#include <ored/marketdata/marketimpl.hpp>

Inheritance diagram for MarketImpl:

Public Member Functions
	MarketImpl (const bool handlePseudoCurrencies)
Market interface
Date	asofDate () const override
	Get the asof Date.
Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &ccy, const string &configuration=Market::defaultConfiguration) const override
	Yield Curves.
Handle< YieldTermStructure >	discountCurveImpl (const string &ccy, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	yieldCurve (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< IborIndex >	iborIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< SwapIndex >	swapIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
	Swaptions.
string	shortSwapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override
string	swapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
	Yield volatility.
QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const override
	FX.
Handle< Quote >	fxRateImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	fxSpotImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override
Handle< BlackVolTermStructure >	fxVolImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const override
	Default Curves and Recovery Rates.
Handle< Quote >	recoveryRate (const string &, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditVolCurve >	cdsVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
	CDS volatilities.
Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &name, const string &configuration=Market::defaultConfiguration) const override
	Base correlation structures.
Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
	CapFloor volatilities.
std::pair< string, QuantLib::Period >	capFloorVolIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
	YoY Inflation CapFloor volatilities.
virtual Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
	Inflation Indexes.
virtual Handle< YoYInflationIndex >	yoyInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< QuantLib::CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
	Inflation Cap Floor Volatility Surfaces.
Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
	Equity curves.
Handle< QuantExt::EquityIndex2 >	equityCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	equityDividendCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
	Equity volatilities.
Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
	Equity forecasting curves.
Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
	Security Spreads.
Handle< Quote >	conversionFactor (const string &, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	securityPrice (const string &, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::InflationIndexObserver >	baseCpis (const string &index, const string &configuration=Market::defaultConfiguration) const
	Cpi Base Quotes.
QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
	Commodity curves.
QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override
	Commodity index.
QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
	Commodity volatility.
Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const string &index1, const string &index2, const string &configuration=Market::defaultConfiguration) const override
	Correlation curves.
Conditional Prepayment Rates
QuantLib::Handle< Quote >	cpr (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
Public Member Functions inherited from Market
	Market (const bool handlePseudoCurrencies)
	Constructor.
virtual	~Market ()
	Destructor.
Handle< YieldTermStructure >	discountCurve (const string &ccy, const string &configuration=Market::defaultConfiguration) const
QuantLib::Handle< QuantExt::FxIndex >	fxIndex (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const
Handle< Quote >	fxRate (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
Handle< Quote >	fxSpot (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
Handle< BlackVolTermStructure >	fxVol (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
string	commodityCurveLookup (const string &pm) const
bool	handlePseudoCurrencies () const

