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Reference manual - version ored_version
Modules | Files | Classes | Functions
Market Data

Modules

 Curves
 

Files

file  compositeloader.hpp
 Loader that is a composite of two loaders.
 
file  csvloader.hpp
 Market Datum Loader Implementation.
 
file  dependencygraph.hpp
 DependencyGraph class to establish build order of marketObjects and its dependendency.
 
file  expiry.hpp
 Classes for representing an expiry for use in market quotes.
 
file  fittedbondcurvehelpermarket.hpp
 A market implementation providing curves for setting up bond rate helpers.
 
file  loader.hpp
 Market Datum Loader Interface.
 
file  fxspot.hpp
 a wrapper class for holding FX (spot) quotes
 
file  fxtriangulation.hpp
 Intelligent FX price repository.
 
file  loader.hpp
 Market Datum Loader Interface.
 
file  market.hpp
 Base Market class.
 
file  marketdatum.hpp
 Market data representation.
 
file  marketdatumparser.hpp
 Market Datum parser.
 
file  marketimpl.hpp
 An implementation of the Market class that stores the required objects in maps.
 
file  security.hpp
 A wrapper class for holding Bond Spread quotes.
 
file  strike.hpp
 Classes for representing a strike using various conventions.
 
file  structuredcurveerror.hpp
 Error for market data or curve.
 
file  todaysmarket.hpp
 An concerte implementation of the Market class that loads todays market and builds the required curves.
 
file  todaysmarketcalibrationinfo.hpp
 a container holding information on calibration results during the t0 market build
 
file  todaysmarketparameters.hpp
 A class to hold todays market configuration(s)
 
file  wrappedmarket.hpp
 wrapped market
 
file  structuredmodelerror.hpp
 Error for model calibration / building.
 

Classes

class  ZeroRateConvention
 Container for storing Zero Rate conventions. More...
 
class  DepositConvention
 Container for storing Deposit conventions. More...
 
class  FutureConvention
 Container for storing Money Market Futures conventions. More...
 
class  FraConvention
 Container for storing Forward rate Agreement conventions. More...
 
class  OisConvention
 Container for storing Overnight Index Swap conventions. More...
 
class  IborIndexConvention
 Container for storing Ibor Index conventions. More...
 
class  OvernightIndexConvention
 Container for storing Overnight Index conventions. More...
 
class  SwapIndexConvention
 Container for storing Swap Index conventions. More...
 
class  IRSwapConvention
 Container for storing Interest Rate Swap conventions. More...
 
class  AverageOisConvention
 Container for storing Average OIS conventions. More...
 
class  TenorBasisSwapConvention
 Container for storing Tenor Basis Swap conventions. More...
 
class  TenorBasisTwoSwapConvention
 Container for storing conventions for Tenor Basis Swaps quoted as a spread of two interest rate swaps. More...
 
class  BMABasisSwapConvention
 Container for storing Libor-BMA Basis Swap conventions. More...
 
class  FXConvention
 Container for storing FX Spot quote conventions. More...
 
class  CrossCcyBasisSwapConvention
 Container for storing Cross Currency Basis Swap quote conventions. More...
 
class  CrossCcyFixFloatSwapConvention
 
class  CdsConvention
 Container for storing Credit Default Swap quote conventions. More...
 
class  SecuritySpreadConvention
 Container for storing Bond Spread Rate conventions. More...
 
class  CmsSpreadOptionConvention
 Container for storing CMS Spread Option conventions. More...
 
class  CommodityForwardConvention
 
class  CommodityFutureConvention
 
class  FxOptionConvention
 Container for storing FX Option conventions. More...
 
class  ZeroInflationIndexConvention
 
class  CSVLoader
 Utility class for loading market quotes and fixings from a file. More...
 
struct  Fixing
 Fixing data structure. More...
 
class  FXSpot
 Wrapper class for holding FX (spot) quotes. More...
 
class  FXTriangulation
 Intelligent FX price repository. More...
 
class  Loader
 Market data loader base class. More...
 
class  Market
 Market. More...
 
class  MarketDatum
 Base market data class. More...
 
class  MoneyMarketQuote
 Money market data class. More...
 
class  FRAQuote
 FRA market data class. More...
 
