marketdata.hpp File Reference

market data related utilties More...

#include <ored/configuration/conventions.hpp>
#include <ored/marketdata/market.hpp>
#include <string>

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

Functions
std::string	xccyCurveName (const std::string &ccyCode)
QuantLib::Handle< QuantLib::YieldTermStructure >	xccyYieldCurve (const QuantLib::ext::shared_ptr< Market > &market, const std::string &ccyCode, const std::string &configuration=Market::defaultConfiguration)
QuantLib::Handle< QuantLib::YieldTermStructure >	xccyYieldCurve (const QuantLib::ext::shared_ptr< Market > &market, const std::string &ccyCode, bool &outXccyExists, const std::string &configuration=Market::defaultConfiguration)
QuantLib::Handle< QuantLib::YieldTermStructure >	indexOrYieldCurve (const QuantLib::ext::shared_ptr< Market > &market, const std::string &name, const std::string &configuration=Market::defaultConfiguration)
std::string	securitySpecificCreditCurveName (const std::string &securityId, const std::string &creditCurveId)
std::string	creditCurveNameFromSecuritySpecificCreditCurveName (const std::string &name)
QuantLib::Handle< QuantExt::CreditCurve >	securitySpecificCreditCurve (const QuantLib::ext::shared_ptr< Market > &market, const std::string &securityId, const std::string &creditCurveId, const std::string &configuration=Market::defaultConfiguration)
std::pair< std::string, QuantLib::Period >	splitCurveIdWithTenor (const std::string &curveId)
QuantLib::Handle< QuantExt::CreditCurve >	indexCdsDefaultCurve (const QuantLib::ext::shared_ptr< Market > &market, const std::string &creditCurveId, const std::string &config)
Handle< QuantExt::BaseCorrelationTermStructure >	indexTrancheBaseCorrelationCurve (const QuantLib::ext::shared_ptr< Market > &market, const std::string &baseCorrelationCurveId, const std::string &configuration)
std::string	prettyPrintInternalCurveName (std::string name)
QuantLib::ext::shared_ptr< QuantExt::FxIndex >	buildFxIndex (const string &fxIndex, const string &domestic, const string &foreign, const QuantLib::ext::shared_ptr< Market > &market, const string &configuration, bool useXbsCurves=false)
std::tuple< Natural, Calendar, BusinessDayConvention >	getFxIndexConventions (const string &index)
std::pair< Date, Date >	getOiFutureStartEndDate (QuantLib::Month expiryMonth, QuantLib::Natural expiryYear, QuantLib::Period tenor, FutureConvention::DateGenerationRule rule, const QuantLib::Calendar &calendar)
Date	getMmFutureExpiryDate (QuantLib::Month expiryMonth, QuantLib::Natural expiryYear)
std::string	indexTrancheSpecificCreditCurveName (const std::string &creditCurveId, const double assumedRecoveryRate)
QuantLib::Handle< QuantExt::CreditCurve >	indexTrancheSpecificCreditCurve (const QuantLib::ext::shared_ptr< Market > &market, const std::string &creditCurveId, const std::string &configuration, const double assumedRecoveryRate)
std::string	fxIndexNameForDailyLowsOrHighs (const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex, bool lows)
std::string	fxIndexNameForDailyLows (const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex)
std::string	fxIndexNameForDailyHighs (const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex)

Variables
const std::string	xccyCurveNamePrefix

Detailed Description

market data related utilties