#include <ored/marketdata/marketimpl.hpp>

Inheritance diagram for MarketImpl:

Collaboration diagram for MarketImpl:

Public Member Functions
	MarketImpl (const bool handlePseudoCurrencies)

Market interface
Date	asofDate () const override
	Get the asof Date. More...

Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &ccy, const string &configuration=Market::defaultConfiguration) const override
	Yield Curves. More...

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

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

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

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

Handle< QuantLib::SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
	Swaptions. More...

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

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

Handle< QuantLib::SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
	Yield volatility. More...

QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const override
	FX. More...

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

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

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

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

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

Handle< QuantExt::CreditVolCurve >	cdsVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
	CDS volatilities. More...

Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &name, const string &configuration=Market::defaultConfiguration) const override
	Base correlation structures. More...

Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
	CapFloor volatilities. More...

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

Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
	YoY Inflation CapFloor volatilities. More...

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

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

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

Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
	Equity curves. More...

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

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

Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
	Equity volatilities. More...

Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
	Equity forecasting curves. More...

Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
	Bond Spreads. More...

Handle< QuantExt::InflationIndexObserver >	baseCpis (const string &index, const string &configuration=Market::defaultConfiguration) const
	Cpi Base Quotes. More...

QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
	Commodity curves. More...

QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override
	Commodity index. More...

QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
	Commodity volatility. More...

Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const string &index1, const string &index2, const string &configuration=Market::defaultConfiguration) const override
	Correlation curves. More...

Conditional Prepayment Rates
QuantLib::Handle< Quote >	cpr (const string &securityID, const string &configuration=Market::defaultConfiguration) const override

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

virtual	~Market ()
	Destructor. More...

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

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

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

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

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

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

string	commodityCurveLookup (const string &pm) const

bool	handlePseudoCurrencies () const

Disable copying
Date	asof_

QuantLib::ext::shared_ptr< FXTriangulation >	fx_

map< tuple< string, YieldCurveType, string >, Handle< YieldTermStructure > >	yieldCurves_

map< pair< string, string >, Handle< IborIndex > >	iborIndices_

map< pair< string, string >, Handle< SwapIndex > >	swapIndices_

map< pair< string, string >, Handle< QuantLib::SwaptionVolatilityStructure > >	swaptionCurves_

map< pair< string, string >, pair< string, string > >	swaptionIndexBases_

map< pair< string, string >, Handle< QuantLib::SwaptionVolatilityStructure > >	yieldVolCurves_

map< pair< string, string >, Handle< BlackVolTermStructure > >	fxVols_

map< pair< string, string >, Handle< QuantExt::CreditCurve > >	defaultCurves_

map< pair< string, string >, Handle< QuantExt::CreditVolCurve > >	cdsVols_

map< pair< string, string >, Handle< QuantExt::BaseCorrelationTermStructure > >	baseCorrelations_

map< pair< string, string >, Handle< Quote > >	recoveryRates_

map< pair< string, string >, Handle< OptionletVolatilityStructure > >	capFloorCurves_

map< pair< string, string >, std::pair< string, QuantLib::Period > >	capFloorIndexBase_

map< pair< string, string >, Handle< YoYOptionletVolatilitySurface > >	yoyCapFloorVolSurfaces_

map< pair< string, string >, Handle< ZeroInflationIndex > >	zeroInflationIndices_

map< pair< string, string >, Handle< YoYInflationIndex > >	yoyInflationIndices_

map< pair< string, string >, Handle< CPIVolatilitySurface > >	cpiInflationCapFloorVolatilitySurfaces_

map< pair< string, string >, Handle< Quote > >	equitySpots_

map< pair< string, string >, Handle< BlackVolTermStructure > >	equityVols_

map< pair< string, string >, Handle< Quote > >	securitySpreads_

map< pair< string, string >, Handle< QuantExt::InflationIndexObserver > >	baseCpis_

map< tuple< string, string, string >, Handle< QuantExt::CorrelationTermStructure > >	correlationCurves_

map< pair< string, string >, QuantLib::Handle< QuantExt::CommodityIndex > >	commodityIndices_

map< pair< string, string >, QuantLib::Handle< QuantLib::BlackVolTermStructure > >	commodityVols_

map< pair< string, string >, QuantLib::Handle< QuantExt::EquityIndex2 > >	equityCurves_

map< pair< string, string >, Handle< Quote > >	cprs_

map< string, std::set< QuantLib::ext::shared_ptr< TermStructure > > >	refreshTs_

	MarketImpl (const MarketImpl &)=delete

MarketImpl &	operator= (const MarketImpl &)=delete

void	refresh (const string &configuration=Market::defaultConfiguration) override
	Send an explicit update() call to all term structures. More...

virtual void	require (const MarketObject o, const string &name, const string &configuration, const bool forceBuild=false) const

void	addSwapIndex (const string &swapindex, const string &discountIndex, const string &configuration=Market::defaultConfiguration) const
	add a swap index to the market More...

pair< string, string >	swapIndexBases (const string &key, const string &configuration=Market::defaultConfiguration) const

Additional Inherited Members
Static Public Attributes inherited from Market
static const string	defaultConfiguration = "default"
	Default configuration label. More...

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

Protected Attributes inherited from Market
bool	handlePseudoCurrencies_ = false

Detailed Description

Market Implementation.

The MarketImpl class differs from the Market base class in that it contains concrete maps of term structures, and it implements the interface.

Definition at line 53 of file marketimpl.hpp.

