#include <ored/marketdata/market.hpp>

Inheritance diagram for Market:

Collaboration diagram for Market:

Public Member Functions
	Market (const bool handlePseudoCurrencies)
	Constructor. More...

virtual	~Market ()
	Destructor. More...

virtual Date	asofDate () const =0
	Get the asof Date. More...

Yield Curves
virtual Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &name, const string &configuration=Market::defaultConfiguration) const =0

Handle< YieldTermStructure >	discountCurve (const string &ccy, const string &configuration=Market::defaultConfiguration) const

virtual Handle< YieldTermStructure >	discountCurveImpl (const string &ccy, const string &configuration=Market::defaultConfiguration) const =0

virtual Handle< YieldTermStructure >	yieldCurve (const string &name, const string &configuration=Market::defaultConfiguration) const =0

virtual Handle< IborIndex >	iborIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0

virtual Handle< SwapIndex >	swapIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0

Swaptions
virtual Handle< SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const =0

virtual string	shortSwapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const =0

virtual string	swapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const =0

Yield volatilities
virtual Handle< SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const =0

Foreign Exchange
QuantLib::Handle< QuantExt::FxIndex >	fxIndex (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const

virtual QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const =0

Handle< Quote >	fxRate (const string &ccypair, const string &configuration=Market::defaultConfiguration) const

virtual Handle< Quote >	fxRateImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const =0

Handle< Quote >	fxSpot (const string &ccypair, const string &configuration=Market::defaultConfiguration) const

virtual Handle< Quote >	fxSpotImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const =0

Handle< BlackVolTermStructure >	fxVol (const string &ccypair, const string &configuration=Market::defaultConfiguration) const

virtual Handle< BlackVolTermStructure >	fxVolImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const =0

Default Curves and Recovery Rates
virtual Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const =0

virtual Handle< Quote >	recoveryRate (const string &, const string &configuration=Market::defaultConfiguration) const =0

(Index) CDS Option volatilities
virtual Handle< QuantExt::CreditVolCurve >	cdsVol (const string &, const string &configuration=Market::defaultConfiguration) const =0

Base Correlation term structures
virtual Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &, const string &configuration=Market::defaultConfiguration) const =0

Stripped Cap/Floor volatilities i.e. caplet/floorlet volatilities
virtual Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const =0

virtual std::pair< std::string, QuantLib::Period >	capFloorVolIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const =0

Stripped YoY Inflation Cap/Floor volatilities i.e. caplet/floorlet volatilities
virtual Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0

virtual Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0
	Inflation Indexes. More...

virtual Handle< YoYInflationIndex >	yoyInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0

virtual Handle< CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0
	CPI Inflation Cap Floor Volatility Surfaces. More...

Equity curves
virtual Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0

virtual Handle< YieldTermStructure >	equityDividendCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0

virtual Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0

virtual Handle< QuantExt::EquityIndex2 >	equityCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0

BondSpreads
virtual Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const =0

Commodity price curves and indices
virtual QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const =0

virtual QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const =0

Commodity volatility
virtual QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const =0

Correlation
virtual QuantLib::Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const std::string &index1, const std::string &index2, const std::string &configuration=Market::defaultConfiguration) const =0

Equity volatilities
static const string	defaultConfiguration = "default"
	Default configuration label. More...

static const string	inCcyConfiguration = "inccy"
	InCcy configuration label. More...

virtual Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0

virtual void	refresh (const string &)
	Refresh term structures for a given configuration. More...

Conditional Prepayment Rates
bool	handlePseudoCurrencies_ = false

std::map< string, Handle< Quote > >	spotCache_

std::map< string, Handle< BlackVolTermStructure > >	volCache_

std::map< string, Handle< YieldTermStructure > >	discountCurveCache_

std::map< string, Handle< Quote > >	fxRateCache_

std::map< std::pair< string, string >, QuantLib::Handle< QuantExt::FxIndex > >	fxIndicesCache_

virtual Handle< Quote >	cpr (const string &securityID, const string &configuration=Market::defaultConfiguration) const =0

string	commodityCurveLookup (const string &pm) const

bool	handlePseudoCurrencies () const

Handle< Quote >	getFxBaseQuote (const string &ccy, const string &config) const

Handle< Quote >	getFxSpotBaseQuote (const string &ccy, const string &config) const

Handle< BlackVolTermStructure >	getVolatility (const string &ccy, const string &config) const

string	getCorrelationIndexName (const string &ccy) const

Detailed Description

Market.

