SwapQuote Class Reference

Swap market data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for SwapQuote:

Collaboration diagram for SwapQuote:

Public Member Functions
	SwapQuote ()
	SwapQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, string ccy, Period fwdStart, Period term, Period tenor, const std::string &indexName="")
	Constructor if fwdStart / tenor is given. More...
	SwapQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, string ccy, Date startDate, Date maturityDate, Period tenor, const std::string &indexName="")
	Constructor if startDate, maturityDate is given. 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_
Period	fwdStart_
Period	term_
Period	tenor_
std::string	indexName_
Date	startDate_
Date	maturityDate_
class	boost::serialization::access
	Serialization. More...
const string &	ccy () const
const Period &	fwdStart () const
const Period &	term () const
const Period &	tenor () const
const std::string &	indeName () const
const Date &	startDate () const
const Date &	maturityDate () 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

Swap market data class.

This class holds single market points of type

• IR_SWAP

Specific data comprise currency, fwdStart, tenor, term, startDate, maturityDate The constructor accepts either fwdStart/term or startDate/maturityDate

Definition at line 317 of file marketdatum.hpp.

Constructor & Destructor Documentation

SwapQuote() [1/3]

SwapQuote

(

)

Definition at line 319 of file marketdatum.hpp.

{}

SwapQuote() [2/3]

SwapQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		string	ccy,
		Period	fwdStart,
		Period	term,
		Period	tenor,
		const std::string &	indexName = ""
	)

Constructor if fwdStart / tenor is given.

Definition at line 321 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, InstrumentType::IR_SWAP), ccy_(ccy), fwdStart_(fwdStart),
          term_(term), tenor_(tenor), indexName_(indexName), startDate_(Null<Date>()), maturityDate_(Null<Date>()) {}

SwapQuote() [3/3]

SwapQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		string	ccy,
		Date	startDate,
		Date	maturityDate,
		Period	tenor,
		const std::string &	indexName = ""
	)

Constructor if startDate, maturityDate is given.

Definition at line 326 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, InstrumentType::IR_SWAP), ccy_(ccy), fwdStart_(Period()),
          term_(Period()), tenor_(tenor), indexName_(indexName), startDate_(startDate), maturityDate_(maturityDate) {}

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 332 of file marketdatum.hpp.

                                                        {
        if (startDate_ == Null<Date>() && maturityDate_ == Null<Date>())
            return QuantLib::ext::make_shared<SwapQuote>(quote_->value(), asofDate_, name_, quoteType_, ccy_, fwdStart_, term_,
                                                 tenor_);
        else
            return QuantLib::ext::make_shared<SwapQuote>(quote_->value(), asofDate_, name_, quoteType_, ccy_, startDate_,
                                                 maturityDate_, tenor_);
    }

ccy()

const string & ccy

(

)

const

Definition at line 343 of file marketdatum.hpp.

{ return ccy_; }

fwdStart()

const Period & fwdStart

(

)

const

Definition at line 344 of file marketdatum.hpp.

{ return fwdStart_; }

term()

const Period & term

(

)

const

Definition at line 345 of file marketdatum.hpp.

{ return term_; }

tenor()

const Period & tenor

(

)

const

Definition at line 346 of file marketdatum.hpp.

{ return tenor_; }

indeName()

const std::string & indeName

(

)

const

Definition at line 347 of file marketdatum.hpp.

{ return indexName_; }

startDate()

const Date & startDate

(

)

const

Definition at line 348 of file marketdatum.hpp.

{ return startDate_; }

maturityDate()

const Date & maturityDate

(

)

const

Definition at line 349 of file marketdatum.hpp.

{ return maturityDate_; }

serialize()

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

private

Definition at line 351 of file marketdatum.cpp.

                                                                                          {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& ccy_;
    ar& fwdStart_;
    ar& term_;
    ar& tenor_;
    ar& indexName_;
    ar& startDate_;
    ar& maturityDate_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 360 of file marketdatum.hpp.

Member Data Documentation

ccy_

string ccy_

private

Definition at line 352 of file marketdatum.hpp.

fwdStart_

Period fwdStart_

private

Definition at line 353 of file marketdatum.hpp.

term_

Period term_

private

Definition at line 354 of file marketdatum.hpp.

tenor_

Period tenor_

private

Definition at line 355 of file marketdatum.hpp.

indexName_

std::string indexName_

private

Definition at line 356 of file marketdatum.hpp.

startDate_

Date startDate_

private

Definition at line 357 of file marketdatum.hpp.

maturityDate_

Date maturityDate_

private

Definition at line 358 of file marketdatum.hpp.