class  ImmFraQuote
 IMM FRA market data class. More...
 
class  SwapQuote
 Swap market data class. More...
 
class  ZeroQuote
 Zero market data class. More...
 
class  DiscountQuote
 Discount market data class. More...
 
class  MMFutureQuote
 Money Market Future data class. More...
 
class  OIFutureQuote
 Overnight index future data class. More...
 
class  BasisSwapQuote
 Basis Swap data class. More...
 
class  BMASwapQuote
 BMA Swap data class. More...
 
class  CrossCcyBasisSwapQuote
 Cross Currency Basis Swap data class. More...
 
class  CrossCcyFixFloatSwapQuote
 Cross Currency Fix Float Swap quote holder. More...
 
class  CdsQuote
 
class  HazardRateQuote
 Hazard rate data class. More...
 
class  RecoveryRateQuote
 Recovery rate data class. More...
 
class  SwaptionQuote
 Swaption data class. More...
 
class  SwaptionShiftQuote
 Shift data class (for SLN swaption volatilities) More...
 
class  BondOptionQuote
 Bond option data class. More...
 
class  BondOptionShiftQuote
 Shift data class (for SLN bond option volatilities) More...
 
class  CapFloorQuote
 Cap/Floor data class. More...
 
class  CapFloorShiftQuote
 Shift data class (for SLN cap/floor volatilities) More...
 
class  FXSpotQuote
 Foreign exchange rate data class. More...
 
class  FXForwardQuote
 Foreign exchange rate data class. More...
 
class  FXOptionQuote
 FX Option data class. More...
 
class  ZcInflationSwapQuote
 ZC Inflation swap data class. More...
 
class  InflationCapFloorQuote
 Inflation Cap Floor data class. More...
 
class  ZcInflationCapFloorQuote
 ZC Cap Floor data class. More...
 
class  YoYInflationSwapQuote
 YoY Inflation swap data class. More...
 
class  YyInflationCapFloorQuote
 YY Cap Floor data class. More...
 
class  SeasonalityQuote
 Inflation seasonality data class. More...
 
class  EquitySpotQuote
 Equity/Index spot price data class. More...
 
class  EquityForwardQuote
 Equity forward data class. More...
 
class  EquityDividendYieldQuote
 Equity/Index Dividend yield data class. More...
 
class  EquityOptionQuote
 Equity/Index Option data class. More...
 
class  SecuritySpreadQuote
 Bond spread data class. More...
 
class  BaseCorrelationQuote
 Base correlation data class. More...
 
class  IndexCDSOptionQuote
 CDS Index Option data class. More...
 
class  CommoditySpotQuote
 Commodity spot quote class. More...
 
class  CommodityForwardQuote
 Commodity forward quote class. More...
 
class  CommodityOptionQuote
 Commodity option data class. More...
 
class  CorrelationQuote
 Spread data class. More...
 
class  CPRQuote
 CPR data class. More...
 
class  BondPriceQuote
 Bond Price Quote. More...
 
class  MarketImpl
 Market Implementation. More...
 
class  Security
 Wrapper class for holding Bond Spread and recovery rate quotes. More...
 
class  TodaysMarket
 Today's Market. More...
 
class  WrappedMarket
 Wrapped Market. More...
 

Functions

boost::shared_ptr< MarketDatumparseMarketDatum (const Date &, const string &, const Real &)
 Function to parse a market datum.
 
Date getDateFromDateOrPeriod (const string &token, Date asof, QuantLib::Calendar cal=QuantLib::WeekendsOnly(), QuantLib::BusinessDayConvention bdc=QuantLib::BusinessDayConvention::Following)
 Get a date from a date string or period.
 
std::ostream & operator<< (std::ostream &out, const MarketObject &o)
 Market Configuration structure. More...
 

Detailed Description

Grouping of all market data related classes, functions and files

Function Documentation

◆ operator<<()

std::ostream& ore::data::operator<< ( std::ostream &  out,
const MarketObject &  o 
)

Market Configuration structure.

The Market Configuration bundles configurations for each of the market objects and assigns a configuration ID.

Several Market Configurations can be specified and held in a market object in parallel. Applications then need to specify the desired market configuration ID when making calls to any of the term structures provided by the market object.