GenericYieldVolatilityCurveConfig Class Reference

Generic yield volatility curve configuration class. More...

#include <ored/configuration/genericyieldvolcurveconfig.hpp>

Inheritance diagram for GenericYieldVolatilityCurveConfig:

Public Types
enum class	Dimension { ATM , Smile }
	supported volatility dimensions
enum class	VolatilityType { Lognormal , Normal , ShiftedLognormal }
enum class	Interpolation {   Hagan2002Lognormal = 0 , Hagan2002Normal = 1 , Hagan2002NormalZeroBeta = 2 , Antonov2015FreeBoundaryNormal =3 ,   KienitzLawsonSwaynePde =4 , FlochKennedy =5 , Linear = 6 }
enum class	Extrapolation { None , Flat , Linear }

Public Member Functions
Constructors/Destructors
	GenericYieldVolatilityCurveConfig (const std::string &underlyingLabel, const std::string &rootNodeLabel, const std::string &marketDatumInstrumentLabel, const std::string &qualifierLabel, const bool allowSmile, const bool requireSwapIndexBases)
	Default constructor.
	GenericYieldVolatilityCurveConfig (const std::string &underlyingLabel, const std::string &rootNodeLabel, const std::string &marketDatumInstrumentLabel, const std::string &qualifierLabel, const string &curveID, const string &curveDescription, const string &qualifier, const Dimension dimension, const VolatilityType volatilityType, const VolatilityType outputVolatilityType, const Interpolation interpolation, const Extrapolation extrapolation, const vector< string > &optionTenors, const vector< string > &underlyingTenors, const DayCounter &dayCounter, const Calendar &calendar, const BusinessDayConvention &businessDayConvention, const string &shortSwapIndexBase="", const string &swapIndexBase="", const vector< string > &smileOptionTenors=vector< string >(), const vector< string > &smileUnderlyingTenors=vector< string >(), const vector< string > &smileSpreads=vector< string >(), const QuantLib::ext::optional< ParametricSmileConfiguration > &parametricSmileConfiguration=QuantLib::ext::nullopt)
	Detailed constructor.
	GenericYieldVolatilityCurveConfig (const std::string &underlyingLabel, const std::string &rootNodeLabel, const std::string &qualifierLabel, const string &curveID, const string &curveDescription, const string &qualifier, const std::string &proxySourceCurveId, const std::string &proxySourceShortSwapIndexBase, const std::string &proxySourceSwapIndexBase, const std::string &proxyTargetShortSwapIndexBase, const std::string &proxyTargetSwapIndexBase)
	Detailed contructor for proxy config.
Serialisation
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
Inspectors
const string &	qualifier () const
Dimension	dimension () const
VolatilityType	volatilityType () const
VolatilityType	outputVolatilityType () const
const vector< Real > &	modelShift () const
const vector< Real > &	outputShift () const
Interpolation	interpolation () const
Extrapolation	extrapolation () const
const vector< string > &	optionTenors () const
const vector< string > &	underlyingTenors () const
const DayCounter &	dayCounter () const
const Calendar &	calendar () const
const BusinessDayConvention &	businessDayConvention () const
const string &	shortSwapIndexBase () const
const string &	swapIndexBase () const
const vector< string > &	smileOptionTenors () const
const vector< string > &	smileUnderlyingTenors () const
const vector< string > &	smileSpreads () const
const string &	quoteTag () const
const vector< string > &	quotes () override
	Return all the market quotes required for this config.
const std::string &	proxySourceCurveId () const
const std::string &	proxySourceShortSwapIndexBase () const
const std::string &	proxySourceSwapIndexBase () const
const std::string &	proxyTargetShortSwapIndexBase () const
const std::string &	proxyTargetSwapIndexBase () const
const QuantLib::ext::optional< ParametricSmileConfiguration >	parametricSmileConfiguration () const
const ReportConfig &	reportConfig () 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)
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
string &	qualifier ()
Dimension &	dimension ()
VolatilityType &	volatilityType ()
VolatilityType &	outputVolatilityType ()
vector< Real > &	modelShift ()
vector< Real > &	outputShift ()
Interpolation &	interpolation ()
Extrapolation &	extrapolation ()
vector< string > &	optionTenors ()
vector< string > &	underlyingTenors ()
DayCounter &	dayCounter ()
Calendar &	calendar ()
BusinessDayConvention &	businessDayConvention ()
string &	shortSwapIndexBase ()
string &	swapIndexBase ()
vector< string > &	smileOptionTenors ()
vector< string > &	smileUnderlyingTenors ()
vector< string > &	smileSpreads ()
string &	quoteTag ()

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

Generic yield volatility curve configuration class.

Member Function Documentation

fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

quotes()

const vector< string > & quotes ( )

overridevirtual

Return all the market quotes required for this config.

Reimplemented from CurveConfig.