Fully annotated reference manual - version 1.8.12
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#include <boost/algorithm/string.hpp>#include <boost/make_shared.hpp>#include <boost/regex.hpp>#include <map>#include <ored/configuration/conventions.hpp>#include <ored/utilities/conventionsbasedfutureexpiry.hpp>#include <ored/utilities/indexnametranslator.hpp>#include <ored/utilities/indexparser.hpp>#include <ored/utilities/log.hpp>#include <ored/utilities/marketdata.hpp>#include <ored/utilities/parsers.hpp>#include <ored/utilities/to_string.hpp>#include <ql/errors.hpp>#include <ql/indexes/all.hpp>#include <ql/time/calendars/target.hpp>#include <ql/time/daycounters/all.hpp>#include <qle/indexes/behicp.hpp>#include <qle/indexes/bmaindexwrapper.hpp>#include <qle/indexes/cacpi.hpp>#include <qle/indexes/commoditybasisfutureindex.hpp>#include <qle/indexes/commodityindex.hpp>#include <qle/indexes/decpi.hpp>#include <qle/indexes/dkcpi.hpp>#include <qle/indexes/equityindex.hpp>#include <qle/indexes/escpi.hpp>#include <qle/indexes/frcpi.hpp>#include <qle/indexes/fxindex.hpp>#include <qle/indexes/genericiborindex.hpp>#include <qle/indexes/genericindex.hpp>#include <qle/indexes/ibor/ambor.hpp>#include <qle/indexes/ibor/ameribor.hpp>#include <qle/indexes/ibor/boebaserate.hpp>#include <qle/indexes/ibor/brlcdi.hpp>#include <qle/indexes/ibor/chfsaron.hpp>#include <qle/indexes/ibor/chftois.hpp>#include <qle/indexes/ibor/clpcamara.hpp>#include <qle/indexes/ibor/cnhhibor.hpp>#include <qle/indexes/ibor/cnhshibor.hpp>#include <qle/indexes/ibor/cnyrepofix.hpp>#include <qle/indexes/ibor/copibr.hpp>#include <qle/indexes/ibor/corra.hpp>#include <qle/indexes/ibor/czkpribor.hpp>#include <qle/indexes/ibor/demlibor.hpp>#include <qle/indexes/ibor/dkkcibor.hpp>#include <qle/indexes/ibor/dkkcita.hpp>#include <qle/indexes/ibor/dkkois.hpp>#include <qle/indexes/ibor/hkdhibor.hpp>#include <qle/indexes/ibor/hkdhonia.hpp>#include <qle/indexes/ibor/hufbubor.hpp>#include <qle/indexes/ibor/idridrfix.hpp>#include <qle/indexes/ibor/idrjibor.hpp>#include <qle/indexes/ibor/ilstelbor.hpp>#include <qle/indexes/ibor/inrmiborois.hpp>#include <qle/indexes/ibor/inrmifor.hpp>#include <qle/indexes/ibor/jpyeytibor.hpp>#include <qle/indexes/ibor/krwcd.hpp>#include <qle/indexes/ibor/krwkoribor.hpp>#include <qle/indexes/ibor/mxntiie.hpp>#include <qle/indexes/ibor/myrklibor.hpp>#include <qle/indexes/ibor/noknibor.hpp>#include <qle/indexes/ibor/nowa.hpp>#include <qle/indexes/ibor/nzdbkbm.hpp>#include <qle/indexes/ibor/phpphiref.hpp>#include <qle/indexes/ibor/plnpolonia.hpp>#include <qle/indexes/ibor/primeindex.hpp>#include <qle/indexes/ibor/rubkeyrate.hpp>#include <qle/indexes/ibor/saibor.hpp>#include <qle/indexes/ibor/seksior.hpp>#include <qle/indexes/ibor/sekstibor.hpp>#include <qle/indexes/ibor/sekstina.hpp>#include <qle/indexes/ibor/sgdsibor.hpp>#include <qle/indexes/ibor/sgdsor.hpp>#include <qle/indexes/ibor/skkbribor.hpp>#include <qle/indexes/ibor/sofr.hpp>#include <qle/indexes/ibor/sonia.hpp>#include <qle/indexes/ibor/sora.hpp>#include <qle/indexes/ibor/thbbibor.hpp>#include <qle/indexes/ibor/thor.hpp>#include <qle/indexes/ibor/tonar.hpp>#include <qle/indexes/ibor/twdtaibor.hpp>#include <qle/indexes/offpeakpowerindex.hpp>#include <qle/indexes/secpi.hpp>#include <qle/termstructures/commoditybasispricecurve.hpp>#include <qle/termstructures/spreadedpricetermstructure.hpp>Go to the source code of this file.
