marketdatum.hpp File Reference

Market data representation. More...

#include <ored/marketdata/expiry.hpp>
#include <ored/marketdata/strike.hpp>
#include <ored/utilities/parsers.hpp>
#include <ored/utilities/serializationdate.hpp>
#include <ored/utilities/serializationdaycounter.hpp>
#include <ored/utilities/serializationperiod.hpp>
#include <ored/utilities/strike.hpp>
#include <ql/currency.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/time/date.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/types.hpp>
#include <string>
#include <boost/make_shared.hpp>
#include <boost/optional.hpp>
#include <boost/serialization/base_object.hpp>
#include <boost/serialization/export.hpp>
#include <boost/serialization/optional.hpp>
#include <boost/serialization/shared_ptr.hpp>
#include <boost/serialization/variant.hpp>

Classes
class	MarketDatum
	Base market data class. More...
struct	SharedPtrMarketDatumComparator
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
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	TransitionProbabilityQuote
	Transition Probability data class. More...

Namespaces
	ore
	Serializable Credit Default Swap.
	ore::data

Functions
bool	operator< (const MarketDatum &a, const MarketDatum &b)
std::ostream &	operator<< (std::ostream &out, const MarketDatum::QuoteType &type)
std::ostream &	operator<< (std::ostream &out, const MarketDatum::InstrumentType &type)
	BOOST_CLASS_EXPORT_KEY (ore::data::MoneyMarketQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::FRAQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::ImmFraQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::SwapQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::ZeroQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::DiscountQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::MMFutureQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::OIFutureQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::BasisSwapQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::BMASwapQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::CrossCcyBasisSwapQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::CrossCcyFixFloatSwapQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::CdsQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::HazardRateQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::RecoveryRateQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::SwaptionQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::SwaptionShiftQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::BondOptionQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::BondOptionShiftQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::CapFloorQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::CapFloorShiftQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::FXSpotQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::FXForwardQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::FXOptionQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::ZcInflationSwapQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::InflationCapFloorQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::ZcInflationCapFloorQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::YoYInflationSwapQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::YyInflationCapFloorQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::SeasonalityQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::EquitySpotQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::EquityForwardQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::EquityDividendYieldQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::EquityOptionQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::SecuritySpreadQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::BaseCorrelationQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::IndexCDSOptionQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::CommoditySpotQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::CommodityForwardQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::CommodityOptionQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::CorrelationQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::CPRQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::BondPriceQuote)
	BOOST_CLASS_EXPORT_KEY (ore::data::TransitionProbabilityQuote)

Detailed Description

Market data representation.