OIFutureQuote Class Reference

Overnight index future data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for OIFutureQuote:

Collaboration diagram for OIFutureQuote:

Public Member Functions
	OIFutureQuote ()
	OIFutureQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, string ccy, string expiry, string contract="", Period tenor=3 *Months)
	Constructor. More...
QuantLib::ext::shared_ptr< MarketDatum >	clone () override
	Make a copy of the market 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_
string	expiry_
string	contract_
Period	tenor_
class	boost::serialization::access
	Serialization. More...
const string &	ccy () const
const string &	expiry () const
Natural	expiryYear () const
Month	expiryMonth () const
const string &	contract () const
const Period &	tenor () const
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

Overnight index future data class.

This class holds single market points of type - OI_FUTURE. Specific data comprise currency, expiry, contract and future tenor.

Warning:

expiry parameter is expected in the format YYYY-MM e.g. 2013-06 for Jun 2013, 1998-05 for May 1998, etc.

Definition at line 487 of file marketdatum.hpp.

Constructor & Destructor Documentation

OIFutureQuote() [1/2]

OIFutureQuote

(

)

Definition at line 489 of file marketdatum.hpp.

{}

OIFutureQuote() [2/2]

OIFutureQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		string	ccy,
		string	expiry,
		string	contract = "",
		Period	tenor = 3 * Months
	)

Constructor.

Definition at line 491 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, InstrumentType::OI_FUTURE), ccy_(ccy), expiry_(expiry),
          contract_(contract), tenor_(tenor) {}

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 497 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<OIFutureQuote>(quote_->value(), asofDate_, name_, quoteType_, ccy_, expiry_, contract_, tenor_);
    }

ccy()

const string & ccy

(

)

const

Definition at line 503 of file marketdatum.hpp.

{ return ccy_; }

expiry()

const string & expiry

(

)

const

Definition at line 504 of file marketdatum.hpp.

{ return expiry_; }

expiryYear()

Natural expiryYear

(

)

const

Definition at line 258 of file marketdatum.cpp.

{ return yearFromExpiryString(expiry_); }

expiryMonth()

Month expiryMonth

(

)

const

Definition at line 260 of file marketdatum.cpp.

{ return monthFromExpiryString(expiry_); }

contract()

const string & contract

(

)

const

Definition at line 507 of file marketdatum.hpp.

{ return contract_; }

tenor()

const Period & tenor

(

)

const

Definition at line 508 of file marketdatum.hpp.

{ return tenor_; }

serialize()

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

private

Definition at line 386 of file marketdatum.cpp.

                                                                                              {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& ccy_;
    ar& expiry_;
    ar& contract_;
    ar& tenor_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 517 of file marketdatum.hpp.

Member Data Documentation

ccy_

string ccy_

private

Definition at line 512 of file marketdatum.hpp.

expiry_

string expiry_

private

Definition at line 513 of file marketdatum.hpp.

contract_

string contract_

private

Definition at line 514 of file marketdatum.hpp.

tenor_

Period tenor_

private

Definition at line 515 of file marketdatum.hpp.