Constructor & Destructor Documentation

◆ MarketImpl() [1/2]

MarketImpl ( const bool handlePseudoCurrencies )

explicit

Definition at line 55 of file marketimpl.hpp.

55: Market(handlePseudoCurrencies) {}

ore::data::Market::handlePseudoCurrencies

bool handlePseudoCurrencies() const

Definition: market.hpp:339

ore::data::Market::Market

Market(const bool handlePseudoCurrencies)

Constructor.

Definition: market.hpp:166

◆ MarketImpl() [2/2]

MarketImpl ( const MarketImpl & )

delete

Member Function Documentation

◆ asofDate()

Date asofDate ( ) const

overridevirtual

Get the asof Date.

Implements Market.

Definition at line 60 of file marketimpl.hpp.

60{ return asof_; }

ore::data::MarketImpl::asof_

Date asof_

Definition: marketimpl.hpp:204

◆ yieldCurve() [1/2]

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

overridevirtual

Yield Curves.

Implements Market.

Definition at line 74 of file marketimpl.cpp.

                                                                                     {
    // we allow for standard (i.e. not convention based) ibor index names as keys and return the index forward curve in
    // case of a match
    QuantLib::ext::shared_ptr<IborIndex> notUsed;
    if (tryParseIborIndex(key, notUsed)) {
        return iborIndex(key, configuration)->forwardingTermStructure();
    }
    // no ibor index found under key => look for a genuine yield curve
    DLOG("no ibor index found under '" << key << "' - look for a genuine yield curve");
    if (type == YieldCurveType::Discount)
        require(MarketObject::DiscountCurve, key, configuration);
    else if (type == YieldCurveType::Yield)
        require(MarketObject::YieldCurve, key, configuration);
    else if (type == YieldCurveType::EquityDividend)
        require(MarketObject::EquityCurve, key, configuration);
    else {
        QL_FAIL("yield curve type not handled");
    }
    return lookup<Handle<YieldTermStructure>>(yieldCurves_, key, type, configuration, "yield curve / ibor index");
}

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◆ discountCurveImpl()

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

overridevirtual

Implements Market.

Definition at line 96 of file marketimpl.cpp.

                                                                                                             {
    require(MarketObject::DiscountCurve, key, configuration);
    return lookup<Handle<YieldTermStructure>>(yieldCurves_, key, YieldCurveType::Discount, configuration,
                                              "discount curve");
}

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◆ yieldCurve() [2/2]

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

overridevirtual

Implements Market.

Definition at line 102 of file marketimpl.cpp.

                                                                                                      {
    require(MarketObject::YieldCurve, key, configuration);
    return yieldCurve(YieldCurveType::Yield, key, configuration);
}

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◆ iborIndex()

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

overridevirtual

Implements Market.

Definition at line 107 of file marketimpl.cpp.

                                                                                            {
    require(MarketObject::IndexCurve, key, configuration);
    return lookup<Handle<IborIndex>>(iborIndices_, key, configuration, "ibor index");
}

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◆ swapIndex()

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

overridevirtual

Implements Market.

Definition at line 112 of file marketimpl.cpp.

                                                                                            {
    require(MarketObject::SwapIndexCurve, key, configuration);
    return lookup<Handle<SwapIndex>>(swapIndices_, key, configuration, "swap index");
}

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◆ swaptionVol()

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

overridevirtual

Swaptions.

Implements Market.

Definition at line 117 of file marketimpl.cpp.

                                                                                                         {
    require(MarketObject::SwaptionVol, key, configuration);
    auto it = swaptionCurves_.find(make_pair(configuration, key));
    if (it != swaptionCurves_.end())
        return it->second;
    // try the default config with the same key
    if (configuration != Market::defaultConfiguration) {
        require(MarketObject::SwaptionVol, key, Market::defaultConfiguration);
        auto it2 = swaptionCurves_.find(make_pair(Market::defaultConfiguration, key));
        if (it2 != swaptionCurves_.end())
            return it2->second;
    }
    // if key is an index name and we have a swaption curve for its ccy, we return that
    QuantLib::ext::shared_ptr<IborIndex> index;
    if (!tryParseIborIndex(key, index)) {
        QL_FAIL("did not find swaption curve for key '" << key << "'");
    }
    auto ccy = index->currency().code();
    require(MarketObject::SwaptionVol, ccy, configuration);
    auto it3 = swaptionCurves_.find(make_pair(configuration, ccy));
    if (it3 != swaptionCurves_.end()) {
        return it3->second;
    }
    // check if we have a curve for the ccy in the default config
    if (configuration != Market::defaultConfiguration) {
        require(MarketObject::SwaptionVol, ccy, configuration);
        auto it4 = swaptionCurves_.find(make_pair(Market::defaultConfiguration, ccy));
        if (it4 != swaptionCurves_.end())
            return it4->second;
    }
    QL_FAIL("did not find swaption curve for key '" << key << "'");
}

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◆ shortSwapIndexBase()

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

overridevirtual

Implements Market.

Definition at line 184 of file marketimpl.cpp.

                                                                                          {
    return swapIndexBases(key, configuration).first;
}

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◆ swapIndexBase()

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

overridevirtual

Implements Market.

Definition at line 188 of file marketimpl.cpp.

                                                                                     {
    return swapIndexBases(key, configuration).second;
}

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◆ yieldVol()

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

overridevirtual

Yield volatility.

Implements Market.

Definition at line 192 of file marketimpl.cpp.

