#include <ored/marketdata/wrappedmarket.hpp>

Inheritance diagram for WrappedMarket:

Public Member Functions
	WrappedMarket (const QuantLib::ext::shared_ptr< Market > &market, const bool handlePseudoCurrencies)
QuantLib::ext::shared_ptr< Market >	underlyingMarket () const
Date	asofDate () const override
	Get the asof Date.
Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &name, const string &configuration=Market::defaultConfiguration) const override
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< SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
string	shortSwapIndexBase (const string &ccy, const string &configuration=Market::defaultConfiguration) const override
string	swapIndexBase (const string &ccy, const string &configuration=Market::defaultConfiguration) const override
Handle< SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	fxSpotImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	fxRateImpl (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 &name, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	recoveryRate (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditVolCurve >	cdsVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
std::pair< string, QuantLib::Period >	capFloorVolIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
	Inflation Indexes.
Handle< YoYInflationIndex >	yoyInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
	CPI Inflation Cap Floor Volatility Surfaces.
Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	equityDividendCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::EquityIndex2 >	equityCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
void	refresh (const string &s) override
	Refresh term structures for a given configuration.
Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	conversionFactor (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	securityPrice (const string &name, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const std::string &index1, const std::string &index2, const std::string &configuration=Market::defaultConfiguration) const override
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

Protected Attributes
QuantLib::ext::shared_ptr< Market >	market_
bool	handlePseudoCurrencies_ = false

Additional Inherited Members
static const string	defaultConfiguration
	Default configuration label.
static const string	inCcyConfiguration
	InCcy configuration label.

Detailed Description

Wrapped Market.

All incoming requests are passed through to an underlying market. This class can be used to override single methods for special markets. For example a derived class can override the securitySpread() method and return a dedicated simple quote handle that can be used to imply a bond spread. Another example is a market returning commodity term structures as fx term structures for precious metals.

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 &	name,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

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

overridevirtual

Implements Market.

◆ shortSwapIndexBase()

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

overridevirtual

Implements Market.

◆ swapIndexBase()

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

overridevirtual

Implements Market.

◆ yieldVol()

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

overridevirtual

Implements Market.

◆ fxIndexImpl()

Handle< QuantExt::FxIndex > fxIndexImpl	(	const string &	fxIndex,
		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.

◆ fxRateImpl()

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

overridevirtual

Implements Market.

◆ recoveryRate()

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

overridevirtual

Implements Market.

◆ cdsVol()

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

overridevirtual

Implements Market.

◆ baseCorrelation()

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

overridevirtual

Implements Market.

◆ capFloorVol()

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

overridevirtual

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 &	indexName,
		const string &	configuration = Market::defaultConfiguration ) const

overridevirtual

Implements Market.

◆ zeroInflationIndex()

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

overridevirtual

Inflation Indexes.

Implements Market.

◆ yoyInflationIndex()

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

overridevirtual

Implements Market.

◆ cpiInflationCapFloorVolatilitySurface()

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

overridevirtual

CPI Inflation Cap Floor Volatility Surfaces.

Implements Market.

◆ equitySpot()

Handle< Quote > equitySpot	(	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.

◆ equityForecastCurve()

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

overridevirtual

Implements Market.

◆ equityCurve()

Handle< QuantExt::EquityIndex2 > equityCurve	(	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

Implements Market.

◆ refresh()

void refresh ( const string & )

overridevirtual

Refresh term structures for a given configuration.

Reimplemented from Market.

◆ securitySpread()

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

overridevirtual

Implements Market.

◆ conversionFactor()

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

overridevirtual

Implements Market.

◆ securityPrice()

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

overridevirtual

Implements Market.

◆ commodityPriceCurve()

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

overridevirtual

Implements Market.

◆ commodityIndex()

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

overridevirtual

Implements Market.

◆ commodityVolatility()

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

overridevirtual

Implements Market.

◆ correlationCurve()

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

overridevirtual

Implements Market.

◆ cpr()

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

overridevirtual

Implements Market.

Public Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Member Function Documentation

◆ asofDate()

◆ yieldCurve() [1/2]

◆ discountCurveImpl()

◆ yieldCurve() [2/2]

◆ iborIndex()

◆ swapIndex()

◆ swaptionVol()

◆ shortSwapIndexBase()

◆ swapIndexBase()

◆ yieldVol()

◆ fxIndexImpl()

◆ fxSpotImpl()

◆ fxRateImpl()

◆ fxVolImpl()

◆ defaultCurve()

◆ recoveryRate()

◆ cdsVol()

◆ baseCorrelation()

◆ capFloorVol()

◆ capFloorVolIndexBase()

◆ yoyCapFloorVol()

◆ zeroInflationIndex()

◆ yoyInflationIndex()

◆ cpiInflationCapFloorVolatilitySurface()

◆ equitySpot()

◆ equityDividendCurve()

◆ equityForecastCurve()

◆ equityCurve()

◆ equityVol()

◆ refresh()

◆ securitySpread()

◆ conversionFactor()

◆ securityPrice()

◆ commodityPriceCurve()

◆ commodityIndex()

◆ commodityVolatility()

◆ correlationCurve()

◆ cpr()