EquityOptionQuote Class Reference

Equity/Index Option data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for EquityOptionQuote:

Collaboration diagram for EquityOptionQuote:

Public Member Functions
	EquityOptionQuote ()
	EquityOptionQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, string equityName, string ccy, string expiry, const QuantLib::ext::shared_ptr< BaseStrike > &strike, bool isCall=true)
	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_
string	expiry_
QuantLib::ext::shared_ptr< BaseStrike >	strike_
bool	isCall_
class	boost::serialization::access
	Serialization. More...
const string &	eqName () const
const string &	ccy () const
const string &	expiry () const
const QuantLib::ext::shared_ptr< BaseStrike > &	strike () const
bool	isCall ()
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 Option data class.

This class holds single market points of type

• EQUITY_OPTION Specific data comprise
• Equity/Index name
• currency
• expiry
• strike - supported are:
  • absolute strike, e.g. 1234.5
  • ATM/AtmFwd (or as an alias ATMF)
  • MNY/[Spot/Fwd]/1.2
• C (call), P (put) flag, this is optional and defaults to C

Definition at line 1547 of file marketdatum.hpp.

Constructor & Destructor Documentation

EquityOptionQuote() [1/2]

EquityOptionQuote

(

)

Definition at line 1549 of file marketdatum.hpp.

{}

EquityOptionQuote() [2/2]

EquityOptionQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		string	equityName,
		string	ccy,
		string	expiry,
		const QuantLib::ext::shared_ptr< BaseStrike > &	strike,
		bool	isCall = true
	)

Constructor.

Definition at line 161 of file marketdatum.cpp.

    : MarketDatum(value, asofDate, name, quoteType, InstrumentType::EQUITY_OPTION), eqName_(equityName), ccy_(ccy),
      expiry_(expiry), strike_(strike), isCall_(isCall) {
 
    // we will call a parser on the expiry string, to ensure it is a correctly-formatted date or tenor
    Date tmpDate;
    Period tmpPeriod;
    bool isDate;
    parseDateOrPeriod(expiry, tmpDate, tmpPeriod, isDate);
 
    if (isDate)
        QL_REQUIRE(asofDate <= tmpDate, "EquityOptionQuote: Invalid EquityOptionQuote, expiry date "
            << tmpDate << " 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 1556 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<EquityOptionQuote>(quote_->value(), asofDate_, name_, quoteType_, eqName_, ccy_, expiry_, strike_, isCall_);
    }

eqName()

const string & eqName

(

)

const

Definition at line 1562 of file marketdatum.hpp.

{ return eqName_; }

ccy()

const string & ccy

(

)

const

Definition at line 1563 of file marketdatum.hpp.

{ return ccy_; }

expiry()

const string & expiry

(

)

const

Definition at line 1564 of file marketdatum.hpp.

{ return expiry_; }

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strike()

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

(

)

const

Definition at line 1565 of file marketdatum.hpp.

{ return strike_; }

isCall()

bool isCall

(

)

Definition at line 1566 of file marketdatum.hpp.

{ return isCall_; }

serialize()

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

private

Definition at line 579 of file marketdatum.cpp.

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

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1575 of file marketdatum.hpp.

Member Data Documentation

eqName_

string eqName_

private

Definition at line 1569 of file marketdatum.hpp.

ccy_

string ccy_

private

Definition at line 1570 of file marketdatum.hpp.

expiry_

string expiry_

private

Definition at line 1571 of file marketdatum.hpp.

strike_

QuantLib::ext::shared_ptr<BaseStrike> strike_

private

Definition at line 1572 of file marketdatum.hpp.

isCall_

bool isCall_

private

Definition at line 1573 of file marketdatum.hpp.