                                                                                                      {
    require(MarketObject::YieldVol, key, configuration);
    return lookup<Handle<QuantLib::SwaptionVolatilityStructure>>(yieldVolCurves_, key, configuration,
                                                                 "yield volatility curve");
}

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◆ fxIndexImpl()

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

overridevirtual

FX.

Implements Market.

Definition at line 199 of file marketimpl.cpp.

                                                                                                        {
    QL_REQUIRE(fx_ != nullptr,
               "MarketImpl::fxIndex(" << fxIndex << "): fx_ is null. This is an internal error. Contact dev.");
    return fx_->getIndex(fxIndex, this, configuration);
}

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◆ fxRateImpl()

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

overridevirtual

Implements Market.

Definition at line 205 of file marketimpl.cpp.

                                                                                             {
    // if rate requested for a currency against itself, return 1.0
    if (ccypair.substr(0,3) == ccypair.substr(3))
        return Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(1.0));
    return fxIndex(ccypair, configuration)->fxQuote();
}

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◆ fxSpotImpl()

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

overridevirtual

Implements Market.

Definition at line 212 of file marketimpl.cpp.

                                                                                             {
    if (ccypair.substr(0, 3) == ccypair.substr(3))
        return Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(1.0));
    return fxIndex(ccypair, configuration)->fxQuote(true);
}

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◆ fxVolImpl()

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

overridevirtual

Implements Market.

Definition at line 218 of file marketimpl.cpp.

                                                                                                            {
    require(MarketObject::FXVol, ccypair, configuration);
    auto it = fxVols_.find(make_pair(configuration, ccypair));
    if (it != fxVols_.end())
        return it->second;
    else {
        // check for reverse EURUSD or USDEUR and add to the map
        QL_REQUIRE(ccypair.length() == 6, "invalid ccy pair length");
        std::string ccypairInverted = ccypair.substr(3, 3) + ccypair.substr(0, 3);
        require(MarketObject::FXVol, ccypairInverted, configuration);
        it = fxVols_.find(make_pair(configuration, ccypairInverted));
        if (it != fxVols_.end()) {
            Handle<BlackVolTermStructure> h(QuantLib::ext::make_shared<QuantExt::BlackInvertedVolTermStructure>(it->second));
            h->enableExtrapolation();
            // we have found a surface for the inverted pair.
            // so we can invert the surface and store that under the original pair.
            fxVols_[make_pair(configuration, ccypair)] = h;
            return h;
        } else {
            if (configuration == Market::defaultConfiguration)
                QL_FAIL("did not find fx vol object " << ccypair);
            else
                return fxVol(ccypair, Market::defaultConfiguration);
        }
    }
}

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◆ defaultCurve()

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

overridevirtual

Default Curves and Recovery Rates.

Implements Market.

Definition at line 245 of file marketimpl.cpp.

                                                                                                         {
    require(MarketObject::DefaultCurve, key, configuration);
    return lookup<Handle<QuantExt::CreditCurve>>(defaultCurves_, key, configuration, "default curve");
}

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◆ recoveryRate()

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

overridevirtual

Implements Market.

Definition at line 250 of file marketimpl.cpp.

                                                                                           {
    // recovery rates can be built together with default curve or securities
    require(MarketObject::DefaultCurve, key, configuration);
    require(MarketObject::Security, key, configuration);
    return lookup<Handle<Quote>>(recoveryRates_, key, configuration, "recovery rate");
}

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◆ cdsVol()

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

overridevirtual

CDS volatilities.

Implements Market.

Definition at line 257 of file marketimpl.cpp.

                                                                                                      {
    require(MarketObject::CDSVol, key, configuration);
    return lookup<Handle<QuantExt::CreditVolCurve>>(cdsVols_, key, configuration, "cds vol curve");
}

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◆ baseCorrelation()

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

overridevirtual

Base correlation structures.

Implements Market.

Definition at line 263 of file marketimpl.cpp.

                                                                                {
    require(MarketObject::BaseCorrelation, key, configuration);
    return lookup<Handle<QuantExt::BaseCorrelationTermStructure>>(baseCorrelations_, key, configuration,
                                                                               "base correlation curve");
}

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◆ capFloorVol()

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

overridevirtual

CapFloor volatilities.

Implements Market.

Definition at line 269 of file marketimpl.cpp.

                                                                                                                 {
    require(MarketObject::CapFloorVol, key, configuration);
    auto it = capFloorCurves_.find(make_pair(configuration, key));
    if (it != capFloorCurves_.end())
        return it->second;
    // first try the default config with the same key
    if (configuration != Market::defaultConfiguration) {
        require(MarketObject::CapFloorVol, key, Market::defaultConfiguration);
        auto it2 = capFloorCurves_.find(make_pair(Market::defaultConfiguration, key));
        if (it2 != capFloorCurves_.end())
            return it2->second;
    }
    // if key is an index name and we have a cap floor surface for its ccy, we return that
    QuantLib::ext::shared_ptr<IborIndex> index;
    if (!tryParseIborIndex(key, index)) {
        QL_FAIL("did not find capfloor curve for key '" << key << "'");
    }
    auto ccy = index->currency().code();
    require(MarketObject::CapFloorVol, ccy, configuration);
    auto it3 = capFloorCurves_.find(make_pair(configuration, ccy));
    if (it3 != capFloorCurves_.end()) {
        return it3->second;
    }
    // check if we have a curve for the ccy in the default config
    if (configuration != Market::defaultConfiguration) {
    require(MarketObject::CapFloorVol, ccy, configuration);
        auto it4 = capFloorCurves_.find(make_pair(Market::defaultConfiguration, ccy));
        if (it4 != capFloorCurves_.end())
            return it4->second;
    }
    QL_FAIL("did not find capfloor curve for key '" << key << "'");
}

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◆ capFloorVolIndexBase()

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

overridevirtual

Implements Market.

