TransitionProbabilityQuote Class Reference

Transition Probability data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for TransitionProbabilityQuote:

Collaboration diagram for TransitionProbabilityQuote:

Public Member Functions
	TransitionProbabilityQuote ()
	TransitionProbabilityQuote (Real value, Date asofDate, const string &name, const string &id, const string &fromRating, const string &toRating)
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	id_
string	fromRating_
string	toRating_
class	boost::serialization::access
	Serialization. More...
const string &	id () const
const string &	fromRating () const
const string &	toRating () 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

Transition Probability data class.

Definition at line 1939 of file marketdatum.hpp.

Constructor & Destructor Documentation

TransitionProbabilityQuote() [1/2]

TransitionProbabilityQuote

(

)

Definition at line 1941 of file marketdatum.hpp.

{}

TransitionProbabilityQuote() [2/2]

TransitionProbabilityQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		const string &	id,
		const string &	fromRating,
		const string &	toRating
	)

Definition at line 1942 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, QuoteType::TRANSITION_PROBABILITY, InstrumentType::RATING), id_(id),
          fromRating_(fromRating), toRating_(toRating) {}

Member Function Documentation

id()

const string & id

(

)

const

Definition at line 1949 of file marketdatum.hpp.

{ return id_; }

fromRating()

const string & fromRating

(

)

const

Definition at line 1950 of file marketdatum.hpp.

{ return fromRating_; }

toRating()

const string & toRating

(

)

const

Definition at line 1951 of file marketdatum.hpp.

{ return toRating_; }

serialize()

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

private

Definition at line 650 of file marketdatum.cpp.

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

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 1958 of file marketdatum.hpp.

Member Data Documentation

id_

string id_

private

Definition at line 1954 of file marketdatum.hpp.

fromRating_

string fromRating_

private

Definition at line 1955 of file marketdatum.hpp.

toRating_

string toRating_

private

Definition at line 1956 of file marketdatum.hpp.