MoneyMarketQuote Class Reference

Money market data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for MoneyMarketQuote:

Collaboration diagram for MoneyMarketQuote:

Public Member Functions
	MoneyMarketQuote ()
	MoneyMarketQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, string ccy, Period fwdStart, Period term, const std::string &indexName="")
	Constructor. More...
QuantLib::ext::shared_ptr< MarketDatum >	clone () override
	Make a copy of the datum. More...
Public Member Functions inherited from MarketDatum
	MarketDatum ()
	MarketDatum (Real value, Date asofDate, const string &name, QuoteType quoteType, InstrumentType instrumentType)
	Constructor. More...
virtual	~MarketDatum ()
	Default destructor. More...
virtual QuantLib::ext::shared_ptr< MarketDatum >	clone ()
	Make a copy of the market datum. More...
const string &	name () const
const Handle< Quote > &	quote () const
Date	asofDate () const
InstrumentType	instrumentType () const
QuoteType	quoteType () const

Inspectors
string	ccy_
Period	fwdStart_
Period	term_
std::string	indexName_
class	boost::serialization::access
	Serialization. More...
const string &	ccy () const
const Period &	fwdStart () const
const Period &	term () const
const std::string &	indexName () const
	Empty if the index name is not provided. More...
template<class Archive >
void	serialize (Archive &ar, const unsigned int version)

Additional Inherited Members
Public Types inherited from MarketDatum
enum class	InstrumentType {   ZERO , DISCOUNT , MM , MM_FUTURE ,   OI_FUTURE , FRA , IMM_FRA , IR_SWAP ,   BASIS_SWAP , BMA_SWAP , CC_BASIS_SWAP , CC_FIX_FLOAT_SWAP ,   CDS , CDS_INDEX , FX_SPOT , FX_FWD ,   HAZARD_RATE , RECOVERY_RATE , SWAPTION , CAPFLOOR ,   FX_OPTION , ZC_INFLATIONSWAP , ZC_INFLATIONCAPFLOOR , YY_INFLATIONSWAP ,   YY_INFLATIONCAPFLOOR , SEASONALITY , EQUITY_SPOT , EQUITY_FWD ,   EQUITY_DIVIDEND , EQUITY_OPTION , BOND , BOND_OPTION ,   INDEX_CDS_OPTION , COMMODITY_SPOT , COMMODITY_FWD , CORRELATION ,   COMMODITY_OPTION , CPR , RATING , NONE }
	Supported market instrument types. More...
enum class	QuoteType {   BASIS_SPREAD , CREDIT_SPREAD , CONV_CREDIT_SPREAD , YIELD_SPREAD ,   HAZARD_RATE , RATE , RATIO , PRICE ,   RATE_LNVOL , RATE_NVOL , RATE_SLNVOL , BASE_CORRELATION ,   SHIFT , TRANSITION_PROBABILITY , NONE }
	Supported market quote types. More...
Protected Attributes inherited from MarketDatum
Handle< Quote >	quote_
Date	asofDate_
string	name_
InstrumentType	instrumentType_
QuoteType	quoteType_

Detailed Description

Money market data class.

This class holds single market points of type

• MM

Specific data comprise currency, fwdStart, term

Definition at line 198 of file marketdatum.hpp.

Constructor & Destructor Documentation

MoneyMarketQuote() [1/2]

MoneyMarketQuote

(

)

Definition at line 200 of file marketdatum.hpp.

{}

MoneyMarketQuote() [2/2]

MoneyMarketQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		string	ccy,
		Period	fwdStart,
		Period	term,
		const std::string &	indexName = ""
	)

Constructor.

Definition at line 202 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, InstrumentType::MM), ccy_(ccy), fwdStart_(fwdStart),
          term_(term), indexName_(indexName) {}

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the datum.

Reimplemented from MarketDatum.

Definition at line 208 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<MoneyMarketQuote>(quote_->value(), asofDate_, name_, quoteType_, ccy_, fwdStart_, term_, indexName_);
    }

ccy()

const string & ccy

(

)

const

Definition at line 214 of file marketdatum.hpp.

{ return ccy_; }

fwdStart()

const Period & fwdStart

(

)

const

Definition at line 215 of file marketdatum.hpp.

{ return fwdStart_; }

term()

const Period & term

(

)

const

Definition at line 216 of file marketdatum.hpp.

{ return term_; }

indexName()

const std::string & indexName

(

)

const

Empty if the index name is not provided.

Definition at line 218 of file marketdatum.hpp.

{ return indexName_; }

serialize()

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

private

Definition at line 330 of file marketdatum.cpp.

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

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 226 of file marketdatum.hpp.

Member Data Documentation

ccy_

string ccy_

private

Definition at line 221 of file marketdatum.hpp.

fwdStart_

Period fwdStart_

private

Definition at line 222 of file marketdatum.hpp.

term_

Period term_

private

Definition at line 223 of file marketdatum.hpp.

indexName_

std::string indexName_

private

Definition at line 224 of file marketdatum.hpp.