VolatilityApoFutureSurfaceConfig Class Reference

#include <ored/configuration/volatilityconfig.hpp>

Inheritance diagram for VolatilityApoFutureSurfaceConfig:

Public Member Functions
	VolatilityApoFutureSurfaceConfig (MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, std::string calendarStr=std::string(), QuantLib::Natural priority=0)
	Default constructor.
	VolatilityApoFutureSurfaceConfig (const std::vector< std::string > &moneynessLevels, const std::string &baseVolatilityId, const std::string &basePriceCurveId, const std::string &baseConventionsId, const std::string &timeInterpolation, const std::string &strikeInterpolation, bool extrapolation, const std::string &timeExtrapolation, const std::string &strikeExtrapolation, QuantLib::Real beta=0.0, const std::string &maxTenor="", MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, std::string calendarStr=std::string(), QuantLib::Natural priority=0, bool timeExtrapolationInVariance=true)
	Explicit constructor.
Inspectors
const std::vector< std::string > &	moneynessLevels () const
const std::string &	baseVolatilityId () const
const std::string &	basePriceCurveId () const
const std::string &	baseConventionsId () const
QuantLib::Real	beta () const
const std::string &	maxTenor () const
VolatilitySurfaceConfig
std::vector< std::pair< std::string, std::string > >	quotes () const override
Public Member Functions inherited from VolatilitySurfaceConfig
	VolatilitySurfaceConfig (MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, std::string calendarStr=std::string(), QuantLib::Natural priority=0)
	Default constructor.
	VolatilitySurfaceConfig (const std::string &timeInterpolation, const std::string &strikeInterpolation, bool extrapolation, const std::string &timeExtrapolation, const std::string &strikeExtrapolation, MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, std::string calendarStr=std::string(), QuantLib::Natural priority=0, bool timeExtrapolationInVariance=true)
	Explicit constructor.
const std::string &	timeInterpolation () const
const std::string &	strikeInterpolation () const
bool	extrapolation () const
const std::string &	timeExtrapolation () const
bool	timeExtrapolationVariance () const
const std::string &	strikeExtrapolation () const
Public Member Functions inherited from QuoteBasedVolatilityConfig
	QuoteBasedVolatilityConfig (MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, std::string calendarStr=std::string(), QuantLib::Natural priority=0)
	Default constructor.
const MarketDatum::QuoteType &	quoteType () const
const QuantLib::Exercise::Type &	exerciseType () const
VolatilityType	volType () const
void	fromBaseNode (ore::data::XMLNode *node)
void	toBaseNode (ore::data::XMLDocument &doc, ore::data::XMLNode *node) const
Public Member Functions inherited from VolatilityConfig
	VolatilityConfig (std::string calendarStr=std::string(), QuantLib::Natural priority=0)
void	fromXMLNode (ore::data::XMLNode *node)
void	toXMLNode (XMLDocument &doc, XMLNode *node) const
QuantLib::Natural	priority () const
Calendar	calendar () const
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

Serialisation
void	fromXML (ore::data::XMLNode *node) override
ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

Additional Inherited Members
Public Types inherited from VolatilityConfig
enum class	VolatilityType { Lognormal , Normal , ShiftedLognormal }
void	fromNode (ore::data::XMLNode *node)
void	addNodes (ore::data::XMLDocument &doc, ore::data::XMLNode *node) const

Detailed Description

Volatility configuration for an average future price option (APO) surface.

Member Function Documentation

quotes()

std::vector< std::pair< std::string, std::string > > quotes ( ) const

overridevirtual

Return a vector of pairs of expiry and strike. The first element in the pair is the expiry and the second element in the pair is the string representation of the strike. This will be useful for building the vector of quote strings in classes that have a VolatilitySurfaceConfig.

Implements VolatilitySurfaceConfig.

fromXML()

void fromXML ( ore::data::XMLNode * node )

overridevirtual

Implements XMLSerializable.

toXML()

ore::data::XMLNode * toXML ( ore::data::XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.