Commodity forward quote class. More...
#include <ored/marketdata/marketdatum.hpp>
Public Member Functions | |
CommodityForwardQuote (QuantLib::Real value, const QuantLib::Date &asofDate, const std::string &name, QuoteType quoteType, const std::string &commodityName, const std::string "eCurrency, const QuantLib::Date &expiryDate) | |
Date based commodity forward constructor. | |
CommodityForwardQuote (QuantLib::Real value, const QuantLib::Date &asofDate, const std::string &name, QuoteType quoteType, const std::string &commodityName, const std::string "eCurrency, const QuantLib::Period &tenor, boost::optional< QuantLib::Period > startTenor=boost::none) | |
Tenor based commodity forward constructor. | |
boost::shared_ptr< MarketDatum > | clone () override |
Make a copy of the market datum. | |
Public Member Functions inherited from MarketDatum | |
MarketDatum (Real value, Date asofDate, const string &name, QuoteType quoteType, InstrumentType instrumentType) | |
Constructor. | |
virtual | ~MarketDatum () |
Default destructor. | |
const string & | name () const |
const Handle< Quote > & | quote () const |
Date | asofDate () const |
InstrumentType | instrumentType () const |
QuoteType | quoteType () const |
Inspectors | |
class | boost::serialization::access |
Serialization. | |
const std::string & | commodityName () const |
const std::string & | quoteCurrency () const |
const QuantLib::Date & | expiryDate () const |
The commodity forward's expiry if the quote is date based. | |
const QuantLib::Period & | tenor () const |
The commodity forward's tenor if the quote is tenor based. | |
const boost::optional< QuantLib::Period > & | startTenor () const |
bool | tenorBased () const |
Returns true if the forward is tenor based and false if forward is date based. | |
Additional Inherited Members | |
Public Types inherited from MarketDatum | |
enum class | InstrumentType { ZERO , DISCOUNT , MM , MM_FUTURE , OI_FUTURE , FRA , IMM_FRA , IR_SWAP , BASIS_SWAP , BMA_SWAP , CC_BASIS_SWAP , CC_FIX_FLOAT_SWAP , CDS , CDS_INDEX , FX_SPOT , FX_FWD , HAZARD_RATE , RECOVERY_RATE , SWAPTION , CAPFLOOR , FX_OPTION , ZC_INFLATIONSWAP , ZC_INFLATIONCAPFLOOR , YY_INFLATIONSWAP , YY_INFLATIONCAPFLOOR , SEASONALITY , EQUITY_SPOT , EQUITY_FWD , EQUITY_DIVIDEND , EQUITY_OPTION , BOND , BOND_OPTION , INDEX_CDS_OPTION , COMMODITY_SPOT , COMMODITY_FWD , CORRELATION , COMMODITY_OPTION , CPR , RATING , NONE } |
Supported market instrument types. | |
enum class | QuoteType { BASIS_SPREAD , CREDIT_SPREAD , CONV_CREDIT_SPREAD , YIELD_SPREAD , HAZARD_RATE , RATE , RATIO , PRICE , RATE_LNVOL , RATE_NVOL , RATE_SLNVOL , BASE_CORRELATION , SHIFT , TRANSITION_PROBABILITY , NONE } |
Supported market quote types. | |
Protected Attributes inherited from MarketDatum | |
Handle< Quote > | quote_ |
Date | asofDate_ |
string | name_ |
InstrumentType | instrumentType_ |
QuoteType | quoteType_ |
Commodity forward quote class.
This class holds a forward price for a commodity in a given currency
const boost::optional<QuantLib::Period>& startTenor | ( | ) | const |
The period between the as of date and the date from which the forward tenor is applied. This is generally the spot tenor which is indicated by boost::none
but there are special cases:
startTenor
will be 0 * Days
and tenor
will be 1 * Days
startTenor
will be 1 * Days
and tenor
will be 1 * Days