#include <ored/marketdata/wrappedmarket.hpp>

Inheritance diagram for WrappedMarket:

Collaboration diagram for WrappedMarket:

Public Member Functions
	WrappedMarket (const QuantLib::ext::shared_ptr< Market > &market, const bool handlePseudoCurrencies)

QuantLib::ext::shared_ptr< Market >	underlyingMarket () const

Date	asofDate () const override
	Get the asof Date. More...

Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &name, const string &configuration=Market::defaultConfiguration) const override

Handle< YieldTermStructure >	discountCurveImpl (const string &ccy, const string &configuration=Market::defaultConfiguration) const override

Handle< YieldTermStructure >	yieldCurve (const string &name, const string &configuration=Market::defaultConfiguration) const override

Handle< IborIndex >	iborIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override

Handle< SwapIndex >	swapIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override

Handle< SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const override

string	shortSwapIndexBase (const string &ccy, const string &configuration=Market::defaultConfiguration) const override

string	swapIndexBase (const string &ccy, const string &configuration=Market::defaultConfiguration) const override

Handle< SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const override

Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const override

Handle< Quote >	fxSpotImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override

Handle< Quote >	fxRateImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override

Handle< BlackVolTermStructure >	fxVolImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override

Handle< QuantExt::CreditCurve >	defaultCurve (const string &name, const string &configuration=Market::defaultConfiguration) const override

Handle< Quote >	recoveryRate (const string &name, const string &configuration=Market::defaultConfiguration) const override

Handle< QuantExt::CreditVolCurve >	cdsVol (const string &name, const string &configuration=Market::defaultConfiguration) const override

Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &name, const string &configuration=Market::defaultConfiguration) const override

Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const override

std::pair< string, QuantLib::Period >	capFloorVolIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override

Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &indexName, const string &configuration=Market::defaultConfiguration) const override

Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
	Inflation Indexes. More...

Handle< YoYInflationIndex >	yoyInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override

Handle< CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
	CPI Inflation Cap Floor Volatility Surfaces. More...

Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const override

Handle< YieldTermStructure >	equityDividendCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override

Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override

Handle< QuantExt::EquityIndex2 >	equityCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override

Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const override

void	refresh (const string &s) override
	Refresh term structures for a given configuration. More...

Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const override

QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override

QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override

QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override

QuantLib::Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const std::string &index1, const std::string &index2, const std::string &configuration=Market::defaultConfiguration) const override

Handle< Quote >	cpr (const string &securityID, const string &configuration=Market::defaultConfiguration) const override

Public Member Functions inherited from Market
	Market (const bool handlePseudoCurrencies)
	Constructor. More...

virtual	~Market ()
	Destructor. More...

virtual Date	asofDate () const =0
	Get the asof Date. More...

Handle< YieldTermStructure >	discountCurve (const string &ccy, const string &configuration=Market::defaultConfiguration) const

QuantLib::Handle< QuantExt::FxIndex >	fxIndex (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const

Handle< Quote >	fxRate (const string &ccypair, const string &configuration=Market::defaultConfiguration) const

Handle< Quote >	fxSpot (const string &ccypair, const string &configuration=Market::defaultConfiguration) const

Handle< BlackVolTermStructure >	fxVol (const string &ccypair, const string &configuration=Market::defaultConfiguration) const

string	commodityCurveLookup (const string &pm) const

bool	handlePseudoCurrencies () const

Protected Attributes
QuantLib::ext::shared_ptr< Market >	market_

Protected Attributes inherited from Market
bool	handlePseudoCurrencies_ = false

Additional Inherited Members
Static Public Attributes inherited from Market
static const string	defaultConfiguration = "default"
	Default configuration label. More...

static const string	inCcyConfiguration = "inccy"
	InCcy configuration label. More...

Detailed Description

Wrapped Market.

