DependencyMarket Class Reference

#include <orea/engine/dependencymarket.hpp>

Inheritance diagram for DependencyMarket:

Public Member Functions
	DependencyMarket (const std::string &baseCcy, bool useFxDominance=true, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs=nullptr, const QuantLib::ext::shared_ptr< ore::data::IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< ore::data::IborFallbackConfig >(ore::data::IborFallbackConfig::defaultConfig()), const bool recordSecuritySpecificCreditCurves=false)
virtual QuantLib::Date	asofDate () const override
	Get the asof Date.
Market Interface
virtual QuantLib::Handle< QuantLib::YieldTermStructure >	yieldCurve (const ore::data::YieldCurveType &, const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurveImpl (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::YieldTermStructure >	yieldCurve (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::IborIndex >	iborIndex (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::SwapIndex >	swapIndex (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::SwaptionVolatilityStructure >	swaptionVol (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::SwaptionVolatilityStructure >	yieldVol (const std::string &, const std::string &) const override
virtual std::string	shortSwapIndexBase (const std::string &ccy, const std::string &) const override
virtual std::string	swapIndexBase (const std::string &ccy, const std::string &) const override
virtual QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::Quote >	fxSpotImpl (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::Quote >	fxRateImpl (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::BlackVolTermStructure >	fxVolImpl (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantExt::CreditCurve >	defaultCurve (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::Quote >	recoveryRate (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantExt::CreditVolCurve >	cdsVol (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::OptionletVolatilityStructure >	capFloorVol (const std::string &, const std::string &) const override
virtual std::pair< std::string, QuantLib::Period >	capFloorVolIndexBase (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::ZeroInflationIndex >	zeroInflationIndex (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::YoYInflationIndex >	yoyInflationIndex (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::Quote >	equitySpot (const std::string &eqName, const std::string &) const override
virtual QuantLib::Handle< QuantLib::YieldTermStructure >	equityDividendCurve (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::BlackVolTermStructure >	equityVol (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::YieldTermStructure >	equityForecastCurve (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantExt::EquityIndex2 >	equityCurve (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::Quote >	securitySpread (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::Quote >	conversionFactor (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::Quote >	securityPrice (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const std::string &, const std::string &) const override
QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantLib::Quote >	cpr (const std::string &, const std::string &) const override
virtual QuantLib::Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const std::string &, const std::string &, const std::string &) const override
virtual void	refresh (const std::string &) override

Inspectors
bool	hasRiskFactorType (const ore::analytics::RiskFactorKey::KeyType &riskFactorType) const
std::set< std::string >	riskFactorNames (const ore::analytics::RiskFactorKey::KeyType &riskFactorType) const
std::set< ore::analytics::RiskFactorKey::KeyType >	riskFactorTypes () const
std::set< std::string >	swapindices () const
std::map< ore::analytics::RiskFactorKey::KeyType, std::set< std::string > >	riskFactors () const
bool	hasMarketObjectType (const ore::data::MarketObject &marketObjectType) const
std::set< std::string >	marketObjectNames (const ore::data::MarketObject &marketObjectType) const
std::set< ore::data::MarketObject >	marketObjectTypes () const
std::map< std::string, std::map< ore::data::MarketObject, std::set< std::string > > >	marketObjects () const

Detailed Description

DependencyMarket acts as a dummy Market and always returns a handle to a requested curve. It stores the name of every curve it is asked for and can return a list of them when inspected. This way it can be used to analyse any module that requires a Market.