Reference manual - version ored_version
Commodity forward quote class. More...
#include <ored/marketdata/marketdatum.hpp>
Inheritance diagram for CommodityForwardQuote: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. | |
| QuantLib::ext::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 * DaysstartTenor will be 1 * Days and tenor will be 1 * Days