Reference manual - version ored_version
Shift data class (for SLN cap/floor volatilities). More...
#include <ored/marketdata/marketdatum.hpp>
Public Member Functions | |
| CapFloorShiftQuote (Real value, const Date &asofDate, const string &name, QuoteType quoteType, const string &ccy, const Period &indexTenor, const string &indexName=string()) | |
| QuantLib::ext::shared_ptr< MarketDatum > | clone () override |
| Make a copy of the market datum. | |
| const string & | ccy () const |
| const Period & | indexTenor () const |
| const string & | indexName () const |
| 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) |
Friends | |
| class | boost::serialization::access |
| Serialization. | |
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_ |
Shift data class (for SLN cap/floor volatilities).
This class holds, for a given currency and index tenor, single market points of type
|
overridevirtual |
Make a copy of the market datum.
Reimplemented from MarketDatum.
