#include <ored/marketdata/market.hpp>
Public Member Functions | |
Market (const bool handlePseudoCurrencies) | |
Constructor. | |
virtual | ~Market () |
Destructor. | |
virtual Date | asofDate () const =0 |
Get the asof Date. | |
Yield Curves | |
virtual Handle< YieldTermStructure > | yieldCurve (const YieldCurveType &type, const string &name, const string &configuration=Market::defaultConfiguration) const =0 |
Handle< YieldTermStructure > | discountCurve (const string &ccy, const string &configuration=Market::defaultConfiguration) const |
virtual Handle< YieldTermStructure > | discountCurveImpl (const string &ccy, const string &configuration=Market::defaultConfiguration) const =0 |
virtual Handle< YieldTermStructure > | yieldCurve (const string &name, const string &configuration=Market::defaultConfiguration) const =0 |
virtual Handle< IborIndex > | iborIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0 |
virtual Handle< SwapIndex > | swapIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0 |
Swaptions | |
virtual Handle< SwaptionVolatilityStructure > | swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const =0 |
virtual string | shortSwapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const =0 |
virtual string | swapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const =0 |
Yield volatilities | |
virtual Handle< SwaptionVolatilityStructure > | yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const =0 |
Foreign Exchange | |
QuantLib::Handle< QuantExt::FxIndex > | fxIndex (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const |
virtual QuantLib::Handle< QuantExt::FxIndex > | fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const =0 |
Handle< Quote > | fxRate (const string &ccypair, const string &configuration=Market::defaultConfiguration) const |
virtual Handle< Quote > | fxRateImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const =0 |
Handle< Quote > | fxSpot (const string &ccypair, const string &configuration=Market::defaultConfiguration) const |
virtual Handle< Quote > | fxSpotImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const =0 |
Handle< BlackVolTermStructure > | fxVol (const string &ccypair, const string &configuration=Market::defaultConfiguration) const |
virtual Handle< BlackVolTermStructure > | fxVolImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const =0 |
Default Curves and Recovery Rates | |
virtual Handle< QuantExt::CreditCurve > | defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const =0 |
virtual Handle< Quote > | recoveryRate (const string &, const string &configuration=Market::defaultConfiguration) const =0 |
(Index) CDS Option volatilities | |
virtual Handle< QuantExt::CreditVolCurve > | cdsVol (const string &, const string &configuration=Market::defaultConfiguration) const =0 |
Base Correlation term structures | |
virtual Handle< QuantExt::BaseCorrelationTermStructure > | baseCorrelation (const string &, const string &configuration=Market::defaultConfiguration) const =0 |
Stripped Cap/Floor volatilities i.e. caplet/floorlet volatilities | |
virtual Handle< OptionletVolatilityStructure > | capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const =0 |
virtual std::pair< std::string, QuantLib::Period > | capFloorVolIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const =0 |
Stripped YoY Inflation Cap/Floor volatilities i.e. caplet/floorlet volatilities | |
virtual Handle< QuantExt::YoYOptionletVolatilitySurface > | yoyCapFloorVol (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0 |
virtual Handle< ZeroInflationIndex > | zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0 |
Inflation Indexes. | |
virtual Handle< YoYInflationIndex > | yoyInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0 |
virtual Handle< CPIVolatilitySurface > | cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const =0 |
CPI Inflation Cap Floor Volatility Surfaces. | |
Equity curves | |
virtual Handle< Quote > | equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0 |
virtual Handle< YieldTermStructure > | equityDividendCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0 |
virtual Handle< YieldTermStructure > | equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0 |
virtual Handle< QuantExt::EquityIndex2 > | equityCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0 |
BondSpreads | |
virtual Handle< Quote > | securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const =0 |
Commodity price curves and indices | |
virtual QuantLib::Handle< QuantExt::PriceTermStructure > | commodityPriceCurve (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const =0 |
virtual QuantLib::Handle< QuantExt::CommodityIndex > | commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const =0 |
Commodity volatility | |
virtual QuantLib::Handle< QuantLib::BlackVolTermStructure > | commodityVolatility (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const =0 |
Correlation | |
virtual QuantLib::Handle< QuantExt::CorrelationTermStructure > | correlationCurve (const std::string &index1, const std::string &index2, const std::string &configuration=Market::defaultConfiguration) const =0 |
Equity volatilities | |
static const string | defaultConfiguration |
Default configuration label. | |
static const string | inCcyConfiguration |
InCcy configuration label. | |
virtual Handle< BlackVolTermStructure > | equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const =0 |
virtual void | refresh (const string &) |
Refresh term structures for a given configuration. | |
Conditional Prepayment Rates | |
bool | handlePseudoCurrencies_ = false |
virtual Handle< Quote > | cpr (const string &securityID, const string &configuration=Market::defaultConfiguration) const =0 |
string | commodityCurveLookup (const string &pm) const |
bool | handlePseudoCurrencies () const |
Base class for central repositories containing all term structure objects needed in instrument pricing.