Disable copying
Date	asof_
QuantLib::ext::shared_ptr< FXTriangulation >	fx_
map< tuple< string, YieldCurveType, string >, Handle< YieldTermStructure > >	yieldCurves_
map< pair< string, string >, Handle< IborIndex > >	iborIndices_
map< pair< string, string >, Handle< SwapIndex > >	swapIndices_
map< pair< string, string >, Handle< QuantLib::SwaptionVolatilityStructure > >	swaptionCurves_
map< pair< string, string >, pair< string, string > >	swaptionIndexBases_
map< pair< string, string >, Handle< QuantLib::SwaptionVolatilityStructure > >	yieldVolCurves_
map< pair< string, string >, Handle< BlackVolTermStructure > >	fxVols_
map< pair< string, string >, Handle< QuantExt::CreditCurve > >	defaultCurves_
map< pair< string, string >, Handle< QuantExt::CreditVolCurve > >	cdsVols_
map< pair< string, string >, Handle< QuantExt::BaseCorrelationTermStructure > >	baseCorrelations_
map< pair< string, string >, Handle< Quote > >	recoveryRates_
map< pair< string, string >, Handle< OptionletVolatilityStructure > >	capFloorCurves_
map< pair< string, string >, std::pair< string, QuantLib::Period > >	capFloorIndexBase_
map< pair< string, string >, Handle< YoYOptionletVolatilitySurface > >	yoyCapFloorVolSurfaces_
map< pair< string, string >, Handle< ZeroInflationIndex > >	zeroInflationIndices_
map< pair< string, string >, Handle< YoYInflationIndex > >	yoyInflationIndices_
map< pair< string, string >, Handle< QuantLib::CPIVolatilitySurface > >	cpiInflationCapFloorVolatilitySurfaces_
map< pair< string, string >, Handle< Quote > >	equitySpots_
map< pair< string, string >, Handle< BlackVolTermStructure > >	equityVols_
map< pair< string, string >, Handle< Quote > >	securitySpreads_
map< pair< string, string >, Handle< Quote > >	conversionFactors_
map< pair< string, string >, Handle< Quote > >	securityPrices_
map< pair< string, string >, Handle< QuantExt::InflationIndexObserver > >	baseCpis_
map< tuple< string, string, string >, Handle< QuantExt::CorrelationTermStructure > >	correlationCurves_
map< pair< string, string >, QuantLib::Handle< QuantExt::CommodityIndex > >	commodityIndices_
map< pair< string, string >, QuantLib::Handle< QuantLib::BlackVolTermStructure > >	commodityVols_
map< pair< string, string >, QuantLib::Handle< QuantExt::EquityIndex2 > >	equityCurves_
map< pair< string, string >, Handle< Quote > >	cprs_
map< string, std::set< QuantLib::ext::shared_ptr< TermStructure > > >	refreshTs_
	MarketImpl (const MarketImpl &)=delete
MarketImpl &	operator= (const MarketImpl &)=delete
void	refresh (const string &configuration=Market::defaultConfiguration) override
	Send an explicit update() call to all term structures.
virtual void	require (const MarketObject o, const string &name, const string &configuration, const bool forceBuild=false) const
void	addSwapIndex (const string &swapindex, const string &discountIndex, const string &configuration=Market::defaultConfiguration) const
	add a swap index to the market

Additional Inherited Members
static const string	defaultConfiguration
	Default configuration label.
static const string	inCcyConfiguration
	InCcy configuration label.
bool	handlePseudoCurrencies_ = false

Detailed Description

Market Implementation.

The MarketImpl class differs from the Market base class in that it contains concrete maps of term structures, and it implements the interface.

Member Function Documentation

◆ asofDate()

Date asofDate ( ) const

overridevirtual

Get the asof Date.

Implements Market.

◆ yieldCurve() [1/2]

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

overridevirtual

Yield Curves.

Implements Market.

◆ discountCurveImpl()

Handle< YieldTermStructure > discountCurveImpl	(	const string &	ccy,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ yieldCurve() [2/2]

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

overridevirtual

Implements Market.

◆ iborIndex()

Handle< IborIndex > iborIndex	(	const string &	indexName,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ swapIndex()

Handle< SwapIndex > swapIndex	(	const string &	indexName,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ swaptionVol()

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

overridevirtual

Swaptions.

Implements Market.

◆ shortSwapIndexBase()

string shortSwapIndexBase	(	const string &	key,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ swapIndexBase()

string swapIndexBase	(	const string &	key,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ yieldVol()

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

overridevirtual

Yield volatility.

Implements Market.

◆ fxIndexImpl()

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

overridevirtual

FX.

Implements Market.

◆ fxRateImpl()

Handle< Quote > fxRateImpl	(	const string &	ccypair,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ fxSpotImpl()

Handle< Quote > fxSpotImpl	(	const string &	ccypair,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ fxVolImpl()

Handle< BlackVolTermStructure > fxVolImpl	(	const string &	ccypair,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ defaultCurve()

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

overridevirtual

Default Curves and Recovery Rates.

Implements Market.

◆ recoveryRate()

Handle< Quote > recoveryRate	(	const string &	,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ cdsVol()

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

overridevirtual

CDS volatilities.

Implements Market.

◆ baseCorrelation()

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

overridevirtual

Base correlation structures.

Implements Market.

◆ capFloorVol()

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

overridevirtual

CapFloor volatilities.