Definition at line 302 of file marketimpl.cpp.

                                                                                                        {
    require(MarketObject::CapFloorVol, key, configuration);
    auto it = capFloorIndexBase_.find(make_pair(configuration, key));
    if (it != capFloorIndexBase_.end())
        return it->second;
    // first try the default config with the same key
    if (configuration != Market::defaultConfiguration) {
        require(MarketObject::CapFloorVol, key, Market::defaultConfiguration);
        auto it2 = capFloorIndexBase_.find(make_pair(Market::defaultConfiguration, key));
        if (it2 != capFloorIndexBase_.end())
            return it2->second;
    }
    // if key is an index name and we have a cap floor surface for its ccy, we return that
    QuantLib::ext::shared_ptr<IborIndex> index;
    if (!tryParseIborIndex(key, index)) {
        return std::make_pair(string(),0*Days);
    }
    auto ccy = index->currency().code();
    require(MarketObject::CapFloorVol, ccy, configuration);
    auto it3 = capFloorIndexBase_.find(make_pair(configuration, ccy));
    if (it3 != capFloorIndexBase_.end()) {
        return it3->second;
    }
    // check if we have a curve for the ccy in the default config
    if (configuration != Market::defaultConfiguration) {
        require(MarketObject::CapFloorVol, ccy, configuration);
        auto it4 = capFloorIndexBase_.find(make_pair(Market::defaultConfiguration, ccy));
        if (it4 != capFloorIndexBase_.end())
            return it4->second;
    }
    return std::make_pair(string(), 0 * Days);
}

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◆ yoyCapFloorVol()

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

overridevirtual

YoY Inflation CapFloor volatilities.

Implements Market.

Definition at line 336 of file marketimpl.cpp.

                                                                                                                     {
    require(MarketObject::YoYInflationCapFloorVol, key, configuration);
    return lookup<Handle<YoYOptionletVolatilitySurface>>(yoyCapFloorVolSurfaces_, key, configuration,
                                                         "yoy inflation capfloor curve");
}

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◆ zeroInflationIndex()

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

overridevirtual

Inflation Indexes.

Implements Market.

Definition at line 342 of file marketimpl.cpp.

                                                                                                                    {
    require(MarketObject::ZeroInflationCurve, indexName, configuration);
    return lookup<Handle<ZeroInflationIndex>>(zeroInflationIndices_, indexName, configuration, "zero inflation index");
}

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◆ yoyInflationIndex()

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

overridevirtual

Implements Market.

Definition at line 347 of file marketimpl.cpp.

                                                                                                                  {
    require(MarketObject::YoYInflationCurve, indexName, configuration);
    return lookup<Handle<YoYInflationIndex>>(yoyInflationIndices_, indexName, configuration, "yoy inflation index");
}

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◆ cpiInflationCapFloorVolatilitySurface()

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

overridevirtual

Inflation Cap Floor Volatility Surfaces.

Implements Market.

Definition at line 352 of file marketimpl.cpp.

                                                                                                                  {
    require(MarketObject::ZeroInflationCapFloorVol, indexName, configuration);
    return lookup<Handle<CPIVolatilitySurface>>(cpiInflationCapFloorVolatilitySurfaces_, indexName, configuration,
                                                "cpi cap floor volatility surface");
}

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◆ equitySpot()

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

overridevirtual

Equity curves.

Implements Market.

Definition at line 359 of file marketimpl.cpp.

                                                                                         {
    require(MarketObject::EquityCurve, key, configuration);
    return lookup<Handle<Quote>>(equitySpots_, key, configuration, "equity spot");
}

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◆ equityCurve()

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

overridevirtual

Implements Market.

Definition at line 364 of file marketimpl.cpp.

                                                                                                         {
    require(MarketObject::EquityCurve, key, configuration);
    return lookup<Handle<QuantExt::EquityIndex2>>(equityCurves_, key, configuration, "equity curve");
};

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◆ equityDividendCurve()

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

overridevirtual

Implements Market.

Definition at line 369 of file marketimpl.cpp.

                                                                                                               {
    require(MarketObject::EquityCurve, key, configuration);
    return lookup<Handle<YieldTermStructure>>(yieldCurves_, key, YieldCurveType::EquityDividend, configuration,
                                              "dividend yield curve");
}

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◆ equityVol()

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

overridevirtual

Equity volatilities.

Implements Market.

Definition at line 375 of file marketimpl.cpp.

                                                                                                        {
    require(MarketObject::EquityVol, key, configuration);
    return lookup<Handle<BlackVolTermStructure>>(equityVols_, key, configuration, "equity vol curve");
}

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◆ equityForecastCurve()

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

overridevirtual

Equity forecasting curves.

Implements Market.

Definition at line 380 of file marketimpl.cpp.

                                                                                                                  {
    require(MarketObject::EquityCurve, eqName, configuration);
    return equityCurve(eqName, configuration)->equityForecastCurve();
}

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◆ securitySpread()

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

overridevirtual

Bond Spreads.

Implements Market.

Definition at line 385 of file marketimpl.cpp.

