FittedBondCurveHelperMarket Class Reference

#include <ored/marketdata/fittedbondcurvehelpermarket.hpp>

Inheritance diagram for FittedBondCurveHelperMarket:

Public Member Functions
	FittedBondCurveHelperMarket (const std::map< std::string, Handle< YieldTermStructure >> &iborIndexCurves={}, const bool handlePseudoCurrencies=true)
Handle< YieldTermStructure >	yieldCurve (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	recoveryRate (const string &, const string &configuration=Market::defaultConfiguration) const override
Public Member Functions inherited from MarketImpl
	MarketImpl (const bool handlePseudoCurrencies)
Date	asofDate () const override
	Get the asof Date.
Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &ccy, const string &configuration=Market::defaultConfiguration) const override
	Yield Curves.
Handle< YieldTermStructure >	discountCurveImpl (const string &ccy, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	yieldCurve (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< IborIndex >	iborIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< SwapIndex >	swapIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
	Swaptions.
string	shortSwapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override
string	swapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
	Yield volatility.
QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const override
	FX.
Handle< Quote >	fxRateImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	fxSpotImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override
Handle< BlackVolTermStructure >	fxVolImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const override
	Default Curves and Recovery Rates.
Handle< Quote >	recoveryRate (const string &, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditVolCurve >	cdsVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
	CDS volatilities.
Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &name, const string &configuration=Market::defaultConfiguration) const override
	Base correlation structures.
Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
	CapFloor volatilities.
std::pair< string, QuantLib::Period >	capFloorVolIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
	YoY Inflation CapFloor volatilities.
virtual Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
	Inflation Indexes.
virtual Handle< YoYInflationIndex >	yoyInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
	Inflation Cap Floor Volatility Surfaces.
Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
	Equity curves.
Handle< QuantExt::EquityIndex2 >	equityCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	equityDividendCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
	Equity volatilities.
Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
	Equity forecasting curves.
Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
	Bond Spreads.
Handle< QuantExt::InflationIndexObserver >	baseCpis (const string &index, const string &configuration=Market::defaultConfiguration) const
	Cpi Base Quotes.
QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
	Commodity curves.
QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override
	Commodity index.
QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
	Commodity volatility.
Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const string &index1, const string &index2, const string &configuration=Market::defaultConfiguration) const override
	Correlation curves.
QuantLib::Handle< Quote >	cpr (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
	MarketImpl (const MarketImpl &)=delete
MarketImpl &	operator= (const MarketImpl &)=delete
void	refresh (const string &configuration=Market::defaultConfiguration) override
	Send an explicit update() call to all term structures.
Public Member Functions inherited from Market
	Market (const bool handlePseudoCurrencies)
	Constructor.
virtual	~Market ()
	Destructor.
Handle< YieldTermStructure >	discountCurve (const string &ccy, const string &configuration=Market::defaultConfiguration) const
QuantLib::Handle< QuantExt::FxIndex >	fxIndex (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const
Handle< Quote >	fxRate (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
Handle< Quote >	fxSpot (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
Handle< BlackVolTermStructure >	fxVol (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
string	commodityCurveLookup (const string &pm) const
bool	handlePseudoCurrencies () const

Additional Inherited Members
Static Public Attributes inherited from Market
static const string	defaultConfiguration
	Default configuration label.
static const string	inCcyConfiguration
	InCcy configuration label.
Protected Member Functions inherited from MarketImpl
virtual void	require (const MarketObject o, const string &name, const string &configuration, const bool forceBuild=false) const
void	addSwapIndex (const string &swapindex, const string &discountIndex, const string &configuration=Market::defaultConfiguration) const
	add a swap index to the market
Protected Attributes inherited from MarketImpl
Date	asof_
boost::shared_ptr< FXTriangulation >	fx_
map< tuple< string, YieldCurveType, string >, Handle< YieldTermStructure > >	yieldCurves_
map< pair< string, string >, Handle< IborIndex > >	iborIndices_
map< pair< string, string >, Handle< SwapIndex > >	swapIndices_
map< pair< string, string >, Handle< QuantLib::SwaptionVolatilityStructure > >	swaptionCurves_
map< pair< string, string >, pair< string, string > >	swaptionIndexBases_
map< pair< string, string >, Handle< QuantLib::SwaptionVolatilityStructure > >	yieldVolCurves_
map< pair< string, string >, Handle< BlackVolTermStructure > >	fxVols_
map< pair< string, string >, Handle< QuantExt::CreditCurve > >	defaultCurves_
map< pair< string, string >, Handle< QuantExt::CreditVolCurve > >	cdsVols_
map< pair< string, string >, Handle< QuantExt::BaseCorrelationTermStructure > >	baseCorrelations_
map< pair< string, string >, Handle< Quote > >	recoveryRates_
map< pair< string, string >, Handle< OptionletVolatilityStructure > >	capFloorCurves_
map< pair< string, string >, std::pair< string, QuantLib::Period > >	capFloorIndexBase_
map< pair< string, string >, Handle< YoYOptionletVolatilitySurface > >	yoyCapFloorVolSurfaces_
map< pair< string, string >, Handle< ZeroInflationIndex > >	zeroInflationIndices_
map< pair< string, string >, Handle< YoYInflationIndex > >	yoyInflationIndices_
map< pair< string, string >, Handle< CPIVolatilitySurface > >	cpiInflationCapFloorVolatilitySurfaces_
map< pair< string, string >, Handle< Quote > >	equitySpots_
map< pair< string, string >, Handle< BlackVolTermStructure > >	equityVols_
map< pair< string, string >, Handle< Quote > >	securitySpreads_
map< pair< string, string >, Handle< QuantExt::InflationIndexObserver > >	baseCpis_
map< tuple< string, string, string >, Handle< QuantExt::CorrelationTermStructure > >	correlationCurves_
map< pair< string, string >, QuantLib::Handle< QuantExt::CommodityIndex > >	commodityIndices_
map< pair< string, string >, QuantLib::Handle< QuantLib::BlackVolTermStructure > >	commodityVols_
map< pair< string, string >, QuantLib::Handle< QuantExt::EquityIndex2 > >	equityCurves_
map< pair< string, string >, Handle< Quote > >	cprs_
map< string, std::set< boost::shared_ptr< TermStructure > > >	refreshTs_
Protected Attributes inherited from Market
bool	handlePseudoCurrencies_ = false

Detailed Description

This market takes a map from Ibor index names to estimation curves and provides the corresponding Ibor indices via the market interface.

In addition (dummy) yield curves, security spreads, default curves and recovery rates are provided, all with zero rates.

This way we can build a Bond against this market and use the underlying QuantLib::Bond instrument to set up a BondHelper from which a fitted bond curve can be bootstrapped.