All incoming requests are passed through to an underlying market. This class can be used to override single methods for special markets. For example a derived class can override the securitySpread() method and return a dedicated simple quote handle that can be used to imply a bond spread. Another example is a market returning commodity term structures as fx term structures for precious metals.

Definition at line 40 of file wrappedmarket.hpp.

Constructor & Destructor Documentation

◆ WrappedMarket()

WrappedMarket	(	const QuantLib::ext::shared_ptr< Market > &	market,
		const bool	handlePseudoCurrencies
	)

Definition at line 24 of file wrappedmarket.cpp.

25 : Market(handlePseudoCurrencies), market_(m) {}

ore::data::Market::handlePseudoCurrencies

bool handlePseudoCurrencies() const

Definition: market.hpp:339

ore::data::Market::Market

Market(const bool handlePseudoCurrencies)

Constructor.

Definition: market.hpp:166

ore::data::WrappedMarket::market_

QuantLib::ext::shared_ptr< Market > market_

Definition: wrappedmarket.hpp:127

Member Function Documentation

◆ underlyingMarket()

QuantLib::ext::shared_ptr< Market > underlyingMarket ( ) const

Definition at line 27 of file wrappedmarket.cpp.

27{ return market_; }

◆ asofDate()

Date asofDate ( ) const

overridevirtual

Get the asof Date.

Implements Market.

Definition at line 29 of file wrappedmarket.cpp.

29{ return market_->asofDate(); }

◆ yieldCurve() [1/2]

Handle< YieldTermStructure > yieldCurve	(	const YieldCurveType &	type,
		const string &	name,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 31 of file wrappedmarket.cpp.

                                                                                        {
    return market_->yieldCurve(type, name, configuration);
}

◆ discountCurveImpl()

Handle< YieldTermStructure > discountCurveImpl	(	const string &	ccy,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 36 of file wrappedmarket.cpp.

                                                                                                                {
    return market_->discountCurve(ccy, configuration);
}

◆ yieldCurve() [2/2]

Handle< YieldTermStructure > yieldCurve	(	const string &	name,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 40 of file wrappedmarket.cpp.

                                                                                                          {
    return market_->yieldCurve(name, configuration);
}

◆ iborIndex()

Handle< IborIndex > iborIndex	(	const string &	indexName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 44 of file wrappedmarket.cpp.

                                                                                                     {
    return market_->iborIndex(indexName, configuration);
}

◆ swapIndex()

Handle< SwapIndex > swapIndex	(	const string &	indexName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 48 of file wrappedmarket.cpp.

                                                                                                     {
    return market_->swapIndex(indexName, configuration);
}

◆ swaptionVol()

Handle< SwaptionVolatilityStructure > swaptionVol	(	const string &	key,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 52 of file wrappedmarket.cpp.

                                                                                                                   {
    return market_->swaptionVol(key, configuration);
}

◆ shortSwapIndexBase()

string shortSwapIndexBase	(	const string &	ccy,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 56 of file wrappedmarket.cpp.

                                                                                             {
    return market_->shortSwapIndexBase(ccy, configuration);
}

◆ swapIndexBase()

string swapIndexBase	(	const string &	ccy,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 60 of file wrappedmarket.cpp.

                                                                                        {
    return market_->swapIndexBase(ccy, configuration);
}

◆ yieldVol()

Handle< SwaptionVolatilityStructure > yieldVol	(	const string &	securityID,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 64 of file wrappedmarket.cpp.

                                                                                               {
    return market_->yieldVol(securityID, configuration);
}

◆ fxIndexImpl()

Handle< QuantExt::FxIndex > fxIndexImpl	(	const string &	fxIndex,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 69 of file wrappedmarket.cpp.

                                                                                                           {
    return market_->fxIndex(fxIndex, configuration);
}

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◆ fxSpotImpl()

Handle< Quote > fxSpotImpl	(	const string &	ccypair,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 73 of file wrappedmarket.cpp.

