CorrelationQuote Class Reference

Spread data class. More...

#include <ored/marketdata/marketdatum.hpp>

Inheritance diagram for CorrelationQuote:

Public Member Functions
	CorrelationQuote (QuantLib::Real value, const QuantLib::Date &asof, const std::string &name, QuoteType quoteType, const std::string &index1, const std::string &index2, const std::string &expiry, const std::string &strike)
	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 &	index1 () const
const std::string &	index2 () const
const std::string &	expiry () const
const std::string &	strike () 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

Spread data class.

This class holds single market points of type SPREAD

Constructor & Destructor Documentation

CorrelationQuote()

CorrelationQuote	(	QuantLib::Real	value,
		const QuantLib::Date &	asof,
		const std::string &	name,
		QuoteType	quoteType,
		const std::string &	index1,
		const std::string &	index2,
		const std::string &	expiry,
		const std::string &	strike )

Constructor.

Parameters

value	The correlation value
asof	The quote date
name	The quote name
quoteType	The quote type, should be RATE or PRICE
index1	The name of the first index
index2	The name of the second index
expiry	Expiry can be a period or a date
strike	Can be underlying commodity price or ATM

Member Function Documentation

clone()

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

overridevirtual

Make a copy of the market datum.

Reimplemented from MarketDatum.