YieldCurveConfig Class Reference

Yield Curve configuration. More...

#include <ored/configuration/yieldcurveconfig.hpp>

Inheritance diagram for YieldCurveConfig:

Public Member Functions
Constructors/Destructors
	YieldCurveConfig (QuantLib::ext::shared_ptr< IborFallbackConfig > iborFallbackConfig=nullptr)
	Default constructor.
	YieldCurveConfig (const string &curveID, const string &curveDescription, const string &currency, const string &discountCurveID, const vector< QuantLib::ext::shared_ptr< YieldCurveSegment > > &curveSegments, const string &interpolationVariable="Discount", const string &interpolationMethod="LogLinear", const string &zeroDayCounter="A365", bool extrapolation=true, const BootstrapConfig &bootstrapConfig=BootstrapConfig(), const Size mixedInterpolationCutoff=1, QuantLib::ext::shared_ptr< IborFallbackConfig > iborFallbackConfig=nullptr)
	Detailed constructor.
virtual	~YieldCurveConfig ()
	Default destructor.
Serialization
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
Inspectors
const string &	currency () const
const string &	discountCurveID () const
const vector< QuantLib::ext::shared_ptr< YieldCurveSegment > > &	curveSegments () const
const string &	interpolationVariable () const
const string &	interpolationMethod () const
Size	mixedInterpolationCutoff () const
const string &	zeroDayCounter () const
bool	extrapolation () const
const BootstrapConfig &	bootstrapConfig () const
bool	excludeT0FromInterpolation () 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 &	interpolationVariable ()
string &	interpolationMethod ()
Size &	mixedInterpolationCutoff ()
string &	zeroDayCounter ()
bool &	extrapolation ()
void	setBootstrapConfig (const BootstrapConfig &bootstrapConfig)
const ReportConfig &	reportConfig () const
const vector< string > &	quotes () override
	Return all the market quotes required for this config.

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

Yield Curve configuration.

Wrapper class containing all yield curve segments needed to build a yield curve.

Member Function Documentation

fromXML()

virtual void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

toXML()

virtual 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.