                                                                                             {
    require(MarketObject::Security, key, configuration);
    return lookup<Handle<Quote>>(securitySpreads_, key, configuration, "security spread");
}

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◆ baseCpis()

Handle< QuantExt::InflationIndexObserver > baseCpis	(	const string &	index,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

Cpi Base Quotes.

Definition at line 390 of file marketimpl.cpp.

                                                                                                                {
    require(MarketObject::ZeroInflationCurve, key, configuration);
    return lookup<Handle<QuantExt::InflationIndexObserver>>(baseCpis_, key, configuration, "base CPI");
}

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◆ commodityPriceCurve()

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

overridevirtual

Commodity curves.

Implements Market.

Definition at line 395 of file marketimpl.cpp.

                                                                                              {
    return commodityIndex(commodityName, configuration)->priceCurve();
}

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◆ commodityIndex()

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

overridevirtual

Commodity index.

Implements Market.

Definition at line 400 of file marketimpl.cpp.

                                                                                                                {
    require(MarketObject::CommodityCurve, commodityName, configuration);
    return lookup<Handle<CommodityIndex>>(commodityIndices_, commodityName, configuration, "commodity indices");
}

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◆ commodityVolatility()

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

overridevirtual

Commodity volatility.

Implements Market.

Definition at line 405 of file marketimpl.cpp.

                                                                                                 {
    require(MarketObject::CommodityVolatility, commodityName, configuration);
    return lookup<Handle<BlackVolTermStructure>>(commodityVols_, commodityName, configuration, "commodity volatility");
}

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◆ correlationCurve()

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

overridevirtual

Correlation curves.

Implements Market.

Definition at line 411 of file marketimpl.cpp.

                                                                                                           {
    // straight pair
    require(MarketObject::Correlation, index1 + "&" + index2, configuration);
    auto it = correlationCurves_.find(make_tuple(configuration, index1, index2));
    if (it != correlationCurves_.end())
        return it->second;
    // inverse pair
    require(MarketObject::Correlation, index2 + "&" + index1, configuration);
    it = correlationCurves_.find(make_tuple(configuration, index2, index1));
    if (it != correlationCurves_.end())
        return it->second;
    // inverse fx index1
    if (isFxIndex(index1)) {
        require(MarketObject::Correlation, inverseFxIndex(index1) + "&" + index2, configuration);
        it = correlationCurves_.find(make_tuple(configuration, inverseFxIndex(index1), index2));
        if (it != correlationCurves_.end())
            return Handle<QuantExt::CorrelationTermStructure>(
                QuantLib::ext::make_shared<QuantExt::NegativeCorrelationTermStructure>(it->second));
        require(MarketObject::Correlation, index2 + "&" + inverseFxIndex(index1), configuration);
        it = correlationCurves_.find(make_tuple(configuration, index2, inverseFxIndex(index1)));
        if (it != correlationCurves_.end())
            return Handle<QuantExt::CorrelationTermStructure>(
                QuantLib::ext::make_shared<QuantExt::NegativeCorrelationTermStructure>(it->second));
    }
    // inverse fx index2
    if (isFxIndex(index2)) {
        require(MarketObject::Correlation, index1 + "&" + inverseFxIndex(index2), configuration);
        it = correlationCurves_.find(make_tuple(configuration, index1, inverseFxIndex(index2)));
        if (it != correlationCurves_.end())
            return Handle<QuantExt::CorrelationTermStructure>(
                QuantLib::ext::make_shared<QuantExt::NegativeCorrelationTermStructure>(it->second));
        require(MarketObject::Correlation, inverseFxIndex(index2) + "&" + index1, configuration);
        it = correlationCurves_.find(make_tuple(configuration, inverseFxIndex(index2), index1));
        if (it != correlationCurves_.end())
            return Handle<QuantExt::CorrelationTermStructure>(
                QuantLib::ext::make_shared<QuantExt::NegativeCorrelationTermStructure>(it->second));
    }
    // both fx indices inverted
    if (isFxIndex(index1) && isFxIndex(index2)) {
        require(MarketObject::Correlation, inverseFxIndex(index1) + "&" + inverseFxIndex(index2), configuration);
        it = correlationCurves_.find(make_tuple(configuration, inverseFxIndex(index1), inverseFxIndex(index2)));
        if (it != correlationCurves_.end())
            return it->second;
        require(MarketObject::Correlation, inverseFxIndex(index2) + "&" + inverseFxIndex(index1), configuration);
        it = correlationCurves_.find(make_tuple(configuration, inverseFxIndex(index2), inverseFxIndex(index1)));
        if (it != correlationCurves_.end())
            return it->second;
    }
    // if not found, fall back to default configuration
    if (configuration == Market::defaultConfiguration) {
        QL_FAIL("did not find object " << index1 << "/" << index2 << " in CorrelationCurves");
    } else {
        return correlationCurve(index1, index2, Market::defaultConfiguration);
    }
}

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◆ cpr()

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

overridevirtual

Implements Market.

Definition at line 468 of file marketimpl.cpp.

                                                                                         {
    require(MarketObject::Security, securityID, configuration);
    return lookup<Handle<Quote>>(cprs_, securityID, configuration, "cpr");
}

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◆ operator=()

MarketImpl & operator= ( const MarketImpl & )

delete

◆ refresh()

void refresh ( const string & configuration = Market::defaultConfiguration )

overridevirtual

Send an explicit update() call to all term structures.

Reimplemented from Market.

Definition at line 513 of file marketimpl.cpp.