Base class for central repositories containing all term structure objects needed in instrument pricing.

Definition at line 163 of file market.hpp.

Constructor & Destructor Documentation

◆ Market()

Market ( const bool handlePseudoCurrencies )

explicit

Constructor.

Definition at line 166 of file market.hpp.

166: handlePseudoCurrencies_(handlePseudoCurrencies) {}

ore::data::Market::handlePseudoCurrencies_

bool handlePseudoCurrencies_

Definition: market.hpp:342

ore::data::Market::handlePseudoCurrencies

bool handlePseudoCurrencies() const

Definition: market.hpp:339

◆ ~Market()

virtual ~Market ( )

virtual

Destructor.

Definition at line 169 of file market.hpp.

169{}

Member Function Documentation

◆ asofDate()

virtual Date asofDate ( ) const

pure virtual

Get the asof Date.

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

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◆ yieldCurve() [1/2]

virtual Handle< YieldTermStructure > yieldCurve	(	const YieldCurveType &	type,
		const string &	name,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ discountCurve()

Handle< YieldTermStructure > discountCurve	(	const string &	ccy,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

Definition at line 351 of file market.cpp.

                                                                                              {
    if (!handlePseudoCurrencies_ || GlobalPseudoCurrencyMarketParameters::instance().get().treatAsFX)
        return discountCurveImpl(ccy, config);
 
    string baseCcy = GlobalPseudoCurrencyMarketParameters::instance().get().baseCurrency;
 
    if (hasPseudoCurrencyConfig(ccy)) {
        DLOG("Market::discount() requested for PM " << ccy);
        if (discountCurveCache_.find(ccy) == discountCurveCache_.end()) {
            auto baseDiscount = discountCurveImpl(baseCcy, config);
            auto priceCurve = commodityPriceCurve(commodityCurveLookup(ccy), config);
            QL_REQUIRE(!priceCurve.empty(),
                       "Failed to get Commodity Price curve for " << ccy << " using " << commodityCurveLookup(ccy));
            discountCurveCache_[ccy] =
                Handle<YieldTermStructure>(QuantLib::ext::make_shared<QuantExt::PriceTermStructureAdapter>(
                    priceCurve.currentLink(), baseDiscount.currentLink(), fxRate(ccy + baseCcy, config)));
            discountCurveCache_[ccy]->enableExtrapolation();
        }
        return discountCurveCache_[ccy];
    }
 
    return discountCurveImpl(ccy, config);
}

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◆ discountCurveImpl()

virtual Handle< YieldTermStructure > discountCurveImpl	(	const string &	ccy,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in MarketImpl, WrappedMarket, and DummyMarket.

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◆ yieldCurve() [2/2]

virtual Handle< YieldTermStructure > yieldCurve	(	const string &	name,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, FittedBondCurveHelperMarket, MarketImpl, and WrappedMarket.

◆ iborIndex()

virtual Handle< IborIndex > iborIndex	(	const string &	indexName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ swapIndex()

virtual Handle< SwapIndex > swapIndex	(	const string &	indexName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ swaptionVol()

virtual Handle< SwaptionVolatilityStructure > swaptionVol	(	const string &	key,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ shortSwapIndexBase()

virtual string shortSwapIndexBase	(	const string &	key,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, WrappedMarket, and MarketImpl.

◆ swapIndexBase()

virtual string swapIndexBase	(	const string &	key,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, WrappedMarket, and MarketImpl.

◆ yieldVol()

virtual Handle< SwaptionVolatilityStructure > yieldVol	(	const string &	securityID,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ fxIndex()

QuantLib::Handle< QuantExt::FxIndex > fxIndex	(	const string &	fxIndex,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

Definition at line 151 of file market.cpp.

