Security Class Reference

Wrapper class for holding Bond Spread and recovery rate quotes. More...

#include <ored/marketdata/security.hpp>

Collaboration diagram for Security:

Public Member Functions
	Security (const Date &asof, SecuritySpec spec, const Loader &loader, const CurveConfigurations &curveConfigs)
	Constructor. More...
Handle< Quote >	spread () const
	Inspector. More...
Handle< Quote >	price () const
Handle< Quote >	recoveryRate () const
Handle< Quote >	cpr () const

Private Attributes
Handle< Quote >	spread_
Handle< Quote >	price_
Handle< Quote >	recoveryRate_
Handle< Quote >	cpr_

Detailed Description

Wrapper class for holding Bond Spread and recovery rate quotes.

Definition at line 39 of file security.hpp.

Constructor & Destructor Documentation

Security()

Security	(	const Date &	asof,
		SecuritySpec	spec,
		const Loader &	loader,
		const CurveConfigurations &	curveConfigs
	)

Constructor.

Definition at line 31 of file security.cpp.

                                                                                                                     {
 
    try {
        const QuantLib::ext::shared_ptr<SecurityConfig>& config = curveConfigs.securityConfig(spec.securityID());
 
        string spreadQuote = config->spreadQuote();
        if (spreadQuote != "" && loader.has(spreadQuote, asof)) {
            QuantLib::ext::shared_ptr<SecuritySpreadQuote> q =
                QuantLib::ext::dynamic_pointer_cast<SecuritySpreadQuote>(loader.get(spreadQuote, asof));
            QL_REQUIRE(q, "Failed to cast " << spreadQuote << " to SecuritySpreadQuote");
            spread_ = q->quote();
        }
 
        // get recovery quote
        string recoveryQuote = config->recoveryRatesQuote();
        if (recoveryQuote != "" && loader.has(recoveryQuote, asof)) {
            QuantLib::ext::shared_ptr<RecoveryRateQuote> q =
                QuantLib::ext::dynamic_pointer_cast<RecoveryRateQuote>(loader.get(recoveryQuote, asof));
            QL_REQUIRE(q, "Failed to cast " << recoveryQuote << " to RecoveryRateQuote");
            recoveryRate_ = q->quote();
        }
 
        // get cpr quote
        string cprQuote = config->cprQuote();
        if (cprQuote != "" && loader.has(cprQuote,asof)) {
            QuantLib::ext::shared_ptr<CPRQuote> q = QuantLib::ext::dynamic_pointer_cast<CPRQuote>(loader.get(cprQuote, asof));
            QL_REQUIRE(q, "Failed to cast " << cprQuote << " to CPRQuote");
            cpr_ = q->quote();
        }
 
        // get price quote
        string priceQuote = config->priceQuote();
        if (priceQuote != "" && loader.has(priceQuote,asof)) {
            QuantLib::ext::shared_ptr<BondPriceQuote> q =
                QuantLib::ext::dynamic_pointer_cast<BondPriceQuote>(loader.get(priceQuote, asof));
            QL_REQUIRE(q, "Failed to cast " << priceQuote << " to BondPriceQuote");
            price_ = q->quote();
        }
 
    } catch (std::exception& e) {
        QL_FAIL("Security building failed for curve " << spec.curveConfigID() << " on date " << io::iso_date(asof)
                                                      << ": " << e.what());
    } catch (...) {
        QL_FAIL("Security building failed: unknown error");
    }
 
    return;
}

Here is the call graph for this function:

Member Function Documentation

spread()

Handle< Quote > spread

(

)

const

Inspector.

Definition at line 45 of file security.hpp.

{ return spread_; }

price()

Handle< Quote > price

(

)

const

Definition at line 46 of file security.hpp.

{ return price_; }

recoveryRate()

Handle< Quote > recoveryRate

(

)

const

Definition at line 47 of file security.hpp.

{ return recoveryRate_; }

cpr()

Handle< Quote > cpr

(

)

const

Definition at line 48 of file security.hpp.

{ return cpr_; }

Member Data Documentation

spread_

Handle<Quote> spread_

private

Definition at line 51 of file security.hpp.

price_

Handle<Quote> price_

private

Definition at line 52 of file security.hpp.

recoveryRate_

Handle<Quote> recoveryRate_

private

Definition at line 53 of file security.hpp.

cpr_

Handle<Quote> cpr_

private

Definition at line 54 of file security.hpp.