CommodityForwardQuote Class Reference

Commodity forward quote class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for CommodityForwardQuote:

Public Member Functions
	CommodityForwardQuote (QuantLib::Real value, const QuantLib::Date &asofDate, const std::string &name, QuoteType quoteType, const std::string &commodityName, const std::string &quoteCurrency, const QuantLib::Date &expiryDate)
	Date based commodity forward constructor.
	CommodityForwardQuote (QuantLib::Real value, const QuantLib::Date &asofDate, const std::string &name, QuoteType quoteType, const std::string &commodityName, const std::string &quoteCurrency, const QuantLib::Period &tenor, boost::optional< QuantLib::Period > startTenor=boost::none)
	Tenor based commodity forward 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 std::string &	commodityName () const
const std::string &	quoteCurrency () const
const QuantLib::Date &	expiryDate () const
	The commodity forward's expiry if the quote is date based.
const QuantLib::Period &	tenor () const
	The commodity forward's tenor if the quote is tenor based.
const boost::optional< QuantLib::Period > &	startTenor () const
bool	tenorBased () const
	Returns true if the forward is tenor based and false if forward is date based.

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

Commodity forward quote class.

This class holds a forward price for a commodity in a given currency

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.

startTenor()

const boost::optional< QuantLib::Period > & startTenor

(

)

const

The period between the as of date and the date from which the forward tenor is applied. This is generally the spot tenor which is indicated by boost::none but there are special cases:

• overnight forward: startTenor will be 0 * Days and tenor will be 1 * Days
• tom-next forward: startTenor will be 1 * Days and tenor will be 1 * Days