                                                                                                        {
    if (!handlePseudoCurrencies_ || GlobalPseudoCurrencyMarketParameters::instance().get().treatAsFX)
        return fxIndexImpl(fxIndex, configuration);
 
    std::string familyName;
    std::string forCcy;
    std::string domCcy;
 
    if (isFxIndex(fxIndex)) {
        auto ind = parseFxIndex(fxIndex);
        familyName = ind->familyName();
        forCcy = ind->sourceCurrency().code();
        domCcy = ind->targetCurrency().code();
    } else {
        familyName = "GENERIC";
        forCcy = fxIndex.substr(0, 3);
        domCcy = fxIndex.substr(3);
    }
 
    if (hasPseudoCurrencyConfigPair(forCcy + domCcy)) {
        DLOG("Market::fxIndex() requested for PM pair " << forCcy << domCcy);
        string index = "FX-" + familyName + "-" + forCcy + "-" + domCcy;
        Handle<QuantExt::FxIndex> fxInd;
        auto it = fxIndicesCache_.find(make_pair(configuration, index));
        // if no index found we build it
        if (it == fxIndicesCache_.end()) {
            // Parse the index we have with no term structures
            QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndexBase = parseFxIndex(index);
 
            string source = fxIndexBase->sourceCurrency().code();
            string target = fxIndexBase->targetCurrency().code();
 
            // use todays rate here
            Handle<Quote> spot = fxRate(source + target, configuration);
 
            Handle<YieldTermStructure> sorTS = discountCurve(source, configuration);
            Handle<YieldTermStructure> tarTS = discountCurve(target, configuration);
 
            // spot is always zero here as we use the fxRates, which give rate today
            Natural spotDays = 0;
            Calendar calendar = NullCalendar();
 
            if (source != target) {
                try {
                    auto [sDays, cal, _] = getFxIndexConventions(fxIndex);
                    calendar = cal;
                } catch (...) {
                    WLOG("Market::fxIndex Cannot find commodity conventions for " << fxIndex);   
                }
            }
            fxInd = Handle<QuantExt::FxIndex>(QuantLib::ext::make_shared<QuantExt::FxIndex>(
                fxIndexBase->familyName(), spotDays, fxIndexBase->sourceCurrency(), fxIndexBase->targetCurrency(),
                calendar, spot, sorTS, tarTS));
            // add it to the cache
            fxIndicesCache_[make_pair(configuration, index)] = fxInd;
        } else {
            fxInd = it->second;
        }
        return fxInd;
    }
    return fxIndexImpl(fxIndex, configuration);
}

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◆ fxIndexImpl()

virtual QuantLib::Handle< QuantExt::FxIndex > fxIndexImpl	(	const string &	fxIndex,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in MarketImpl, WrappedMarket, and DummyMarket.

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◆ fxRate()

Handle< Quote > fxRate	(	const string &	ccypair,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

Definition at line 216 of file market.cpp.

                                                                           {
    if (!handlePseudoCurrencies_ || GlobalPseudoCurrencyMarketParameters::instance().get().treatAsFX)
        return fxRateImpl(pair, config);
    if (hasPseudoCurrencyConfigPair(pair)) {
        DLOG("Market::fxSpot() requested for PM pair " << pair);
        if (fxRateCache_.find(pair) == fxRateCache_.end()) {
            // Get the FX Spot rate. Rather than deal with all the combinations we just get the FX rate for each vs
            // the baseCcy and create a ratio quote. This might mean we have combined a USD/USD spot quote below,
            // but it all works fine and this is cleaner code.
            //
            // Note that we could just call market->fxSpot(forCode, domCode) and this would give us the correct
            // quote from the markets FXTriangulation, however this would create a depedendacy on the pair
            // and cause the configuration builder to go off building XAU-IN-USD and the like.
            auto forBaseSpot = getFxBaseQuote(pair.substr(0, 3), config);
            auto domBaseSpot = getFxBaseQuote(pair.substr(3), config);
            auto fx = Handle<Quote>(QuantLib::ext::make_shared<CompositeQuote<std::function<Real(Real, Real)>>>(
                forBaseSpot, domBaseSpot, [](Real a, Real b) { return b > 0.0 ? a / b : 0.0; }));
            DLOG("Market returning " << fx->value() << " for " << pair << ".");
            fxRateCache_[pair] = fx;
        }
        return fxRateCache_[pair];
    }
    return fxRateImpl(pair, config);
}

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◆ fxRateImpl()

virtual Handle< Quote > fxRateImpl	(	const string &	ccypair,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

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◆ fxSpot()

Handle< Quote > fxSpot	(	const string &	ccypair,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

Definition at line 241 of file market.cpp.

