SeasonalityQuote Class Reference

Inflation seasonality data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for SeasonalityQuote:

Collaboration diagram for SeasonalityQuote:

Public Member Functions
	SeasonalityQuote ()
	SeasonalityQuote (Real value, Date asofDate, const string &name, const string &index, const string &type, const string &month)
QuantLib::ext::shared_ptr< MarketDatum >	clone () override
	Make a copy of the market datum. More...
string	index ()
string	type ()
string	month ()
QuantLib::Size	applyMonth () const
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

Private Member Functions
template<class Archive >
void	serialize (Archive &ar, const unsigned int version)

Private Attributes
string	index_
string	type_
string	month_

Friends
class	boost::serialization::access
	Serialization. More...

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

Inflation seasonality data class.

This class holds single market points of type

• SEASONALITY Specific data comprise inflation index, factor type (ADD, MULT) and month (JAN to DEC).

Definition at line 1389 of file marketdatum.hpp.

Constructor & Destructor Documentation

SeasonalityQuote() [1/2]

SeasonalityQuote

(

)

Definition at line 1391 of file marketdatum.hpp.

{}

SeasonalityQuote() [2/2]

SeasonalityQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		const string &	index,
		const string &	type,
		const string &	month
	)

Definition at line 1392 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, QuoteType::RATE, InstrumentType::SEASONALITY), index_(index), type_(type),
          month_(month) {}

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 1397 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<SeasonalityQuote>(quote_->value(), asofDate_, name_, index(), type(), month());
    }

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index()

string index

(

)

Definition at line 1401 of file marketdatum.hpp.

{ return index_; }

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type()

string type

(

)

Definition at line 1402 of file marketdatum.hpp.

{ return type_; }

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month()

string month

(

)

Definition at line 1403 of file marketdatum.hpp.

{ return month_; }

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applyMonth()

QuantLib::Size applyMonth

(

)

const

Definition at line 262 of file marketdatum.cpp.

                                                {
    QL_REQUIRE(month_.length() == 3, "The month string must be of "
                                     "the form MMM");
    std::vector<std::string> allMonths = {"JAN", "FEB", "MAR", "APR", "MAY", "JUN",
                                          "JUL", "AUG", "SEP", "OCT", "NOV", "DEC"};
    QuantLib::Size applyMonth;
    auto it = std::find(allMonths.begin(), allMonths.end(), month_);
    if (it != allMonths.end()) {
        applyMonth = std::distance(allMonths.begin(), it) + 1;
    } else {
        QL_FAIL("Unknown month string: " << month_);
    }
    return applyMonth;
}

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serialize()

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

private

Definition at line 552 of file marketdatum.cpp.

                                                                                                 {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& index_;
    ar& type_;
    ar& month_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1411 of file marketdatum.hpp.

Member Data Documentation

index_

string index_

private

Definition at line 1407 of file marketdatum.hpp.

type_

string type_

private

Definition at line 1408 of file marketdatum.hpp.

month_

string month_

private

Definition at line 1409 of file marketdatum.hpp.