                                                                                                {
    return market_->fxSpot(ccypair, configuration);
}

◆ fxRateImpl()

Handle< Quote > fxRateImpl	(	const string &	ccypair,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 77 of file wrappedmarket.cpp.

                                                                                                {
    return market_->fxRate(ccypair, configuration);
}

◆ fxVolImpl()

Handle< BlackVolTermStructure > fxVolImpl	(	const string &	ccypair,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 81 of file wrappedmarket.cpp.

                                                                                                               {
    return market_->fxVol(ccypair, configuration);
}

◆ defaultCurve()

Handle< QuantExt::CreditCurve > defaultCurve	(	const string &	name,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 85 of file wrappedmarket.cpp.

                                                                                                             {
    return market_->defaultCurve(name, configuration);
}

◆ recoveryRate()

Handle< Quote > recoveryRate	(	const string &	name,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 89 of file wrappedmarket.cpp.

                                                                                               {
    return market_->recoveryRate(name, configuration);
}

◆ cdsVol()

Handle< QuantExt::CreditVolCurve > cdsVol	(	const string &	name,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 93 of file wrappedmarket.cpp.

                                                                                                          {
    return market_->cdsVol(name, configuration);
}

◆ baseCorrelation()

Handle< QuantExt::BaseCorrelationTermStructure > baseCorrelation	(	const string &	name,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 97 of file wrappedmarket.cpp.

                                                                                                               {
    return market_->baseCorrelation(name, configuration);
}

◆ capFloorVol()

Handle< OptionletVolatilityStructure > capFloorVol	(	const string &	key,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 102 of file wrappedmarket.cpp.

                                                                                                                    {
    return market_->capFloorVol(key, configuration);
}

◆ capFloorVolIndexBase()

std::pair< string, QuantLib::Period > capFloorVolIndexBase	(	const string &	key,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 106 of file wrappedmarket.cpp.

                                                                                                           {
    return market_->capFloorVolIndexBase(key, configuration);
}

◆ yoyCapFloorVol()

Handle< QuantExt::YoYOptionletVolatilitySurface > yoyCapFloorVol	(	const string &	indexName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 111 of file wrappedmarket.cpp.

                                                                                                                 {
    return market_->yoyCapFloorVol(indexName, configuration);
}

◆ zeroInflationIndex()

Handle< ZeroInflationIndex > zeroInflationIndex	(	const string &	indexName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Inflation Indexes.

Implements Market.

Definition at line 116 of file wrappedmarket.cpp.

                                                                                                {
    return market_->zeroInflationIndex(indexName, configuration);
}

◆ yoyInflationIndex()

Handle< YoYInflationIndex > yoyInflationIndex	(	const string &	indexName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 121 of file wrappedmarket.cpp.

                                                                                                                     {
    return market_->yoyInflationIndex(indexName, configuration);
}

◆ cpiInflationCapFloorVolatilitySurface()

Handle< CPIVolatilitySurface > cpiInflationCapFloorVolatilitySurface	(	const string &	indexName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

CPI Inflation Cap Floor Volatility Surfaces.

Implements Market.

Definition at line 125 of file wrappedmarket.cpp.

                                                                                                                     {
    return market_->cpiInflationCapFloorVolatilitySurface(indexName, configuration);
}

◆ equitySpot()

Handle< Quote > equitySpot	(	const string &	eqName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 130 of file wrappedmarket.cpp.

                                                                                               {
    return market_->equitySpot(eqName, configuration);
}

◆ equityDividendCurve()

Handle< YieldTermStructure > equityDividendCurve	(	const string &	eqName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 134 of file wrappedmarket.cpp.

                                                                                                                     {
    return market_->equityDividendCurve(eqName, configuration);
}

◆ equityForecastCurve()

Handle< YieldTermStructure > equityForecastCurve	(	const string &	eqName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 138 of file wrappedmarket.cpp.