Implements Market.

◆ capFloorVolIndexBase()

std::pair< string, QuantLib::Period > capFloorVolIndexBase	(	const string &	key,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ yoyCapFloorVol()

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

overridevirtual

YoY Inflation CapFloor volatilities.

Implements Market.

◆ zeroInflationIndex()

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

overridevirtual

Inflation Indexes.

Implements Market.

◆ yoyInflationIndex()

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

overridevirtual

Implements Market.

◆ cpiInflationCapFloorVolatilitySurface()

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

overridevirtual

Inflation Cap Floor Volatility Surfaces.

Implements Market.

◆ equitySpot()

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

overridevirtual

Equity curves.

Implements Market.

◆ equityCurve()

Handle< QuantExt::EquityIndex2 > equityCurve	(	const string &	eqName,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ equityDividendCurve()

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

overridevirtual

Implements Market.

◆ equityVol()

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

overridevirtual

Equity volatilities.

Implements Market.

◆ equityForecastCurve()

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

overridevirtual

Equity forecasting curves.

Implements Market.

◆ securitySpread()

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

overridevirtual

Security Spreads.

Implements Market.

◆ conversionFactor()

Handle< Quote > conversionFactor	(	const string &	,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ securityPrice()

Handle< Quote > securityPrice	(	const string &	,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ commodityPriceCurve()

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

overridevirtual

Commodity curves.

Implements Market.

◆ commodityIndex()

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

overridevirtual

Commodity index.

Implements Market.

◆ commodityVolatility()

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

overridevirtual

Commodity volatility.

Implements Market.

◆ correlationCurve()

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

overridevirtual

Correlation curves.

Implements Market.

◆ cpr()

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

overridevirtual

Implements Market.

◆ refresh()

void refresh ( const string & configuration = Market::defaultConfiguration )

overridevirtual

Send an explicit update() call to all term structures.

Reimplemented from Market.

◆ require()

virtual void require	(	const MarketObject	o,
		const string &	name,
		const string &	configuration,
		const bool	forceBuild = false ) const

protectedvirtual

Require a market object, this can be used in derived classes to build objects lazily. If the method is not overwritten in a derived class, it is assumed that the class builds all market object upfront.

For FXVols and Correlations the require is not 'hard', e.g. both EURUSD and USDEUR might be required for FXVols, but only one of them is expected to be actually built (the other one is then constructed on the fly from the first one). Therefore no error should be thrown in the implementation of require(), if an object is ultimately not found, an appropriate error will be thrown from this class.

An object is required for a single configuration. If it can't be built for this configuration, it should be tried to be built for the "default" configuration instead, because this is used as a fallback.

Notice that correlation curves are required with '&' as a delimiter between the indexes.

Public Member Functions

Disable copying

Additional Inherited Members

Detailed Description

Member Function Documentation

◆ asofDate()

◆ yieldCurve() [1/2]

◆ discountCurveImpl()

◆ yieldCurve() [2/2]

◆ iborIndex()

◆ swapIndex()

◆ swaptionVol()

◆ shortSwapIndexBase()

◆ swapIndexBase()

◆ yieldVol()

◆ fxIndexImpl()

◆ fxRateImpl()

◆ fxSpotImpl()

◆ fxVolImpl()

◆ defaultCurve()

◆ recoveryRate()

◆ cdsVol()

◆ baseCorrelation()

◆ capFloorVol()

◆ capFloorVolIndexBase()

◆ yoyCapFloorVol()

◆ zeroInflationIndex()

◆ yoyInflationIndex()

◆ cpiInflationCapFloorVolatilitySurface()

◆ equitySpot()

◆ equityCurve()

◆ equityDividendCurve()

◆ equityVol()

◆ equityForecastCurve()

◆ securitySpread()

◆ conversionFactor()

◆ securityPrice()

◆ commodityPriceCurve()

◆ commodityIndex()

◆ commodityVolatility()

◆ correlationCurve()

◆ cpr()

◆ refresh()

◆ require()