                                                                           {
    if (!handlePseudoCurrencies_ || GlobalPseudoCurrencyMarketParameters::instance().get().treatAsFX)
        return fxSpotImpl(pair, config);
    if (hasPseudoCurrencyConfigPair(pair)) {
        DLOG("Market::fxSpot() requested for PM pair " << pair);
        if (spotCache_.find(pair) == spotCache_.end()) {
            // Get the FX Spot rate. Rather than deal with all the combinations we just get the FX rate for each vs
            // the baseCcy and create a ratio quote. This might mean we have combined a USD/USD spot quote below,
            // but it all works fine and this is cleaner code.
            //
            // Note that we could just call market->fxSpot(forCode, domCode) and this would give us the correct
            // quote from the markets FXTriangulation, however this would create a depedendacy on the pair
            // and cause the configuration builder to go off building XAU-IN-USD and the like.
            auto forBaseSpot = getFxSpotBaseQuote(pair.substr(0, 3), config);
            auto domBaseSpot = getFxSpotBaseQuote(pair.substr(3), config);
            auto fx = Handle<Quote>(QuantLib::ext::make_shared<CompositeQuote<std::function<Real(Real, Real)>>>(
                forBaseSpot, domBaseSpot, [](Real a, Real b) { return b > 0.0 ? a / b : 0.0; }));
            DLOG("Market returning " << fx->value() << " for " << pair << ".");
            spotCache_[pair] = fx;
        }
        return spotCache_[pair];
    }
    return fxSpotImpl(pair, config);
}

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◆ fxSpotImpl()

virtual Handle< Quote > fxSpotImpl	(	const string &	ccypair,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

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◆ fxVol()

Handle< BlackVolTermStructure > fxVol	(	const string &	ccypair,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

Definition at line 287 of file market.cpp.

                                                                                          {
    if (!handlePseudoCurrencies_ || GlobalPseudoCurrencyMarketParameters::instance().get().treatAsFX)
        return fxVolImpl(pair, config);
 
    if (hasPseudoCurrencyConfigPair(pair)) {
        DLOG("Market::fxVol() requested for PM pair " << pair);
        if (volCache_.find(pair) == volCache_.end()) {
 
            Handle<BlackVolTermStructure> vol;
 
            auto forCode = pair.substr(0, 3);
            auto domCode = pair.substr(3);
 
            // we handle the easy and common case first.
            if (forCode == GlobalPseudoCurrencyMarketParameters::instance().get().baseCurrency ||
                domCode == GlobalPseudoCurrencyMarketParameters::instance().get().baseCurrency) {
                // this is a straight mapping
                string pm =
                    forCode == GlobalPseudoCurrencyMarketParameters::instance().get().baseCurrency ? domCode : forCode;
                auto comVol = commodityVolatility(commodityCurveLookup(pm), config);
                if (domCode == GlobalPseudoCurrencyMarketParameters::instance().get().baseCurrency)
                    vol = comVol;
                else
                    vol = Handle<BlackVolTermStructure>(
                        QuantLib::ext::make_shared<QuantExt::BlackInvertedVolTermStructure>(comVol));
            } else {
 
                // otherwise we must triangulate - we get both surfaces vs baseCcy
                auto forBaseVol = getVolatility(forCode, config);
                auto domBaseVol = getVolatility(domCode, config);
 
