Reference manual - version ored_version
#include <ored/marketdata/todaysmarket.hpp>
Public Member Functions | |
| TodaysMarket (const Date &asof, const QuantLib::ext::shared_ptr< TodaysMarketParameters > ¶ms, const QuantLib::ext::shared_ptr< Loader > &loader, const QuantLib::ext::shared_ptr< CurveConfigurations > &curveConfigs, const bool continueOnError=false, const bool loadFixings=true, const bool lazyBuild=false, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const bool preserveQuoteLinkage=false, const QuantLib::ext::shared_ptr< ore::data::IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< ore::data::IborFallbackConfig >(ore::data::IborFallbackConfig::defaultConfig()), const bool buildCalibrationInfo=true, const bool handlePseudoCurrencies=true) | |
| Constructor taking pointers and allowing for a lazy build of the market objects. | |
| QuantLib::ext::shared_ptr< TodaysMarketCalibrationInfo > | calibrationInfo () const |
| Public Member Functions inherited from MarketImpl | |
| MarketImpl (const bool handlePseudoCurrencies) | |
| 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. | |
| QuantLib::Handle< Quote > | cpr (const string &securityID, const string &configuration=Market::defaultConfiguration) const override |
| 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. | |
| 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 |
Additional Inherited Members | |
| static const string | defaultConfiguration |
| Default configuration label. | |
| static const string | inCcyConfiguration |
| InCcy configuration label. | |
| void | addSwapIndex (const string &swapindex, const string &discountIndex, const string &configuration=Market::defaultConfiguration) const |
| add a swap index to the market | |
| 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_ |
| bool | handlePseudoCurrencies_ = false |
Today's Market.
Today's Market differs from MarketImpl in that it actually loads market data and builds term structure objects.
We label this object Today's Market in contrast to the Simulation Market which can differ in composition and granularity. The Simulation Market is initialised using a Today's Market object.
Today's market's purpose is t0 pricing, the Simulation Market's purpose is pricing under future scenarios.
| TodaysMarket | ( | const Date & | asof, |
| const QuantLib::ext::shared_ptr< TodaysMarketParameters > & | params, | ||
| const QuantLib::ext::shared_ptr< Loader > & | loader, | ||
| const QuantLib::ext::shared_ptr< CurveConfigurations > & | curveConfigs, | ||
| const bool | continueOnError = false, | ||
| const bool | loadFixings = true, | ||
| const bool | lazyBuild = false, | ||
| const QuantLib::ext::shared_ptr< ReferenceDataManager > & | referenceData = nullptr, | ||
| const bool | preserveQuoteLinkage = false, | ||
| const QuantLib::ext::shared_ptr< ore::data::IborFallbackConfig > & | iborFallbackConfig = QuantLib::ext::make_shared< ore::data::IborFallbackConfig >(ore::data::IborFallbackConfig::defaultConfig()), | ||
| const bool | buildCalibrationInfo = true, | ||
| const bool | handlePseudoCurrencies = true ) |
Constructor taking pointers and allowing for a lazy build of the market objects.
| asof | Valuation date |
| params | Description of the market composition |
| loader | Market data loader |
| curveConfigs | Description of curve compositions |
| continueOnError | Continue even if build errors occur |
| loadFixings | Optional Load Fixings |
| lazyBuild | If yes, build market objects lazily |
| referenceData | Optional reference data manager, needed to build fitted bond curves |
| preserveQuoteLinkage | If true, preserve link to loader quotes, this might heavily interfere with XVA simulations! |
| iborFallbackConfig | the ibor fallback config |
| buildCalibrationInfo | build calibration info? |
| handlePseudoCurrencies | support pseudo currencies |
