indexparser.hpp File Reference

Map text representations to QuantLib/QuantExt types. More...

#include <ql/index.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/indexes/swapindex.hpp>
#include <qle/indexes/bmaindexwrapper.hpp>
#include <qle/indexes/bondindex.hpp>
#include <qle/indexes/commodityindex.hpp>
#include <qle/indexes/equityindex.hpp>
#include <qle/indexes/fxindex.hpp>

Namespaces
	ore
	Serializable Credit Default Swap.
	ore::data

Functions
boost::shared_ptr< QuantExt::FxIndex >	parseFxIndex (const string &s, const Handle< Quote > &fxSpot=Handle< Quote >(), const Handle< YieldTermStructure > &sourceYts=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &targetYts=Handle< YieldTermStructure >(), const bool useConventions=false)
	Convert std::string to QuantExt::FxIndex.
boost::shared_ptr< IborIndex >	parseIborIndex (const string &s, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
	Convert std::string to QuantLib::IborIndex.
boost::shared_ptr< IborIndex >	parseIborIndex (const std::string &strIndex, std::string &outTenor, const QuantLib::Handle< QuantLib::YieldTermStructure > &h=QuantLib::Handle< QuantLib::YieldTermStructure >())
	Convert std::string to QuantLib::IborIndex and return the tenor string component of the index. More...
bool	tryParseIborIndex (const string &s, boost::shared_ptr< IborIndex > &index)
	Try to convert std::string to QuantLib::IborIndex.
bool	isGenericIborIndex (const string &indexName)
	Return true if the indexName is that of a generic ibor index, otherwise false.
std::pair< bool, boost::shared_ptr< QuantLib::ZeroInflationIndex > >	isInflationIndex (const std::string &indexName)
bool	isEquityIndex (const std::string &indexName)
	Return true if the indexName is that of an EquityIndex, otherwise false.
bool	isCommodityIndex (const std::string &indexName)
	Return true if the indexName is that of an CommodityIndex, otherwise false.
bool	isGenericIndex (const std::string &indexName)
boost::shared_ptr< QuantExt::EquityIndex2 >	parseEquityIndex (const string &s)
	Convert std::string (e.g SP5) to QuantExt::EquityIndex.
boost::shared_ptr< SwapIndex >	parseSwapIndex (const string &s, const Handle< YieldTermStructure > &forwarding=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &discounting=Handle< YieldTermStructure >())
	Convert std::string to QuantLib::SwapIndex.
boost::shared_ptr< ZeroInflationIndex >	parseZeroInflationIndex (const string &s, const Handle< ZeroInflationTermStructure > &h=Handle< ZeroInflationTermStructure >())
	Convert std::string to QuantLib::ZeroInflationIndex.
QL_DEPRECATED boost::shared_ptr< ZeroInflationIndex >	parseZeroInflationIndex (const string &s, bool isInterpolated, const Handle< ZeroInflationTermStructure > &h=Handle< ZeroInflationTermStructure >())
boost::shared_ptr< QuantExt::BondIndex >	parseBondIndex (const string &s)
	Convert std::string to QuantExt::BondIndex.
boost::shared_ptr< QuantExt::ConstantMaturityBondIndex >	parseConstantMaturityBondIndex (const string &s)
	Convert std::string to QuantExt::ConstantMaturityBondIndex.
boost::shared_ptr< QuantExt::CommodityIndex >	parseCommodityIndex (const std::string &name, bool hasPrefix=true, const QuantLib::Handle< QuantExt::PriceTermStructure > &ts=QuantLib::Handle< QuantExt::PriceTermStructure >(), const QuantLib::Calendar &cal=QuantLib::NullCalendar(), const bool enforceFutureIndex=true)
boost::shared_ptr< QuantLib::Index >	parseGenericIndex (const string &s)
	Convert std::string (GENERIC-...) to QuantExt::Index.
boost::shared_ptr< Index >	parseIndex (const string &s)
	Convert std::string to QuantLib::Index.
bool	isOvernightIndex (const std::string &indexName)
	Return true if the indexName is that of an overnight index, otherwise false.
bool	isBmaIndex (const std::string &indexName)
	Return true if the indexName is that of an bma/sifma index, otherwise false.
std::string	internalIndexName (const std::string &indexName)
bool	isFxIndex (const std::string &indexName)
std::string	inverseFxIndex (const std::string &indexName)

Detailed Description

Map text representations to QuantLib/QuantExt types.