	tenor_
class	boost::serialization::access
	Serialization. More...
const string &	eqName () const
const string &	ccy () const
const Date &	tenorDate () 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

Equity/Index Dividend yield data class.

This class holds single market points of type

• EQUITY_DIVIDEND Specific data comprise
• Equity/Index name
• currency
• yield tenor date

The quote is expected as a forward price

Definition at line 1504 of file marketdatum.hpp.

Constructor & Destructor Documentation

EquityDividendYieldQuote() [1/2]

EquityDividendYieldQuote

(

)

Definition at line 1506 of file marketdatum.hpp.

{}

EquityDividendYieldQuote() [2/2]

EquityDividendYieldQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		string	equityName,
		string	ccy,
		const Date &	tenorDate
	)

Constructor.

Definition at line 187 of file marketdatum.cpp.

    : MarketDatum(value, asofDate, name, quoteType, InstrumentType::EQUITY_DIVIDEND), eqName_(equityName), ccy_(ccy),
      tenor_(tenorDate) {
    if (tenor_ != Date())
        QL_REQUIRE(asofDate <= tenor_, "EquityDividendYieldQuote: Invalid EquityForwardQuote, expiry date "
                                           << tenor_ << " must be after asof date " << asofDate);
}

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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 1512 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<EquityDividendYieldQuote>(quote_->value(), asofDate_, name_, quoteType_, eqName_, ccy_, tenor_);
    }

eqName()

const string & eqName

(

)

const

Definition at line 1518 of file marketdatum.hpp.

{ return eqName_; }

ccy()

const string & ccy

(

)

const

Definition at line 1519 of file marketdatum.hpp.

{ return ccy_; }

tenorDate()

const Date & tenorDate

(

)

const

Definition at line 1520 of file marketdatum.hpp.

{ return tenor_; }

serialize()

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

private

Definition at line 572 of file marketdatum.cpp.

                                                                                                         {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& eqName_;
    ar& ccy_;
    ar& tenor_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1527 of file marketdatum.hpp.

Member Data Documentation

eqName_

string eqName_

private

Definition at line 1523 of file marketdatum.hpp.

ccy_

string ccy_

private

Definition at line 1524 of file marketdatum.hpp.

tenor_

Date tenor_

private

Definition at line 1525 of file marketdatum.hpp.