Bond spread data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for SecuritySpreadQuote:

Collaboration diagram for SecuritySpreadQuote:

Public Member Functions
	SecuritySpreadQuote ()

	SecuritySpreadQuote (Real value, Date asofDate, const string &name, const string &securityID)
	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	securityID_

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

const string &	securityID () 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

Bond spread data class.

This class holds single market points of type

BOND SPREAD

Definition at line 1585 of file marketdatum.hpp.

Constructor & Destructor Documentation

◆ SecuritySpreadQuote() [1/2]

SecuritySpreadQuote ( )

Definition at line 1587 of file marketdatum.hpp.

1587{}

◆ SecuritySpreadQuote() [2/2]

SecuritySpreadQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		const string &	securityID
	)

Constructor.

Definition at line 1589 of file marketdatum.hpp.

1590 : MarketDatum(value, asofDate, name, QuoteType::YIELD_SPREAD, InstrumentType::BOND), securityID_(securityID) {}

ore::data::MarketDatum::MarketDatum

MarketDatum()

Definition: marketdatum.hpp:80

ore::data::MarketDatum::InstrumentType::BOND

@ BOND

ore::data::MarketDatum::QuoteType::YIELD_SPREAD

@ YIELD_SPREAD

ore::data::MarketDatum::name

const string & name() const

Definition: marketdatum.hpp:159

ore::data::MarketDatum::asofDate

Date asofDate() const

Definition: marketdatum.hpp:161

ore::data::SecuritySpreadQuote::securityID_

string securityID_

Definition: marketdatum.hpp:1602

ore::data::SecuritySpreadQuote::securityID

const string & securityID() const

Definition: marketdatum.hpp:1599

value

SafeStack< ValueType > value

Definition: computationgraphbuilder.cpp:1478

Member Function Documentation

◆ clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 1593 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<SecuritySpreadQuote>(quote_->value(), asofDate_, name_, securityID_);
    }

◆ securityID()

const string & securityID ( ) const

Definition at line 1599 of file marketdatum.hpp.

1599{ return securityID_; }

◆ serialize()

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

private

Definition at line 588 of file marketdatum.cpp.

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

Friends And Related Function Documentation

◆ boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1604 of file marketdatum.hpp.

Member Data Documentation

◆ securityID_