Reference manual - version ored_version
Yield volatility curve configuration. More...
#include <ored/configuration/yieldvolcurveconfig.hpp>
Public Member Functions | |
| YieldVolatilityCurveConfig (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 > &bondTenors, const DayCounter &dayCounter, const Calendar &calendar, const BusinessDayConvention &businessDayConvention) | |
| Detailed constructor. | |
| Public Member Functions inherited from GenericYieldVolatilityCurveConfig | |
| 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 > ¶metricSmileConfiguration=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. | |
| void | fromXML (XMLNode *node) override |
| XMLNode * | toXML (XMLDocument &doc) const override |
| 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 |
| 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 () |
| Public Member Functions inherited from CurveConfig | |
| CurveConfig (const string &curveID, const string &curveDescription, const vector< string > "es=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 |
Additional Inherited Members | |
| Public Types inherited from GenericYieldVolatilityCurveConfig | |
| 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 } |
| 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_ |
Yield volatility curve configuration.
