BondSpreadImply Class Reference

Static Public Member Functions
static std::map< std::string, QuantLib::ext::shared_ptr< Security > >	requiredSecurities (const Date &asof, const QuantLib::ext::shared_ptr< TodaysMarketParameters > &params, const QuantLib::ext::shared_ptr< CurveConfigurations > &curveConfigs, const Loader &loader, const bool continueOnError=false, const std::string &excludeRegex=std::string())
static QuantLib::ext::shared_ptr< Loader >	implyBondSpreads (const std::map< std::string, QuantLib::ext::shared_ptr< Security >> &securities, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager, const QuantLib::ext::shared_ptr< Market > &market, const QuantLib::ext::shared_ptr< EngineData > &engineData, const std::string &configuration, const IborFallbackConfig &iborFallbackConfig)

Member Function Documentation

requiredSecurities()

static std::map<std::string, QuantLib::ext::shared_ptr<Security> > requiredSecurities ( const Date &  asof, const QuantLib::ext::shared_ptr< TodaysMarketParameters > &  params, const QuantLib::ext::shared_ptr< CurveConfigurations > &  curveConfigs, const Loader &  loader, const bool  continueOnError = false, const std::string &  excludeRegex = std::string()  )

static

Determine the securities that require a spread imply and return a map securityID => security containing them. If excludeRegex is non-empty security ids that match excludeRegex are excluded from the returned list.

implyBondSpreads()

static QuantLib::ext::shared_ptr<Loader> implyBondSpreads ( const std::map< std::string, QuantLib::ext::shared_ptr< Security >> &  securities, const QuantLib::ext::shared_ptr< ReferenceDataManager > &  referenceDataManager, const QuantLib::ext::shared_ptr< Market > &  market, const QuantLib::ext::shared_ptr< EngineData > &  engineData, const std::string &  configuration, const IborFallbackConfig &  iborFallbackConfig  )

static

Imply bond spreads and add them to the loader.