SecuritySpreadQuote Class Reference

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.

{}

SecuritySpreadQuote() [2/2]

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

Constructor.

Definition at line 1589 of file marketdatum.hpp.

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

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.

{ 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_

string securityID_

private

Definition at line 1602 of file marketdatum.hpp.