FXOptionQuote Class Reference

FX Option data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for FXOptionQuote:

Collaboration diagram for FXOptionQuote:

Public Member Functions
	FXOptionQuote ()
	FXOptionQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, string unitCcy, string ccy, Period expiry, 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
string	unitCcy_
string	ccy_
Period	expiry_
string	strike_
class	boost::serialization::access
	Serialization. More...
const string &	unitCcy () const
const string &	ccy () const
const Period &	expiry () const
const 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

FX Option data class.

This class holds single market points of type

• FX_OPTION Specific data comprise
• unit currency
• currency
• expiry
• "strike" (25 delta butterfly "25BF", 25 delta risk reversal "25RR", atm straddle ATM, or individual delta put/call quotes) we do not yet support ATMF.

Definition at line 1189 of file marketdatum.hpp.

Constructor & Destructor Documentation

FXOptionQuote() [1/2]

FXOptionQuote

(

)

Definition at line 1191 of file marketdatum.hpp.

{}

FXOptionQuote() [2/2]

FXOptionQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		string	unitCcy,
		string	ccy,
		Period	expiry,
		string	strike
	)

Constructor.

Definition at line 1193 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, InstrumentType::FX_OPTION), unitCcy_(unitCcy), ccy_(ccy),
          expiry_(expiry), strike_(strike) {
 
        Strike s = parseStrike(strike);
        QL_REQUIRE(s.type == Strike::Type::DeltaCall || s.type == Strike::Type::DeltaPut ||
                       s.type == Strike::Type::ATM || s.type == Strike::Type::BF || s.type == Strike::Type::RR || s.type == Strike::Type::Absolute,
                   "Unsupported FXOptionQuote strike (" << strike << ")");
    }

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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 1205 of file marketdatum.hpp.

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

unitCcy()

const string & unitCcy

(

)

const

Definition at line 1211 of file marketdatum.hpp.

{ return unitCcy_; }

ccy()

const string & ccy

(

)

const

Definition at line 1212 of file marketdatum.hpp.

{ return ccy_; }

expiry()

const Period & expiry

(

)

const

Definition at line 1213 of file marketdatum.hpp.

{ return expiry_; }

strike()

const string & strike

(

)

const

Definition at line 1214 of file marketdatum.hpp.

{ return strike_; }

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serialize()

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

private

Definition at line 516 of file marketdatum.cpp.

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

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1222 of file marketdatum.hpp.

Member Data Documentation

unitCcy_

string unitCcy_

private

Definition at line 1217 of file marketdatum.hpp.

ccy_

string ccy_

private

Definition at line 1218 of file marketdatum.hpp.

expiry_

Period expiry_

private

Definition at line 1219 of file marketdatum.hpp.

strike_

string strike_

private

Definition at line 1220 of file marketdatum.hpp.