Reference manual - version ored_version
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 "eCurrency, const QuantLib::ext::shared_ptr< Expiry > &expiry, const QuantLib::ext::shared_ptr< BaseStrike > &strike, QuantLib::Option::Type optionType=QuantLib::Option::Call) | |
| Constructor. More... | |
| 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::ext::shared_ptr< Expiry > & | expiry () const |
| const QuantLib::ext::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 QuantLib::ext::shared_ptr< Expiry > & | expiry, | ||
| const QuantLib::ext::shared_ptr< BaseStrike > & | strike, | ||
| QuantLib::Option::Type | optionType = QuantLib::Option::Call |
||
| ) |
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. |
