MarketDatum Class Reference

Base market data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for MarketDatum:

Collaboration diagram for MarketDatum:

Public Types
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
	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...

Inspectors
Handle< Quote >	quote_
Date	asofDate_
string	name_
InstrumentType	instrumentType_
QuoteType	quoteType_
class	boost::serialization::access
	Serialization. More...
const string &	name () const
const Handle< Quote > &	quote () const
Date	asofDate () const
InstrumentType	instrumentType () const
QuoteType	quoteType () const
template<class Archive >
void	serialize (Archive &ar, const unsigned int version)

Detailed Description

Base market data class.

This class holds a single market point, a SimpleQuote pointer and generic additional information.

The market point is classified by an instrument type, a quote type and a name string. The name's structure depends on the market point's type with tokens separated by "/".

Specific market data classes are derived from this base class and hold additional specific data that are represented by the market point's name.

Definition at line 78 of file marketdatum.hpp.

Member Enumeration Documentation

InstrumentType

enum class InstrumentType

strong

Supported market instrument types.

Enumerator
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

Definition at line 82 of file marketdatum.hpp.

                              {
        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
    };

QuoteType

enum class QuoteType

strong

Supported market quote types.

Enumerator
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

Definition at line 126 of file marketdatum.hpp.

                         {
        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
    };

Constructor & Destructor Documentation

MarketDatum() [1/2]

MarketDatum

(

)

Definition at line 80 of file marketdatum.hpp.

{}

MarketDatum() [2/2]

MarketDatum	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		InstrumentType	instrumentType
	)

Constructor.

Definition at line 145 of file marketdatum.hpp.

        : quote_(QuantLib::ext::make_shared<SimpleQuote>(value)), asofDate_(asofDate), name_(name),
          instrumentType_(instrumentType), quoteType_(quoteType) {}

~MarketDatum()

virtual ~MarketDatum ( )

virtual

Default destructor.

Definition at line 150 of file marketdatum.hpp.

{}

Member Function Documentation

clone()

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

virtual

Make a copy of the market datum.

Reimplemented in MoneyMarketQuote, FRAQuote, ImmFraQuote, SwapQuote, ZeroQuote, DiscountQuote, MMFutureQuote, OIFutureQuote, BasisSwapQuote, BMASwapQuote, CrossCcyBasisSwapQuote, CrossCcyFixFloatSwapQuote, CdsQuote, HazardRateQuote, RecoveryRateQuote, SwaptionQuote, SwaptionShiftQuote, BondOptionQuote, BondOptionShiftQuote, CapFloorQuote, CapFloorShiftQuote, FXSpotQuote, FXForwardQuote, FXOptionQuote, ZcInflationSwapQuote, InflationCapFloorQuote, ZcInflationCapFloorQuote, YoYInflationSwapQuote, YyInflationCapFloorQuote, SeasonalityQuote, EquitySpotQuote, EquityForwardQuote, EquityDividendYieldQuote, EquityOptionQuote, SecuritySpreadQuote, BaseCorrelationQuote, IndexCDSOptionQuote, CommoditySpotQuote, CommodityForwardQuote, CommodityOptionQuote, CorrelationQuote, CPRQuote, and BondPriceQuote.

Definition at line 153 of file marketdatum.hpp.

                                                       {
        return QuantLib::ext::make_shared<MarketDatum>(quote_->value(), asofDate_, name_, quoteType_, instrumentType_);
    }

name()

const string & name

(

)

const

Definition at line 159 of file marketdatum.hpp.

{ return name_; }

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quote()

const Handle< Quote > & quote

(

)

const

Definition at line 160 of file marketdatum.hpp.

{ return quote_; }

asofDate()

Date asofDate

(

)

const

Definition at line 161 of file marketdatum.hpp.

{ return asofDate_; }

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instrumentType()

InstrumentType instrumentType

(

)

const

Definition at line 162 of file marketdatum.hpp.

{ return instrumentType_; }

quoteType()

QuoteType quoteType

(

)

const

Definition at line 163 of file marketdatum.hpp.

{ return quoteType_; }

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serialize()

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

private

Definition at line 314 of file marketdatum.cpp.

                                                                                            {
    Real value;
    // save / load the value of the quote, do not try to serialize the quote as such
    if (Archive::is_saving::value) {
        value = quote_->value();
        ar& value;
    } else {
        ar& value;
        quote_ = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(value));
    }
    ar& asofDate_;
    ar& name_;
    ar& instrumentType_;
    ar& quoteType_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 174 of file marketdatum.hpp.

Member Data Documentation

quote_

Handle<Quote> quote_

protected

Definition at line 166 of file marketdatum.hpp.

asofDate_

Date asofDate_

protected

Definition at line 167 of file marketdatum.hpp.

name_

string name_

protected

Definition at line 168 of file marketdatum.hpp.

instrumentType_

InstrumentType instrumentType_

protected

Definition at line 169 of file marketdatum.hpp.

quoteType_

QuoteType quoteType_

protected

Definition at line 170 of file marketdatum.hpp.