                                                    {
 
    auto it = refreshTs_.find(configuration);
    if (it == refreshTs_.end()) {
        it = refreshTs_.insert(make_pair(configuration, std::set<QuantLib::ext::shared_ptr<TermStructure>>())).first;
    }
 
    if (it->second.empty()) {
        for (auto& x : yieldCurves_) {
            if (get<0>(x.first) == configuration || get<0>(x.first) == Market::defaultConfiguration)
                it->second.insert(*x.second);
        }
        for (auto& x : iborIndices_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration) {
                Handle<YieldTermStructure> y = x.second->forwardingTermStructure();
                if (!y.empty())
                    it->second.insert(*y);
            }
        }
        for (auto& x : swapIndices_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration) {
                Handle<YieldTermStructure> y = x.second->forwardingTermStructure();
                if (!y.empty())
                    it->second.insert(*y);
                y = x.second->discountingTermStructure();
                if (!y.empty())
                    it->second.insert(*y);
            }
        }
        for (auto& x : swaptionCurves_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration)
                it->second.insert(*x.second);
        }
        for (auto& x : capFloorCurves_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration)
                it->second.insert(*x.second);
        }
        for (auto& x : yoyCapFloorVolSurfaces_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration)
                it->second.insert(*x.second);
        }
        for (auto& x : fxVols_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration)
                it->second.insert(*x.second);
        }
        for (auto& x : defaultCurves_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration)
                it->second.insert(*x.second->curve());
        }
        for (auto& x : cdsVols_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration)
                it->second.insert(*x.second);
        }
        for (auto& x : baseCorrelations_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration)
                it->second.insert(*x.second);
        }
        for (auto& x : zeroInflationIndices_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration) {
                it->second.insert(*x.second->zeroInflationTermStructure());
            }
        }
        for (auto& x : yoyInflationIndices_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration) {
                it->second.insert(*x.second->yoyInflationTermStructure());
            }
        }
        for (auto& x : cpiInflationCapFloorVolatilitySurfaces_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration)
                it->second.insert(*x.second);
        }
        for (auto& x : yoyCapFloorVolSurfaces_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration)
                it->second.insert(*x.second);
        }
        for (auto& x : equityVols_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration)
                it->second.insert(*x.second);
        }
        for (auto& x : equityCurves_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration) {
                Handle<YieldTermStructure> y = x.second->equityForecastCurve();
                if (!y.empty())
                    it->second.insert(*y);
                y = x.second->equityDividendCurve();
                if (!y.empty())
                    it->second.insert(*y);
            }
        }
        for (auto& x : commodityIndices_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration) {
                const auto& pts = x.second->priceCurve();
                if (!pts.empty())
                    it->second.insert(*pts);
            }
        }
        for (auto& x : commodityVols_) {
            if (x.first.first == configuration || x.first.first == Market::defaultConfiguration)
                it->second.insert(*x.second);
        }
 
        for (auto& x : correlationCurves_) {
            if (get<0>(x.first) == configuration || get<0>(x.first) == Market::defaultConfiguration)
                it->second.insert(*x.second);
        }
    }
 
    // term structures might be wrappers around nested termstructures that need to be updated as well,
    // therefore we need to call deepUpdate() (=update() if no such nesting is present)
    for (auto& x : it->second)
        x->deepUpdate();
 
} // refresh

◆ require()

virtual void require	(	const MarketObject	o,
		const string &	name,
		const string &	configuration,
		const bool	forceBuild = `false`
	)		const

protectedvirtual

Require a market object, this can be used in derived classes to build objects lazily. If the method is not overwritten in a derived class, it is assumed that the class builds all market object upfront.

For FXVols and Correlations the require is not 'hard', e.g. both EURUSD and USDEUR might be required for FXVols, but only one of them is expected to be actually built (the other one is then constructed on the fly from the first one). Therefore no error should be thrown in the implementation of require(), if an object is ultimately not found, an appropriate error will be thrown from this class.

An object is required for a single configuration. If it can't be built for this configuration, it should be tried to be built for the "default" configuration instead, because this is used as a fallback.

Notice that correlation curves are required with '&' as a delimiter between the indexes.

Reimplemented in TodaysMarket.

Definition at line 201 of file marketimpl.hpp.

202 {}

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◆ addSwapIndex()

void addSwapIndex	(	const string &	swapindex,
		const string &	discountIndex,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

protected

add a swap index to the market

Definition at line 473 of file marketimpl.cpp.

                                                                                                                     {
    if (swapIndices_.find(make_pair(configuration, swapIndex)) != swapIndices_.end())
        return;
    try {
        std::vector<string> tokens;
        split(tokens, swapIndex, boost::is_any_of("-"));
        QL_REQUIRE(tokens.size() == 3 || tokens.size() == 4,
                   "three or four tokens required in " << swapIndex << ": CCY-CMS-TENOR or CCY-CMS-TAG-TENOR");
        QL_REQUIRE(tokens[0].size() == 3, "invalid currency code in " << swapIndex);
        QL_REQUIRE(tokens[1] == "CMS", "expected CMS as second token in " << swapIndex);
 
