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Public Member Functions | List of all members
CommodityOptionQuote Class Reference

Commodity option data class. More...

#include <ored/marketdata/marketdatum.hpp>

+ Inheritance diagram for CommodityOptionQuote:

Public Member Functions

 CommodityOptionQuote (QuantLib::Real value, const QuantLib::Date &asof, const std::string &name, QuoteType quoteType, const std::string &commodityName, const std::string &quoteCurrency, const boost::shared_ptr< Expiry > &expiry, const boost::shared_ptr< BaseStrike > &strike, QuantLib::Option::Type optionType=QuantLib::Option::Call)
 Constructor. More...
 
boost::shared_ptr< MarketDatumclone () 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 boost::shared_ptr< Expiry > & expiry () const
 
const boost::shared_ptr< BaseStrike > & strike () const
 
QuantLib::Option::Type optionType () const
 

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_
 

Detailed Description

Commodity option data class.

This class holds single market points of type COMMODITY_OPTION

Constructor & Destructor Documentation

◆ CommodityOptionQuote()

CommodityOptionQuote ( QuantLib::Real  value,
const QuantLib::Date &  asof,
const std::string &  name,
QuoteType  quoteType,
const std::string &  commodityName,
const std::string &  quoteCurrency,
const boost::shared_ptr< Expiry > &  expiry,
const boost::shared_ptr< BaseStrike > &  strike,
QuantLib::Option::Type  optionType = QuantLib::Option::Call 
)

Constructor.

Parameters
valueThe volatility value
asofThe quote date
nameThe quote name
quoteTypeThe quote type, should be RATE_LNVOL
commodityNameThe name of the underlying commodity
quoteCurrencyThe quote currency
expiryExpiry object defining the quote's expiry
strikeStrike object defining the quote's strike
optionTypeThe option type.