                // get the correlation
                string forIndex = getCorrelationIndexName(forCode);
                string domIndex = getCorrelationIndexName(domCode);
                Handle<QuantExt::CorrelationTermStructure> rho;
                try {
                    rho = correlationCurve(forIndex, domIndex, config);
                } catch (std::exception& e) {
                    // No correlation, if we have a default we use it
                    WLOG("No correlation found for " << forIndex << "/" << domIndex);
                    if (GlobalPseudoCurrencyMarketParameters::instance().get().defaultCorrelation != Null<Real>()) {
                        WLOG("Using default correlation value "
                             << GlobalPseudoCurrencyMarketParameters::instance().get().defaultCorrelation);
                        rho = Handle<QuantExt::CorrelationTermStructure>(QuantLib::ext::make_shared<QuantExt::FlatCorrelation>(
                            asofDate(), GlobalPseudoCurrencyMarketParameters::instance().get().defaultCorrelation,
                            ActualActual(ActualActual::ISDA)));
                    } else {
                        QL_FAIL("No Correlation which is needed for PseudoCurrency Volatility :" << e.what());
                    }
                }
 
                // build and return triangulation
                vol = Handle<BlackVolTermStructure>(
                    QuantLib::ext::make_shared<QuantExt::BlackTriangulationATMVolTermStructure>(forBaseVol, domBaseVol, rho));
            }
 
            DLOG("Market returning vol surface for " << pair << ".");
            volCache_[pair] = vol;
        }
        return volCache_[pair];
    }
    return fxVolImpl(pair, config);
}

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◆ fxVolImpl()

virtual Handle< BlackVolTermStructure > fxVolImpl	(	const string &	ccypair,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

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◆ defaultCurve()

virtual Handle< QuantExt::CreditCurve > defaultCurve	(	const string &	,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, FittedBondCurveHelperMarket, MarketImpl, and WrappedMarket.

◆ recoveryRate()

virtual Handle< Quote > recoveryRate	(	const string &	,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, FittedBondCurveHelperMarket, MarketImpl, and WrappedMarket.

◆ cdsVol()

virtual Handle< QuantExt::CreditVolCurve > cdsVol	(	const string &	,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ baseCorrelation()

virtual Handle< QuantExt::BaseCorrelationTermStructure > baseCorrelation	(	const string &	,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ capFloorVol()

virtual Handle< OptionletVolatilityStructure > capFloorVol	(	const string &	key,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ capFloorVolIndexBase()

virtual std::pair< std::string, QuantLib::Period > capFloorVolIndexBase	(	const string &	key,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ yoyCapFloorVol()

virtual Handle< QuantExt::YoYOptionletVolatilitySurface > yoyCapFloorVol	(	const string &	indexName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, WrappedMarket, and MarketImpl.

◆ zeroInflationIndex()

virtual Handle< ZeroInflationIndex > zeroInflationIndex	(	const string &	indexName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Inflation Indexes.

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ yoyInflationIndex()

virtual Handle< YoYInflationIndex > yoyInflationIndex	(	const string &	indexName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ cpiInflationCapFloorVolatilitySurface()

virtual Handle< CPIVolatilitySurface > cpiInflationCapFloorVolatilitySurface	(	const string &	indexName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

CPI Inflation Cap Floor Volatility Surfaces.

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ equitySpot()

virtual Handle< Quote > equitySpot	(	const string &	eqName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ equityDividendCurve()

virtual Handle< YieldTermStructure > equityDividendCurve	(	const string &	eqName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ equityForecastCurve()

virtual Handle< YieldTermStructure > equityForecastCurve	(	const string &	eqName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ equityCurve()

virtual Handle< QuantExt::EquityIndex2 > equityCurve	(	const string &	eqName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ equityVol()

virtual Handle< BlackVolTermStructure > equityVol	(	const string &	eqName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ refresh()

virtual void refresh ( const string & )

virtual

Refresh term structures for a given configuration.

Reimplemented in MarketImpl, and WrappedMarket.

Definition at line 293 of file market.hpp.

293{}

◆ securitySpread()

virtual Handle< Quote > securitySpread	(	const string &	securityID,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, BondSpreadImplyMarket, FittedBondCurveHelperMarket, MarketImpl, and WrappedMarket.

◆ commodityPriceCurve()

virtual QuantLib::Handle< QuantExt::PriceTermStructure > commodityPriceCurve	(	const std::string &	commodityName,
		const std::string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, WrappedMarket, and MarketImpl.