        Handle<YieldTermStructure> discounting, forwarding;
        QuantLib::ext::shared_ptr<IborIndex> dummeyIndex;
        if (tryParseIborIndex(discountIndex, dummeyIndex))
            discounting = iborIndex(discountIndex, configuration)->forwardingTermStructure();
        else
            discounting = yieldCurve(discountIndex, configuration);
 
        const QuantLib::ext::shared_ptr<Conventions>& conventions = InstrumentConventions::instance().conventions();
        auto swapCon = QuantLib::ext::dynamic_pointer_cast<data::SwapIndexConvention>(conventions->get(swapIndex));
        QL_REQUIRE(swapCon, "expected SwapIndexConvention for " << swapIndex);
        auto conIbor = QuantLib::ext::dynamic_pointer_cast<data::IRSwapConvention>(conventions->get(swapCon->conventions()));
        auto conOisComp = QuantLib::ext::dynamic_pointer_cast<data::OisConvention>(conventions->get(swapCon->conventions()));
        auto conOisAvg = QuantLib::ext::dynamic_pointer_cast<data::AverageOisConvention>(conventions->get(swapCon->conventions()));
        QL_REQUIRE(conIbor || conOisComp || conOisAvg,
                   "expected IRSwapConvention, OisConvention, AverageOisConvention for " << swapCon->conventions());
 
        string fi = conIbor ? conIbor->indexName() : (conOisComp ? conOisComp->indexName() : conOisAvg->indexName());
        if (isGenericIborIndex(fi))
            forwarding = discounting;
        else
            forwarding = iborIndex(fi, configuration)->forwardingTermStructure();
 
        QuantLib::ext::shared_ptr<SwapIndex> si = data::parseSwapIndex(swapIndex, forwarding, discounting);
        swapIndices_[make_pair(configuration, swapIndex)] = Handle<SwapIndex>(si);
    } catch (std::exception& e) {
        QL_FAIL("Failure in MarketImpl::addSwapIndex() with index " << swapIndex << " : " << e.what());
    }
}

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◆ swapIndexBases()

pair< string, string > swapIndexBases	(	const string &	key,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

private

Definition at line 151 of file marketimpl.cpp.

                                                                                                    {
    require(MarketObject::SwaptionVol, key, configuration);
    auto it = swaptionIndexBases_.find(make_pair(configuration, key));
    if (it != swaptionIndexBases_.end())
        return it->second;
    // try the default config with the same key
    if (configuration != Market::defaultConfiguration) {
        require(MarketObject::SwaptionVol, key, Market::defaultConfiguration);
        auto it2 = swaptionIndexBases_.find(make_pair(Market::defaultConfiguration, key));
        if (it2 != swaptionIndexBases_.end())
            return it2->second;
    }
    // if key is an index name and we have a swaption curve for its ccy, we return that
    QuantLib::ext::shared_ptr<IborIndex> index;
    if (!tryParseIborIndex(key, index)) {
        QL_FAIL("did not find swaption index bases for key '" << key << "'");
    }
    auto ccy = index->currency().code();
    require(MarketObject::SwaptionVol, ccy, configuration);
    auto it3 = swaptionIndexBases_.find(make_pair(configuration, ccy));
    if (it3 != swaptionIndexBases_.end()) {
        return it3->second;
    }
    // check if we have a curve for the ccy in the default config
    if (configuration != Market::defaultConfiguration) {
        require(MarketObject::SwaptionVol, ccy, configuration);
        auto it4 = swaptionIndexBases_.find(make_pair(Market::defaultConfiguration, ccy));
        if (it4 != swaptionIndexBases_.end())
            return it4->second;
    }
    QL_FAIL("did not find swaption index bases for key '" << key << "'");
}

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Member Data Documentation

◆ asof_

Date asof_

protected

Definition at line 204 of file marketimpl.hpp.

◆ fx_

QuantLib::ext::shared_ptr<FXTriangulation> fx_

protected

Definition at line 206 of file marketimpl.hpp.

◆ yieldCurves_

map<tuple<string, YieldCurveType, string>, Handle<YieldTermStructure> > yieldCurves_

mutableprotected

Definition at line 208 of file marketimpl.hpp.

◆ iborIndices_

map<pair<string, string>, Handle<IborIndex> > iborIndices_

mutableprotected

Definition at line 209 of file marketimpl.hpp.

◆ swapIndices_

map<pair<string, string>, Handle<SwapIndex> > swapIndices_

mutableprotected

Definition at line 210 of file marketimpl.hpp.

◆ swaptionCurves_

map<pair<string, string>, Handle<QuantLib::SwaptionVolatilityStructure> > swaptionCurves_

mutableprotected

Definition at line 211 of file marketimpl.hpp.

◆ swaptionIndexBases_

map<pair<string, string>, pair<string, string> > swaptionIndexBases_

mutableprotected

Definition at line 212 of file marketimpl.hpp.

◆ yieldVolCurves_

map<pair<string, string>, Handle<QuantLib::SwaptionVolatilityStructure> > yieldVolCurves_

mutableprotected

Definition at line 213 of file marketimpl.hpp.

◆ fxVols_

map<pair<string, string>, Handle<BlackVolTermStructure> > fxVols_

mutableprotected

Definition at line 214 of file marketimpl.hpp.

◆ defaultCurves_

map<pair<string, string>, Handle<QuantExt::CreditCurve> > defaultCurves_

mutableprotected

Definition at line 215 of file marketimpl.hpp.

◆ cdsVols_

map<pair<string, string>, Handle<QuantExt::CreditVolCurve> > cdsVols_

mutableprotected

Definition at line 216 of file marketimpl.hpp.

◆ baseCorrelations_

map<pair<string, string>, Handle<QuantExt::BaseCorrelationTermStructure> > baseCorrelations_

mutableprotected

Definition at line 217 of file marketimpl.hpp.

