Commodity option data class. More...
#include <ored/marketdata/marketdatum.hpp>
Public Member Functions | |
CommodityOptionQuote (QuantLib::Real value, const QuantLib::Date &asof, const std::string &name, QuoteType quoteType, const std::string &commodityName, const std::string "eCurrency, const boost::shared_ptr< Expiry > &expiry, const boost::shared_ptr< BaseStrike > &strike, QuantLib::Option::Type optionType=QuantLib::Option::Call) | |
Constructor. More... | |
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 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_ |
Commodity option data class.
This class holds single market points of type COMMODITY_OPTION
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 |
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) |
Constructor.
value | The volatility value |
asof | The quote date |
name | The quote name |
quoteType | The quote type, should be RATE_LNVOL |
commodityName | The name of the underlying commodity |
quoteCurrency | The quote currency |
expiry | Expiry object defining the quote's expiry |
strike | Strike object defining the quote's strike |
optionType | The option type. |