Commodity curve configuration. More...

#include <ored/configuration/commoditycurveconfig.hpp>

Inheritance diagram for CommodityCurveConfig:

Public Types
enum class	Type { Direct , CrossCurrency , Basis , Piecewise }

Public Member Functions
Constructors
	CommodityCurveConfig ()
	Default constructor.
	CommodityCurveConfig (const std::string &curveId, const std::string &curveDescription, const std::string &currency, const std::vector< std::string > &quotes, const std::string &commoditySpotQuote="", const std::string &dayCountId="A365", const std::string &interpolationMethod="Linear", bool extrapolation=true, const std::string &conventionsId="")
	Detailed constructor for Direct commodity curve configuration.
	CommodityCurveConfig (const std::string &curveId, const std::string &curveDescription, const std::string &currency, const std::string &basePriceCurveId, const std::string &baseYieldCurveId, const std::string &yieldCurveId, bool extrapolation=true)
	Detailed constructor for CrossCurrency commodity curve configuration.
	CommodityCurveConfig (const std::string &curveId, const std::string &curveDescription, const std::string &currency, const std::string &basePriceCurveId, const std::string &baseConventionsId, const std::vector< std::string > &basisQuotes, const std::string &basisConventionsId, const std::string &dayCountId="A365", const std::string &interpolationMethod="Linear", bool extrapolation=true, bool addBasis=true, QuantLib::Natural monthOffset=0, bool averageBase=true)
	Detailed constructor for Basis commodity curve configuration.
	CommodityCurveConfig (const std::string &curveId, const std::string &curveDescription, const std::string &currency, const std::vector< PriceSegment > &priceSegments, const std::string &dayCountId="A365", const std::string &interpolationMethod="Linear", bool extrapolation=true, const QuantLib::ext::optional< BootstrapConfig > &bootstrapConfig=QuantLib::ext::nullopt)
	Detailed constructor for Piecewise commodity curve configuration.
Serialisation
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
Inspectors
const Type &	type () const
const std::string &	currency () const
const std::string &	commoditySpotQuoteId () const
const std::string &	dayCountId () const
const std::string &	interpolationMethod () const
const std::string &	basePriceCurveId () const
const std::string &	baseYieldCurveId () const
const std::string &	yieldCurveId () const
bool	extrapolation () const
const vector< string > &	fwdQuotes () const
const std::string &	conventionsId () const
const std::string &	baseConventionsId () const
bool	addBasis () const
QuantLib::Natural	monthOffset () const
bool	averageBase () const
bool	priceAsHistFixing () const
const std::map< unsigned short, PriceSegment > &	priceSegments () const
const QuantLib::ext::optional< BootstrapConfig > &	bootstrapConfig () const
Public Member Functions inherited from CurveConfig
	CurveConfig (const string &curveID, const string &curveDescription, const vector< string > &quotes=vector< string >())
	Detailed constructor.
	CurveConfig ()
	Default constructor.
const string &	curveID () const
const string &	curveDescription () const
set< string >	requiredCurveIds (const CurveSpec::CurveType &curveType) const
set< string >	requiredNames (const MarketObject o, const std::string &configuration) const
map< CurveSpec::CurveType, set< string > >	requiredCurveIds () const
map< MarketObject, set< string > >	requiredNames (const std::string &configuration) const
map< pair< MarketObject, string >, set< string > >	requiredNames () const
string &	curveID ()
string &	curveDescription ()
void	setRequiredCurveIds (const CurveSpec::CurveType &curveType, const set< string > &ids)
void	setRequiredCurveIds (const map< CurveSpec::CurveType, set< string > > &ids)
void	setRequiredNames (const MarketObject o, const std::string &configuration, const set< string > &ids)
void	setRequiredNames (const map< std::pair< MarketObject, std::string >, set< string > > &ids)
virtual const vector< string > &	quotes ()
	Return all the market quotes required for this config.
Public Member Functions inherited from XMLSerializable
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string.
std::string	toXMLString () const
	Parse from XML string.
std::string	toXMLStringUnformatted () const

Setters
Type &	type ()
std::string &	currency ()
std::string &	commoditySpotQuoteId ()
std::string &	dayCountId ()
std::string &	interpolationMethod ()
std::string &	basePriceCurveId ()
std::string &	baseYieldCurveId ()
std::string &	yieldCurveId ()
bool &	extrapolation ()
std::string &	conventionsId ()
std::string &	baseConventionsId ()
bool &	addBasis ()
QuantLib::Natural &	monthOffset ()
bool &	averageBase ()
bool &	priceAsHistFixing ()
void	setPriceSegments (const std::map< unsigned short, PriceSegment > &priceSegments)
void	setBootstrapConfig (const BootstrapConfig &bootstrapConfig)

Additional Inherited Members
bool	requiredIdsInitialized_ = false
map< CurveSpec::CurveType, set< string > >	requiredCurveIds_
map< std::pair< MarketObject, std::string >, set< string > >	requiredNames_
string	curveID_
string	curveDescription_
vector< string >	quotes_

Detailed Description

Commodity curve configuration.

Member Enumeration Documentation

◆ Type

enum class Type

strong

The type of commodity curve that has been configured:

Direct: if the commodity price curve is built from commodity forward quotes
CrossCurrency: if the commodity price curve is implied from a price curve in a different currency
Basis: if the commodity price curve is built from basis quotes
Piecewise: if the commodity price curve is bootstrapped from sets of instruments

Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Public Types

Public Member Functions