ZeroQuote Class Reference

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for ZeroQuote:

Collaboration diagram for ZeroQuote:

Public Member Functions
	ZeroQuote ()
	ZeroQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, const string &ccy, Date date, DayCounter dayCounter, Period tenor=Period())
	Constructor. More...
QuantLib::ext::shared_ptr< MarketDatum >	clone () override
	Make a copy of the market datum. More...
const string &	ccy () const
	Inspectors. More...
Date	date () const
DayCounter	dayCounter () const
const Period &	tenor () const
bool	tenorBased () const
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

Private Member Functions
template<class Archive >
void	serialize (Archive &ar, const unsigned int version)

Private Attributes
string	ccy_
Date	date_
DayCounter	dayCounter_
Period	tenor_
bool	tenorBased_

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

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

Definition at line 364 of file marketdatum.hpp.

Constructor & Destructor Documentation

ZeroQuote() [1/2]

ZeroQuote

(

)

Definition at line 366 of file marketdatum.hpp.

{}

ZeroQuote() [2/2]

ZeroQuote	(	Real	value,
		Date	asofDate,
		const string &	name,
		QuoteType	quoteType,
		const string &	ccy,
		Date	date,
		DayCounter	dayCounter,
		Period	tenor = Period()
	)

Constructor.

Definition at line 368 of file marketdatum.hpp.

        : MarketDatum(value, asofDate, name, quoteType, InstrumentType::ZERO), ccy_(ccy), date_(date),
          dayCounter_(dayCounter), tenor_(tenor) {
        // Minimal adjustment in the absence of a calendar
        QL_REQUIRE(date_ != Date() || tenor != Period(), "ZeroQuote: either date or period is required");
        tenorBased_ = (date_ == Date());
    }

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Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

Definition at line 378 of file marketdatum.hpp.

                                                        {
        return QuantLib::ext::make_shared<ZeroQuote>(quote_->value(), asofDate_, name_, quoteType_, ccy_, date_, dayCounter_, tenor_);
    }

ccy()

const string & ccy

(

)

const

Inspectors.

Definition at line 384 of file marketdatum.hpp.

{ return ccy_; }

date()

Date date

(

)

const

Definition at line 385 of file marketdatum.hpp.

{ return date_; }

dayCounter()

DayCounter dayCounter

(

)

const

Definition at line 386 of file marketdatum.hpp.

{ return dayCounter_; }

tenor()

const Period & tenor

(

)

const

Definition at line 387 of file marketdatum.hpp.

{ return tenor_; }

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tenorBased()

bool tenorBased

(

)

const

Definition at line 388 of file marketdatum.hpp.

{ return tenorBased_; }

serialize()

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

private

Definition at line 362 of file marketdatum.cpp.

                                                                                          {
    ar& boost::serialization::base_object<MarketDatum>(*this);
    ar& ccy_;
    ar& date_;
    ar& dayCounter_;
    ar& tenor_;
    ar& tenorBased_;
}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Serialization.

Definition at line 397 of file marketdatum.hpp.

Member Data Documentation

ccy_

string ccy_

private

Definition at line 391 of file marketdatum.hpp.

date_

Date date_

private

Definition at line 392 of file marketdatum.hpp.

dayCounter_

DayCounter dayCounter_

private

Definition at line 393 of file marketdatum.hpp.

tenor_

Period tenor_

private

Definition at line 394 of file marketdatum.hpp.

tenorBased_

bool tenorBased_

private

Definition at line 395 of file marketdatum.hpp.