◆ recoveryRates_

map<pair<string, string>, Handle<Quote> > recoveryRates_

mutableprotected

Definition at line 218 of file marketimpl.hpp.

◆ capFloorCurves_

map<pair<string, string>, Handle<OptionletVolatilityStructure> > capFloorCurves_

mutableprotected

Definition at line 219 of file marketimpl.hpp.

◆ capFloorIndexBase_

map<pair<string, string>, std::pair<string, QuantLib::Period> > capFloorIndexBase_

mutableprotected

Definition at line 220 of file marketimpl.hpp.

◆ yoyCapFloorVolSurfaces_

map<pair<string, string>, Handle<YoYOptionletVolatilitySurface> > yoyCapFloorVolSurfaces_

mutableprotected

Definition at line 221 of file marketimpl.hpp.

◆ zeroInflationIndices_

map<pair<string, string>, Handle<ZeroInflationIndex> > zeroInflationIndices_

mutableprotected

Definition at line 222 of file marketimpl.hpp.

◆ yoyInflationIndices_

map<pair<string, string>, Handle<YoYInflationIndex> > yoyInflationIndices_

mutableprotected

Definition at line 223 of file marketimpl.hpp.

◆ cpiInflationCapFloorVolatilitySurfaces_

map<pair<string, string>, Handle<CPIVolatilitySurface> > cpiInflationCapFloorVolatilitySurfaces_

mutableprotected

Definition at line 224 of file marketimpl.hpp.

◆ equitySpots_

map<pair<string, string>, Handle<Quote> > equitySpots_

mutableprotected

Definition at line 225 of file marketimpl.hpp.

◆ equityVols_

map<pair<string, string>, Handle<BlackVolTermStructure> > equityVols_

mutableprotected

Definition at line 226 of file marketimpl.hpp.

◆ securitySpreads_

map<pair<string, string>, Handle<Quote> > securitySpreads_

mutableprotected

Definition at line 227 of file marketimpl.hpp.

◆ baseCpis_

map<pair<string, string>, Handle<QuantExt::InflationIndexObserver> > baseCpis_

mutableprotected

Definition at line 228 of file marketimpl.hpp.

◆ correlationCurves_

map<tuple<string, string, string>, Handle<QuantExt::CorrelationTermStructure> > correlationCurves_

mutableprotected

Definition at line 229 of file marketimpl.hpp.

◆ commodityIndices_

map<pair<string, string>, QuantLib::Handle<QuantExt::CommodityIndex> > commodityIndices_

mutableprotected

Definition at line 230 of file marketimpl.hpp.

◆ commodityVols_

map<pair<string, string>, QuantLib::Handle<QuantLib::BlackVolTermStructure> > commodityVols_

mutableprotected

Definition at line 231 of file marketimpl.hpp.

◆ equityCurves_

map<pair<string, string>, QuantLib::Handle<QuantExt::EquityIndex2> > equityCurves_

mutableprotected

Definition at line 232 of file marketimpl.hpp.

◆ cprs_

map<pair<string, string>, Handle<Quote> > cprs_

mutableprotected

Definition at line 233 of file marketimpl.hpp.

◆ refreshTs_

map<string, std::set<QuantLib::ext::shared_ptr<TermStructure> > > refreshTs_

protected

Definition at line 240 of file marketimpl.hpp.

Public Member Functions

Disable copying

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ MarketImpl() [1/2]

◆ MarketImpl() [2/2]

Member Function Documentation

◆ asofDate()

◆ yieldCurve() [1/2]

◆ discountCurveImpl()

◆ yieldCurve() [2/2]

◆ iborIndex()

◆ swapIndex()

◆ swaptionVol()

◆ shortSwapIndexBase()

◆ swapIndexBase()

◆ yieldVol()

◆ fxIndexImpl()

◆ fxRateImpl()

◆ fxSpotImpl()

◆ fxVolImpl()

◆ defaultCurve()

◆ recoveryRate()

◆ cdsVol()

◆ baseCorrelation()

◆ capFloorVol()

◆ capFloorVolIndexBase()

◆ yoyCapFloorVol()

◆ zeroInflationIndex()

◆ yoyInflationIndex()

◆ cpiInflationCapFloorVolatilitySurface()

◆ equitySpot()

◆ equityCurve()

◆ equityDividendCurve()

◆ equityVol()

◆ equityForecastCurve()

◆ securitySpread()

◆ baseCpis()

◆ commodityPriceCurve()

◆ commodityIndex()

◆ commodityVolatility()

◆ correlationCurve()

◆ cpr()

◆ operator=()

◆ refresh()

◆ require()

◆ addSwapIndex()

◆ swapIndexBases()

Member Data Documentation

◆ asof_

◆ fx_

◆ yieldCurves_

◆ iborIndices_

◆ swapIndices_

◆ swaptionCurves_

◆ swaptionIndexBases_

◆ yieldVolCurves_

◆ fxVols_

◆ defaultCurves_

◆ cdsVols_

◆ baseCorrelations_

◆ recoveryRates_

◆ capFloorCurves_

◆ capFloorIndexBase_

◆ yoyCapFloorVolSurfaces_

◆ zeroInflationIndices_

◆ yoyInflationIndices_

◆ cpiInflationCapFloorVolatilitySurfaces_

◆ equitySpots_

◆ equityVols_

◆ securitySpreads_

◆ baseCpis_

◆ correlationCurves_

◆ commodityIndices_

◆ commodityVols_

◆ equityCurves_

◆ cprs_

◆ refreshTs_