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◆ commodityIndex()

virtual QuantLib::Handle< QuantExt::CommodityIndex > commodityIndex	(	const std::string &	commodityName,
		const std::string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ commodityVolatility()

virtual QuantLib::Handle< QuantLib::BlackVolTermStructure > commodityVolatility	(	const std::string &	commodityName,
		const std::string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, WrappedMarket, and MarketImpl.

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◆ correlationCurve()

virtual QuantLib::Handle< QuantExt::CorrelationTermStructure > correlationCurve	(	const std::string &	index1,
		const std::string &	index2,
		const std::string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, WrappedMarket, and MarketImpl.

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◆ cpr()

virtual Handle< Quote > cpr	(	const string &	securityID,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

pure virtual

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ commodityCurveLookup()

string commodityCurveLookup ( const string & pm ) const

Definition at line 112 of file market.cpp.

                                                          {
    QL_REQUIRE(handlePseudoCurrencies_, "Market::commodityCurveLookup() disabled - this is an internal error.");
    auto it = GlobalPseudoCurrencyMarketParameters::instance().get().curves.find(pm);
    QL_REQUIRE(it != GlobalPseudoCurrencyMarketParameters::instance().get().curves.end(),
               "Unable to find a commodity curve for pseudo currency " << pm << " in Market");
    return it->second;
}

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◆ handlePseudoCurrencies()

bool handlePseudoCurrencies ( ) const

Definition at line 339 of file market.hpp.

339{ return handlePseudoCurrencies_; }

◆ getFxBaseQuote()

Handle< Quote > getFxBaseQuote	(	const string &	ccy,
		const string &	config
	)		const

private

Definition at line 120 of file market.cpp.

                                                                                  {
    QL_REQUIRE(handlePseudoCurrencies_, "Market::commodityCurveLookup() disabled - this is an internal error.");
    if (hasPseudoCurrencyConfig(ccy)) {
        auto priceCurve = commodityPriceCurve(commodityCurveLookup(ccy), config);
        QL_REQUIRE(!priceCurve.empty(),
                   "Failed to get Commodity Price curve for " << ccy << " using " << commodityCurveLookup(ccy));
        TLOG("PseudoCurrencyMarket building DerivedPriceQuote for "
             << ccy << "/" << GlobalPseudoCurrencyMarketParameters::instance().get().baseCurrency
             << " with curve that has minTime of " << priceCurve->minTime());
        return Handle<Quote>(QuantLib::ext::make_shared<QuantExt::DerivedPriceQuote>(priceCurve));
    } else {
        return fxRateImpl(ccy + GlobalPseudoCurrencyMarketParameters::instance().get().baseCurrency, config);
    }
}

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◆ getFxSpotBaseQuote()

Handle< Quote > getFxSpotBaseQuote	(	const string &	ccy,
		const string &	config
	)		const

private

Definition at line 135 of file market.cpp.

                                                                                      {
    QL_REQUIRE(handlePseudoCurrencies_, "Market::commodityCurveLookup() disabled - this is an internal error.");
    if (hasPseudoCurrencyConfig(ccy)) {
        // TODO: this gives back the commodity rate at t=0, should be at spot
        auto priceCurve = commodityPriceCurve(commodityCurveLookup(ccy), config);
        QL_REQUIRE(!priceCurve.empty(),
                   "Failed to get Commodity Price curve for " << ccy << " using " << commodityCurveLookup(ccy));
        TLOG("PseudoCurrencyMarket building DerivedPriceQuote for "
             << ccy << "/" << GlobalPseudoCurrencyMarketParameters::instance().get().baseCurrency
             << " with curve that has minTime of " << priceCurve->minTime());
        return Handle<Quote>(QuantLib::ext::make_shared<QuantExt::DerivedPriceQuote>(priceCurve));
    } else {
        return fxSpotImpl(ccy + GlobalPseudoCurrencyMarketParameters::instance().get().baseCurrency, config);
    }
}

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◆ getVolatility()

Handle< BlackVolTermStructure > getVolatility	(	const string &	ccy,
		const string &	config
	)		const

private

Definition at line 266 of file market.cpp.

