BondSpreadImply Class Reference

Static Public Member Functions
static std::map< std::string, QuantLib::ext::shared_ptr< Security > >	requiredSecurities (const Date &asof, const QuantLib::ext::shared_ptr< TodaysMarketParameters > &params, const QuantLib::ext::shared_ptr< CurveConfigurations > &curveConfigs, const Loader &loader, const bool continueOnError=false, const std::string &excludeRegex=std::string())
static QuantLib::ext::shared_ptr< Loader >	implyBondSpreads (const std::map< std::string, QuantLib::ext::shared_ptr< Security > > &securities, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager, const QuantLib::ext::shared_ptr< Market > &market, const QuantLib::ext::shared_ptr< EngineData > &engineData, const std::string &configuration, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig)

Member Function Documentation

requiredSecurities()

std::map< std::string, QuantLib::ext::shared_ptr< Security > > requiredSecurities ( const Date & asof, const QuantLib::ext::shared_ptr< TodaysMarketParameters > & params, const QuantLib::ext::shared_ptr< CurveConfigurations > & curveConfigs, const Loader & loader, const bool continueOnError = false, const std::string & excludeRegex = std::string() )

static

Determine the securities that require a spread imply and return a map securityID => security containing them. If excludeRegex is non-empty security ids that match excludeRegex are excluded from the returned list.

implyBondSpreads()

QuantLib::ext::shared_ptr< Loader > implyBondSpreads ( const std::map< std::string, QuantLib::ext::shared_ptr< Security > > & securities, const QuantLib::ext::shared_ptr< ReferenceDataManager > & referenceDataManager, const QuantLib::ext::shared_ptr< Market > & market, const QuantLib::ext::shared_ptr< EngineData > & engineData, const std::string & configuration, const QuantLib::ext::shared_ptr< IborFallbackConfig > & iborFallbackConfig )

static

Imply bond spreads and add them to the loader.