#include <ored/marketdata/market.hpp>

Inheritance diagram for Market:

Public Member Functions
	Market (const bool handlePseudoCurrencies)
	Constructor.
virtual	~Market ()
	Destructor.
virtual Date	asofDate () const =0
	Get the asof Date.
Yield Curves
virtual Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &name, const string &configuration=Market::defaultConfiguration) const =0
Handle< YieldTermStructure >	discountCurve (const string &ccy, const string &configuration=Market::defaultConfiguration) const
virtual Handle< YieldTermStructure >	discountCurveImpl (const string &ccy, const string &configuration=Market::defaultConfiguration) const =0
virtual Handle< YieldTermStructure >	yieldCurve (const string &name, const string &configuration=Market::defaultConfiguration) const =0
virtual Handle< IborIndex >	iborIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0
virtual Handle< SwapIndex >	swapIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0
Swaptions
virtual Handle< SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const =0
virtual string	shortSwapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const =0
virtual string	swapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const =0
Yield volatilities
virtual Handle< SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const =0
Foreign Exchange
QuantLib::Handle< QuantExt::FxIndex >	fxIndex (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const
virtual QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const =0
Handle< Quote >	fxRate (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
virtual Handle< Quote >	fxRateImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const =0
Handle< Quote >	fxSpot (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
virtual Handle< Quote >	fxSpotImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const =0
Handle< BlackVolTermStructure >	fxVol (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
virtual Handle< BlackVolTermStructure >	fxVolImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const =0
Default Curves and Recovery Rates
virtual Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const =0
virtual Handle< Quote >	recoveryRate (const string &, const string &configuration=Market::defaultConfiguration) const =0
(Index) CDS Option volatilities
virtual Handle< QuantExt::CreditVolCurve >	cdsVol (const string &, const string &configuration=Market::defaultConfiguration) const =0
Base Correlation term structures
virtual Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &, const string &configuration=Market::defaultConfiguration) const =0
Stripped Cap/Floor volatilities i.e. caplet/floorlet volatilities
virtual Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const =0
virtual std::pair< std::string, QuantLib::Period >	capFloorVolIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const =0
Stripped YoY Inflation Cap/Floor volatilities i.e. caplet/floorlet volatilities
virtual Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0
virtual Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0
	Inflation Indexes.
virtual Handle< YoYInflationIndex >	yoyInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0
virtual Handle< QuantLib::CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0
	CPI Inflation Cap Floor Volatility Surfaces.
Equity curves
virtual Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0
virtual Handle< YieldTermStructure >	equityDividendCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0
virtual Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0
virtual Handle< QuantExt::EquityIndex2 >	equityCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0
security spreads, security conversion factors and prices
virtual Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const =0
virtual Handle< Quote >	conversionFactor (const string &, const string &configuration=Market::defaultConfiguration) const =0
virtual Handle< Quote >	securityPrice (const string &, const string &configuration=Market::defaultConfiguration) const =0
Commodity price curves and indices
virtual QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const =0
virtual QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const =0
Commodity volatility
virtual QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const =0
Correlation
virtual QuantLib::Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const std::string &index1, const std::string &index2, const std::string &configuration=Market::defaultConfiguration) const =0

Equity volatilities
static const string	defaultConfiguration
	Default configuration label.
static const string	inCcyConfiguration
	InCcy configuration label.
virtual Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0
virtual void	refresh (const string &)
	Refresh term structures for a given configuration.

Conditional Prepayment Rates
bool	handlePseudoCurrencies_ = false
virtual Handle< Quote >	cpr (const string &securityID, const string &configuration=Market::defaultConfiguration) const =0
string	commodityCurveLookup (const string &pm) const
bool	handlePseudoCurrencies () const

Detailed Description

Market.

Base class for central repositories containing all term structure objects needed in instrument pricing.

Member Function Documentation

◆ asofDate()

virtual Date asofDate ( ) const

pure virtual

Get the asof Date.

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ yieldCurve()

virtual Handle< YieldTermStructure > yieldCurve	(	const YieldCurveType &	type,
		const string &	name,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ swaptionVol()

virtual Handle< SwaptionVolatilityStructure > swaptionVol	(	const string &	key,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ yieldVol()

virtual Handle< SwaptionVolatilityStructure > yieldVol	(	const string &	securityID,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ fxIndexImpl()

virtual QuantLib::Handle< QuantExt::FxIndex > fxIndexImpl	(	const string &	fxIndex,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ defaultCurve()

virtual Handle< QuantExt::CreditCurve > defaultCurve	(	const string &	,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ cdsVol()

virtual Handle< QuantExt::CreditVolCurve > cdsVol	(	const string &	,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ baseCorrelation()

virtual Handle< QuantExt::BaseCorrelationTermStructure > baseCorrelation	(	const string &	,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ capFloorVol()

virtual Handle< OptionletVolatilityStructure > capFloorVol	(	const string &	key,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ yoyCapFloorVol()

virtual Handle< QuantExt::YoYOptionletVolatilitySurface > yoyCapFloorVol	(	const string &	indexName,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ zeroInflationIndex()

virtual Handle< ZeroInflationIndex > zeroInflationIndex	(	const string &	indexName,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Inflation Indexes.

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ cpiInflationCapFloorVolatilitySurface()

virtual Handle< QuantLib::CPIVolatilitySurface > cpiInflationCapFloorVolatilitySurface	(	const string &	indexName,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

CPI Inflation Cap Floor Volatility Surfaces.

Implemented in DummyMarket, MarketImpl, and WrappedMarket.

◆ equitySpot()

virtual Handle< Quote > equitySpot	(	const string &	eqName,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ equityForecastCurve()

virtual Handle< YieldTermStructure > equityForecastCurve	(	const string &	eqName,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ equityVol()

virtual Handle< BlackVolTermStructure > equityVol	(	const string &	eqName,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ refresh()

virtual void refresh ( const string & )

virtual

Refresh term structures for a given configuration.

Reimplemented in MarketImpl, and WrappedMarket.

◆ securitySpread()

virtual Handle< Quote > securitySpread	(	const string &	securityID,
		const string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ commodityPriceCurve()

virtual QuantLib::Handle< QuantExt::PriceTermStructure > commodityPriceCurve	(	const std::string &	commodityName,
		const std::string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ commodityIndex()

virtual QuantLib::Handle< QuantExt::CommodityIndex > commodityIndex	(	const std::string &	commodityName,
		const std::string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ commodityVolatility()

virtual QuantLib::Handle< QuantLib::BlackVolTermStructure > commodityVolatility	(	const std::string &	commodityName,
		const std::string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

◆ correlationCurve()

virtual QuantLib::Handle< QuantExt::CorrelationTermStructure > correlationCurve	(	const std::string &	index1,
		const std::string &	index2,
		const std::string &	configuration = Market::defaultConfiguration ) const

pure virtual

Implemented in MarketImpl.

Public Member Functions

Equity volatilities

Conditional Prepayment Rates

Detailed Description

Member Function Documentation

◆ asofDate()

◆ yieldCurve()

◆ swaptionVol()

◆ yieldVol()

◆ fxIndexImpl()

◆ defaultCurve()

◆ cdsVol()

◆ baseCorrelation()

◆ capFloorVol()

◆ yoyCapFloorVol()

◆ zeroInflationIndex()

◆ cpiInflationCapFloorVolatilitySurface()

◆ equitySpot()

◆ equityForecastCurve()

◆ equityVol()

◆ refresh()

◆ securitySpread()

◆ commodityPriceCurve()

◆ commodityIndex()

◆ commodityVolatility()

◆ correlationCurve()