FXForwardQuote Class Reference

Foreign exchange rate data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for FXForwardQuote:

Collaboration diagram for FXForwardQuote:

Public Types
enum class	FxFwdString { ON , TN , SN }
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...

Public Member Functions
	FXForwardQuote ()
	FXForwardQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, string unitCcy, string ccy, const boost::variant< QuantLib::Period, FxFwdString > &term, Real conversionFactor=1.0)
	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	unitCcy_
string	ccy_
boost::variant< QuantLib::Period, FxFwdString >	term_
Real	conversionFactor_
class	boost::serialization::access
	Serialization. More...
const string &	unitCcy () const
const string &	ccy () const
const boost::variant< QuantLib::Period, FxFwdString > &	term () const
Real	conversionFactor () const
template<class Archive >
void	serialize (Archive &ar, const unsigned int version)

Additional Inherited Members
Protected Attributes inherited from MarketDatum
Handle< Quote >	quote_
Date	asofDate_
string	name_
InstrumentType	instrumentType_
QuoteType	quoteType_

Detailed Description

Foreign exchange rate data class.

This class holds single market points of type

• FX_FWD Specific data comprise
• unit currency
• currency
• term
• conversion factor

The quote is expected in "forward points" = (FXFwd - FXSpot) / conversionFactor

Definition at line 1143 of file marketdatum.hpp.

Member Enumeration Documentation

FxFwdString

enum class FxFwdString

strong

Enumerator
ON
TN
SN

Definition at line 1145 of file marketdatum.hpp.

{ ON, TN, SN };

Constructor & Destructor Documentation

FXForwardQuote() [1/2]

FXForwardQuote

(

)

Definition at line 1147 of file marketdatum.hpp.

{}

FXForwardQuote() [2/2]

FXForwardQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		string	unitCcy,
		string	ccy,
		const boost::variant< QuantLib::Period, FxFwdString > &	term,
		Real	conversionFactor = 1.0
	)

Constructor.

Definition at line 1149 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, InstrumentType::FX_FWD), unitCcy_(unitCcy), ccy_(ccy),
          term_(term), conversionFactor_(conversionFactor) {}

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 1155 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<FXForwardQuote>(quote_->value(), asofDate_, name_, quoteType_, unitCcy_, ccy_, term_, conversionFactor_);
    }

unitCcy()

const string & unitCcy

(

)

const

Definition at line 1161 of file marketdatum.hpp.

{ return unitCcy_; }

ccy()

const string & ccy

(

)

const

Definition at line 1162 of file marketdatum.hpp.

{ return ccy_; }

term()

const boost::variant< QuantLib::Period, FxFwdString > & term

(

)

const

Definition at line 1163 of file marketdatum.hpp.

{ return term_; }

conversionFactor()

Real conversionFactor

(

)

const

Definition at line 1164 of file marketdatum.hpp.

{ return conversionFactor_; }

serialize()

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

private

Definition at line 508 of file marketdatum.cpp.

                                                                                               {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& unitCcy_;
    ar& ccy_;
    ar& term_;
    ar& conversionFactor_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1172 of file marketdatum.hpp.

Member Data Documentation

unitCcy_

string unitCcy_

private

Definition at line 1167 of file marketdatum.hpp.

ccy_

string ccy_

private

Definition at line 1168 of file marketdatum.hpp.

term_

boost::variant<QuantLib::Period, FxFwdString> term_

private

Definition at line 1169 of file marketdatum.hpp.

conversionFactor_

Real conversionFactor_

private

Definition at line 1170 of file marketdatum.hpp.