InflationCapFloorQuote Class Reference

Inflation Cap Floor data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for InflationCapFloorQuote:

Collaboration diagram for InflationCapFloorQuote:

Public Member Functions
	InflationCapFloorQuote ()
	InflationCapFloorQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, const string &index, Period term, bool isCap, const string &strike, InstrumentType instrumentType)
QuantLib::ext::shared_ptr< MarketDatum >	clone () override
	Make a copy of the market datum. More...
string	index ()
Period	term ()
bool	isCap ()
string	strike ()
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

Private Member Functions
template<class Archive >
void	serialize (Archive &ar, const unsigned int version)

Private Attributes
string	index_
Period	term_
bool	isCap_
string	strike_

Friends
class	boost::serialization::access
	Serialization. More...

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

Inflation Cap Floor data class.

This class holds single market points of type

• INFLATION_CAPFLOOR Specific data comprise type (can be price or nvol or slnvol), index, term, cap/floor, strike

Definition at line 1266 of file marketdatum.hpp.

Constructor & Destructor Documentation

InflationCapFloorQuote() [1/2]

InflationCapFloorQuote

(

)

Definition at line 1268 of file marketdatum.hpp.

{}

InflationCapFloorQuote() [2/2]

InflationCapFloorQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		const string &	index,
		Period	term,
		bool	isCap,
		const string &	strike,
		InstrumentType	instrumentType
	)

Definition at line 1269 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, instrumentType), index_(index), term_(term), isCap_(isCap),
          strike_(strike) {}

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Reimplemented in ZcInflationCapFloorQuote, and YyInflationCapFloorQuote.

Definition at line 1275 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<InflationCapFloorQuote>(quote_->value(), asofDate_, name_, quoteType_, index_, term_, isCap_, strike_, instrumentType_);
    }

index()

string index

(

)

Definition at line 1279 of file marketdatum.hpp.

{ return index_; }

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term()

Period term

(

)

Definition at line 1280 of file marketdatum.hpp.

{ return term_; }

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isCap()

bool isCap

(

)

Definition at line 1281 of file marketdatum.hpp.

{ return isCap_; }

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strike()

string strike

(

)

Definition at line 1282 of file marketdatum.hpp.

{ return strike_; }

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serialize()

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

private

Definition at line 530 of file marketdatum.cpp.

                                                                                                       {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& index_;
    ar& term_;
    ar& isCap_;
    ar& strike_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1290 of file marketdatum.hpp.

Member Data Documentation

index_

string index_

private

Definition at line 1285 of file marketdatum.hpp.

term_

Period term_

private

Definition at line 1286 of file marketdatum.hpp.

isCap_

bool isCap_

private

Definition at line 1287 of file marketdatum.hpp.

strike_

string strike_

private

Definition at line 1288 of file marketdatum.hpp.