                                                                                                 {
    QL_REQUIRE(handlePseudoCurrencies_, "Market::getVolatility() disabled - this is an internal error.");
    if (hasPseudoCurrencyConfig(ccy)) {
        return commodityVolatility(commodityCurveLookup(ccy), config);
    } else {
        return fxVolImpl(ccy + GlobalPseudoCurrencyMarketParameters::instance().get().baseCurrency, config);
    }
}

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◆ getCorrelationIndexName()

string getCorrelationIndexName ( const string & ccy ) const

private

Definition at line 275 of file market.cpp.

                                                              {
    QL_REQUIRE(handlePseudoCurrencies_, "Market::getCorrelationIndexName() disabled - this is an internal error.");
    if (hasPseudoCurrencyConfig(ccy)) {
        // e.g. COMM-PM:XAUUSD
        return "COMM-" + commodityCurveLookup(ccy);
    } else {
        // e.g. FX-GENERIC-XAU-USD
        return "FX-" + GlobalPseudoCurrencyMarketParameters::instance().get().fxIndexTag + "-" + ccy + "-" +
               GlobalPseudoCurrencyMarketParameters::instance().get().baseCurrency;
    }
}

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Member Data Documentation

◆ defaultConfiguration

const string defaultConfiguration = "default"

static

Default configuration label.

Definition at line 296 of file market.hpp.

◆ inCcyConfiguration

const string inCcyConfiguration = "inccy"

static

InCcy configuration label.

Definition at line 299 of file market.hpp.

◆ handlePseudoCurrencies_

bool handlePseudoCurrencies_ = false

protected

Definition at line 342 of file market.hpp.

◆ spotCache_

std::map<string, Handle<Quote> > spotCache_

mutableprivate

Definition at line 346 of file market.hpp.

◆ volCache_

std::map<string, Handle<BlackVolTermStructure> > volCache_

mutableprivate

Definition at line 347 of file market.hpp.

◆ discountCurveCache_

std::map<string, Handle<YieldTermStructure> > discountCurveCache_

mutableprivate

Definition at line 348 of file market.hpp.

◆ fxRateCache_

std::map<string, Handle<Quote> > fxRateCache_

mutableprivate

Definition at line 350 of file market.hpp.

◆ fxIndicesCache_

std::map<std::pair<string, string>, QuantLib::Handle<QuantExt::FxIndex> > fxIndicesCache_

mutableprivate

Definition at line 351 of file market.hpp.

Public Member Functions

Equity volatilities

Conditional Prepayment Rates

Detailed Description

Constructor & Destructor Documentation

◆ Market()

◆ ~Market()

Member Function Documentation

◆ asofDate()

◆ yieldCurve() [1/2]

◆ discountCurve()

◆ discountCurveImpl()

◆ yieldCurve() [2/2]

◆ iborIndex()

◆ swapIndex()

◆ swaptionVol()

◆ shortSwapIndexBase()

◆ swapIndexBase()

◆ yieldVol()

◆ fxIndex()

◆ fxIndexImpl()

◆ fxRate()

◆ fxRateImpl()

◆ fxSpot()

◆ fxSpotImpl()

◆ fxVol()

◆ fxVolImpl()

◆ defaultCurve()

◆ recoveryRate()

◆ cdsVol()

◆ baseCorrelation()

◆ capFloorVol()

◆ capFloorVolIndexBase()

◆ yoyCapFloorVol()

◆ zeroInflationIndex()

◆ yoyInflationIndex()

◆ cpiInflationCapFloorVolatilitySurface()

◆ equitySpot()

◆ equityDividendCurve()

◆ equityForecastCurve()

◆ equityCurve()

◆ equityVol()

◆ refresh()

◆ securitySpread()

◆ commodityPriceCurve()

◆ commodityIndex()

◆ commodityVolatility()

◆ correlationCurve()

◆ cpr()

◆ commodityCurveLookup()

◆ handlePseudoCurrencies()

◆ getFxBaseQuote()

◆ getFxSpotBaseQuote()

◆ getVolatility()

◆ getCorrelationIndexName()

Member Data Documentation

◆ defaultConfiguration

◆ inCcyConfiguration

◆ handlePseudoCurrencies_

◆ spotCache_

◆ volCache_

◆ discountCurveCache_

◆ fxRateCache_

◆ fxIndicesCache_