dependencies.hpp File Reference

Utility functions for determining curve dependencies. More...

#include <ored/marketdata/market.hpp>

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Functions
void	addMarketObjectDependencies (std::map< std::string, std::map< ore::data::MarketObject, std::set< std::string > > > *objects, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const std::string &baseCcy, const std::string &baseCcyDiscountCurve, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()))
	Add additional curve dependencies to the given map by MarketObject.
std::string	marketObjectToCurveSpec (const MarketObject &mo, const std::string &name, const string &baseCcy, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs)
	Generate the curve spec name for a market object.
std::string	currencyToDiscountCurve (const std::string &ccy, const std::string &baseCcy, const std::string &baseCcyDiscountCurve, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs)
std::string	swapIndexDiscountCurve (const std::string &ccy, const std::string &baseCcy=std::string(), const std::string &swapIndexConvId=std::string())
	Find an appropriate discount curve for a SwapIndex if non provided.
void	buildCollateralCurveConfig (const string &curveId, const std::string &baseCcy, const std::string &baseCcyDiscountCurve, const QuantLib::ext::shared_ptr< CurveConfigurations > &curveConfigs)
std::set< std::string >	getCollateralisedDiscountCcy (const std::string &ccy, const QuantLib::ext::shared_ptr< CurveConfigurations > &curveConfigs)
const bool	isCollateralCurve (const std::string &id, std::vector< std::string > &tokens)

Detailed Description

Utility functions for determining curve dependencies.