Modules | |
Curves | |
Files | |
file | clonedloader.hpp |
loader providing cloned data from another loader | |
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 dependency. | |
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 | 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 concrete 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 | BondYieldConvention |
class | CSVLoader |
Utility class for loading market quotes and fixings from a file. More... | |
struct | Fixing |
Fixing data structure. 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 | 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< MarketDatum > | parseMarketDatum (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. | |
boost::variant< QuantLib::Period, FXForwardQuote::FxFwdString > | parseFxPeriod (const string &s) |
Convert text to QuantLib::Period of Fx forward string. | |
std::ostream & | operator<< (std::ostream &out, const MarketObject &o) |
Market Configuration structure. More... | |
Grouping of all market data related classes, functions and files
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.