cdsvolcurveconfig.hpp

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/*
 Copyright (C) 2016 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file ored/configuration/cdsvolcurveconfig.hpp
    \brief CDS and index CDS volatility configuration
    \ingroup configuration
*/
 
#pragma once
 
#include <ql/shared_ptr.hpp>
#include <ored/configuration/curveconfig.hpp>
#include <ored/configuration/volatilityconfig.hpp>
 
namespace ore {
namespace data {
 
/*! CDS and index CDS volatility configuration
 
    \ingroup configuration
*/
class CDSVolatilityCurveConfig : public CurveConfig {
public:
    //! Default constructor
    CDSVolatilityCurveConfig() {}
 
    //! Detailed constructor
    CDSVolatilityCurveConfig(const std::string& curveId, const std::string& curveDescription,
                             const QuantLib::ext::shared_ptr<VolatilityConfig>& volatilityConfig,
                             const std::string& dayCounter = "A365", const std::string& calendar = "NullCalendar",
                             const std::string& strikeType = "", const std::string& quoteName = "",
                             QuantLib::Real strikeFactor = 1.0, const std::vector<QuantLib::Period>& terms = {},
                             const std::vector<std::string>& termCurves = {});
 
    //! \name Inspectors
    //@{
    const QuantLib::ext::shared_ptr<VolatilityConfig>& volatilityConfig() const;
    const std::string& dayCounter() const;
    const std::string& calendar() const;
    const std::string& strikeType() const;
    const std::string& quoteName() const;
    QuantLib::Real strikeFactor() const;
    const std::vector<QuantLib::Period>& terms() const;
    const std::vector<std::string>& termCurves() const;
    //@}
 
    //! \name Serialisation
    //@{
    void fromXML(XMLNode* node) override;
    ore::data::XMLNode* toXML(ore::data::XMLDocument& doc) const override;
    //@}
 
private:
    QuantLib::ext::shared_ptr<VolatilityConfig> volatilityConfig_;
    std::string dayCounter_;
    std::string calendar_;
    std::string strikeType_;
    std::string quoteName_;
    QuantLib::Real strikeFactor_;
    std::vector<QuantLib::Period> terms_;
    std::vector<std::string> termCurves_;
 
    //! Populate CurveConfig::quotes_ with the required quotes.
    void populateQuotes();
 
    //! Populate required curve ids
    void populateRequiredCurveIds();
 
    //! Give back the quote stem used in construction of the quote strings
    std::string quoteStem() const;
};
 
} // namespace data
} // namespace ore