FXSpotQuote Class Reference

Foreign exchange rate data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for FXSpotQuote:

Collaboration diagram for FXSpotQuote:

Public Member Functions
	FXSpotQuote ()
	FXSpotQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, string unitCcy, string ccy)
	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_
class	boost::serialization::access
	Serialization. More...
const string &	unitCcy () const
const string &	ccy () 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

Foreign exchange rate data class.

This class holds single market points of type

• FX_SPOT Specific data comprise
• unit currency
• currency

The quote is then interpreted as follows:

1 unit of "unit currency" = quote * 1 unit of "currency"

Definition at line 1104 of file marketdatum.hpp.

Constructor & Destructor Documentation

FXSpotQuote() [1/2]

FXSpotQuote

(

)

Definition at line 1106 of file marketdatum.hpp.

{}

FXSpotQuote() [2/2]

FXSpotQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		string	unitCcy,
		string	ccy
	)

Constructor.

Definition at line 1108 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, InstrumentType::FX_SPOT), unitCcy_(unitCcy), ccy_(ccy) {}

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 1112 of file marketdatum.hpp.

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

unitCcy()

const string & unitCcy

(

)

const

Definition at line 1118 of file marketdatum.hpp.

{ return unitCcy_; }

ccy()

const string & ccy

(

)

const

Definition at line 1119 of file marketdatum.hpp.

{ return ccy_; }

serialize()

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

private

Definition at line 502 of file marketdatum.cpp.

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

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1125 of file marketdatum.hpp.

Member Data Documentation

unitCcy_

string unitCcy_

private

Definition at line 1122 of file marketdatum.hpp.

ccy_

string ccy_

private

Definition at line 1123 of file marketdatum.hpp.