                                                                                                                     {
    return market_->equityForecastCurve(eqName, configuration);
}

◆ equityCurve()

Handle< QuantExt::EquityIndex2 > equityCurve	(	const string &	eqName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 142 of file wrappedmarket.cpp.

                                                                                                               {
    return market_->equityCurve(eqName, configuration);
}

◆ equityVol()

Handle< BlackVolTermStructure > equityVol	(	const string &	eqName,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 146 of file wrappedmarket.cpp.

                                                                                                              {
    return market_->equityVol(eqName, configuration);
}

◆ refresh()

void refresh ( const string & )

overridevirtual

Refresh term structures for a given configuration.

Reimplemented from Market.

Definition at line 150 of file wrappedmarket.cpp.

150{ market_->refresh(s); }

◆ securitySpread()

Handle< Quote > securitySpread	(	const string &	securityID,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 152 of file wrappedmarket.cpp.

                                                                                                       {
    return market_->securitySpread(securityID, configuration);
}

◆ commodityPriceCurve()

QuantLib::Handle< QuantExt::PriceTermStructure > commodityPriceCurve	(	const std::string &	commodityName,
		const std::string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 157 of file wrappedmarket.cpp.

                                                                                                       {
    return market_->commodityPriceCurve(commodityName, configuration);
}

◆ commodityIndex()

QuantLib::Handle< QuantExt::CommodityIndex > commodityIndex	(	const std::string &	commodityName,
		const std::string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 161 of file wrappedmarket.cpp.

                                                                                                               {
    return market_->commodityIndex(commodityName, configuration);
}

◆ commodityVolatility()

QuantLib::Handle< QuantLib::BlackVolTermStructure > commodityVolatility	(	const std::string &	commodityName,
		const std::string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 167 of file wrappedmarket.cpp.

                                                                                                       {
    return market_->commodityVolatility(commodityName, configuration);
}

◆ correlationCurve()

QuantLib::Handle< QuantExt::CorrelationTermStructure > correlationCurve	(	const std::string &	index1,
		const std::string &	index2,
		const std::string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 172 of file wrappedmarket.cpp.

                                                                      {
    return market_->correlationCurve(index1, index2, configuration);
}

◆ cpr()

Handle< Quote > cpr	(	const string &	securityID,
		const string &	configuration = `Market::defaultConfiguration`
	)		const

overridevirtual

Implements Market.

Definition at line 177 of file wrappedmarket.cpp.

                                                                                            {
    return market_->cpr(securityID, configuration);
}

Member Data Documentation

◆ market_

QuantLib::ext::shared_ptr<Market> market_

protected

Definition at line 127 of file wrappedmarket.hpp.

Public Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ WrappedMarket()

Member Function Documentation

◆ underlyingMarket()

◆ asofDate()

◆ yieldCurve() [1/2]

◆ discountCurveImpl()

◆ yieldCurve() [2/2]

◆ iborIndex()

◆ swapIndex()

◆ swaptionVol()

◆ shortSwapIndexBase()

◆ swapIndexBase()

◆ yieldVol()

◆ fxIndexImpl()

◆ fxSpotImpl()

◆ fxRateImpl()

◆ fxVolImpl()

◆ defaultCurve()

◆ recoveryRate()

◆ cdsVol()

◆ baseCorrelation()

◆ capFloorVol()

◆ capFloorVolIndexBase()

◆ yoyCapFloorVol()

◆ zeroInflationIndex()

◆ yoyInflationIndex()

◆ cpiInflationCapFloorVolatilitySurface()

◆ equitySpot()

◆ equityDividendCurve()

◆ equityForecastCurve()

◆ equityCurve()

◆ equityVol()

◆ refresh()

◆ securitySpread()

◆ commodityPriceCurve()

◆ commodityIndex()

◆ commodityVolatility()

◆ correlationCurve()

◆ cpr()

Member Data Documentation

◆ market_