Namespaces | |
| namespace | ore |
| Serializable Credit Default Swap. | |
| namespace | ore::data |
Functions | |
| void | checkOneToOne (const map< string, QuantLib::ext::shared_ptr< OvernightIndex > > &onIndices, const map< string, QuantLib::ext::shared_ptr< IborIndexParser > > &iborIndices) |
| QuantLib::ext::shared_ptr< FxIndex > | parseFxIndex (const string &s, const Handle< Quote > &fxSpot=Handle< Quote >(), const Handle< YieldTermStructure > &sourceYts=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &targetYts=Handle< YieldTermStructure >(), const bool useConventions=false) |
| Convert std::string to QuantExt::FxIndex. More... | |
| QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > | parseEquityIndex (const string &s) |
| Convert std::string (e.g SP5) to QuantExt::EquityIndex. More... | |
| QuantLib::ext::shared_ptr< QuantLib::Index > | parseGenericIndex (const string &s) |
| Convert std::string (GENERIC-...) to QuantExt::Index. More... | |
| bool | tryParseIborIndex (const string &s, QuantLib::ext::shared_ptr< IborIndex > &index) |
| Try to convert std::string to QuantLib::IborIndex. More... | |
| QuantLib::ext::shared_ptr< IborIndex > | parseIborIndex (const string &s, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) |
| Convert std::string to QuantLib::IborIndex. More... | |
| QuantLib::ext::shared_ptr< IborIndex > | parseIborIndex (const string &s, string &tenor, const Handle< YieldTermStructure > &h) |
| bool | isGenericIborIndex (const string &indexName) |
Return true if the indexName is that of a generic ibor index, otherwise false. More... | |
| pair< bool, QuantLib::ext::shared_ptr< ZeroInflationIndex > > | isInflationIndex (const string &indexName) |
| bool | isEquityIndex (const std::string &indexName) |
Return true if the indexName is that of an EquityIndex, otherwise false. More... | |
| bool | isCommodityIndex (const std::string &indexName) |
Return true if the indexName is that of an CommodityIndex, otherwise false. More... | |
| bool | isGenericIndex (const string &indexName) |
| QuantLib::ext::shared_ptr< SwapIndex > | parseSwapIndex (const string &s, const Handle< YieldTermStructure > &forwarding=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &discounting=Handle< YieldTermStructure >()) |
| Convert std::string to QuantLib::SwapIndex. More... | |
| QuantLib::ext::shared_ptr< ZeroInflationIndex > | parseZeroInflationIndex (const string &s, const Handle< ZeroInflationTermStructure > &h=Handle< ZeroInflationTermStructure >()) |
| Convert std::string to QuantLib::ZeroInflationIndex. More... | |
| QuantLib::ext::shared_ptr< ZeroInflationIndex > | parseZeroInflationIndex (const string &s, bool isInterpolated, const Handle< ZeroInflationTermStructure > &h) |
| QuantLib::ext::shared_ptr< BondIndex > | parseBondIndex (const string &s) |
| Convert std::string to QuantExt::BondIndex. More... | |
| QuantLib::ext::shared_ptr< ConstantMaturityBondIndex > | parseConstantMaturityBondIndex (const string &s) |
| Convert std::string to QuantExt::ConstantMaturityBondIndex. More... | |
| QuantLib::ext::shared_ptr< QuantExt::CommodityIndex > | parseCommodityIndex (const string &name, bool hasPrefix, const Handle< PriceTermStructure > &ts, const Calendar &cal, const bool enforceFutureIndex) |
| QuantLib::ext::shared_ptr< Index > | parseIndex (const string &s) |
| Convert std::string to QuantLib::Index. More... | |
| bool | isOvernightIndex (const std::string &indexName) |
Return true if the indexName is that of an overnight index, otherwise false. More... | |
| bool | isBmaIndex (const std::string &indexName) |
Return true if the indexName is that of an bma/sifma index, otherwise false. More... | |
| string | internalIndexName (const string &indexName) |
| bool | isFxIndex (const std::string &indexName) |
| std::string | inverseFxIndex (const std::string &indexName) |