CapFloorQuote Class Reference

Cap/Floor data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for CapFloorQuote:

Public Member Functions
	CapFloorQuote (Real value, Date asofDate, const string &name, QuoteType quoteType, string ccy, Period term, Period underlying, bool atm, bool relative, Real strike=0.0, const string &indexName=string(), bool isCap=true)
	Constructor.
QuantLib::ext::shared_ptr< MarketDatum >	clone () override
	Make a copy of the market datum.
Public Member Functions inherited from MarketDatum
	MarketDatum (Real value, Date asofDate, const string &name, QuoteType quoteType, InstrumentType instrumentType)
	Constructor.
virtual	~MarketDatum ()
	Default destructor.
const string &	name () const
const Handle< Quote > &	quote () const
Date	asofDate () const
InstrumentType	instrumentType () const
QuoteType	quoteType () const
void	setValue (const double v)

Inspectors
class	boost::serialization::access
	Serialization.
const string &	ccy () const
const Period &	term () const
const Period &	underlying () const
bool	atm () const
bool	relative () const
Real	strike ()
const string &	indexName () const
bool	isCap () const

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_FUTURE ,   BOND_OPTION , INDEX_CDS_OPTION , INDEX_CDS_TRANCHE , COMMODITY_SPOT ,   COMMODITY_FWD , CORRELATION , COMMODITY_OPTION , CPR ,   RATING , NONE }
	Supported market instrument types.
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 , CONVERSION_FACTOR , NONE }
	Supported market quote types.
Handle< Quote >	quote_
Date	asofDate_
string	name_
InstrumentType	instrumentType_
QuoteType	quoteType_

Detailed Description

Cap/Floor data class.

This class holds single market points of type

• CAPFLOOR Specific data comprise
• currency
• term
• underlying index tenor
• at-the-money flag (is an at-the-money cap/floor quote?)
• relative quotation flag (quote to be added to the at-the-money quote?)
• strike

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.