Reference manual - version ored_version
Base market data class. More...
#include <ored/marketdata/marketdatum.hpp>
Public Types | |
| 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. | |
Public Member Functions | |
| MarketDatum (Real value, Date asofDate, const string &name, QuoteType quoteType, InstrumentType instrumentType) | |
| Constructor. | |
| virtual | ~MarketDatum () |
| Default destructor. | |
| virtual QuantLib::ext::shared_ptr< MarketDatum > | clone () |
| Make a copy of the market datum. | |
Inspectors | |
| Handle< Quote > | quote_ |
| Date | asofDate_ |
| string | name_ |
| InstrumentType | instrumentType_ |
| QuoteType | quoteType_ |
| class | boost::serialization::access |
| Serialization. | |
| const string & | name () const |
| const Handle< Quote > & | quote () const |
| Date | asofDate () const |
| InstrumentType | instrumentType () const |
| QuoteType | quoteType () const |
| void | setValue (const double v) |
Base market data class.
This class holds a single market point, a SimpleQuote pointer and generic additional information.
The market point is classified by an instrument type, a quote type and a name string. The name's structure depends on the market point's type with tokens separated by "/".
Specific market data classes are derived from this base class and hold additional specific data that are represented by the market point's name.
|
virtual |
Make a copy of the market datum.
Reimplemented in BaseCorrelationQuote, BasisSwapQuote, BMASwapQuote, BondFutureConversionFactor, BondFuturePriceQuote, BondOptionQuote, BondOptionShiftQuote, BondPriceQuote, CapFloorQuote, CapFloorShiftQuote, CdsQuote, CommodityForwardQuote, CommodityOptionQuote, CommodityOptionShiftQuote, CommoditySpotQuote, CorrelationQuote, CPRQuote, CrossCcyBasisSwapQuote, CrossCcyFixFloatSwapQuote, DiscountQuote, EquityDividendYieldQuote, EquityForwardQuote, EquityOptionQuote, EquitySpotQuote, FRAQuote, FXForwardQuote, FXOptionQuote, FXSpotQuote, HazardRateQuote, ImmFraQuote, IndexCDSOptionQuote, InflationCapFloorQuote, MMFutureQuote, MoneyMarketQuote, OIFutureQuote, RecoveryRateQuote, SeasonalityQuote, SecuritySpreadQuote, SwapQuote, SwaptionQuote, SwaptionShiftQuote, YoYInflationSwapQuote, YyInflationCapFloorQuote, ZcInflationCapFloorQuote, ZcInflationSwapQuote, and ZeroQuote.
