CalibrationBasket Class Reference

#include <ored/model/calibrationbasket.hpp>

Inheritance diagram for CalibrationBasket:

Collaboration diagram for CalibrationBasket:

Public Member Functions
	CalibrationBasket ()
	Default constructor, empty calibration basket. More...
	CalibrationBasket (const std::vector< QuantLib::ext::shared_ptr< CalibrationInstrument > > &instruments)
	Detailed constructor. More...
Inspectors
const std::string &	instrumentType () const
const std::vector< QuantLib::ext::shared_ptr< CalibrationInstrument > > &	instruments () const
const std::string &	parameter () const
Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()
virtual void	fromXML (XMLNode *node)=0
virtual XMLNode *	toXML (XMLDocument &doc) const =0
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string. More...
std::string	toXMLString () const
	Parse from XML string. More...

Serialisation
std::vector< QuantLib::ext::shared_ptr< CalibrationInstrument > >	instruments_
std::string	instrumentType_
std::string	parameter_
	The parameter tag may be given so that builders know how to use the calibration basket. More...
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
bool	empty () const
	Returns true if the calibration basket is empty. More...

Detailed Description

Class for holding calibration instruments of the same type for a model.

If you need to calibrate a model to instruments of different types, use multiple calibration baskets.

Definition at line 59 of file calibrationbasket.hpp.

Constructor & Destructor Documentation

CalibrationBasket() [1/2]

CalibrationBasket

(

)

Default constructor, empty calibration basket.

Definition at line 35 of file calibrationbasket.cpp.

{}

CalibrationBasket() [2/2]

CalibrationBasket

(

const std::vector< QuantLib::ext::shared_ptr< CalibrationInstrument > > &

instruments

)

Detailed constructor.

Definition at line 37 of file calibrationbasket.cpp.

    : instruments_(instruments) {
    
    // Check that all instruments in the basket, if any, are the same type.
    for (const auto& instrument : instruments_) {
        string instType = instrument->instrumentType();
        if (instrumentType_.empty()) {
            instrumentType_ = instType;
        } else {
            QL_REQUIRE(instrumentType_ == instType, "All instruments in CalibrationBasket should have the same " <<
                "instrument type. Have " << instrumentType_ << " but current instrument is " << instType << ".");
        }
    }
 
}

Member Function Documentation

instrumentType()

const string & instrumentType

(

)

const

Definition at line 53 of file calibrationbasket.cpp.

                                                      {
    return instrumentType_;
}

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instruments()

const vector< QuantLib::ext::shared_ptr< CalibrationInstrument > > & instruments

(

)

const

Definition at line 57 of file calibrationbasket.cpp.

                                                                                                 {
    return instruments_;
}

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parameter()

const string & parameter

(

)

const

Definition at line 61 of file calibrationbasket.cpp.

                                                 {
    return parameter_;
}

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 65 of file calibrationbasket.cpp.

                                             {
    
    QL_REQUIRE(empty(), "The calibration basket should be empty before calling fromXML.");
    XMLUtils::checkNode(node, "CalibrationBasket");
    
    for (XMLNode* cn = XMLUtils::getChildNode(node); cn; cn = XMLUtils::getNextSibling(cn)) {
        
        // Take the instrument type from the first node name.
        // All subsequent nodes should have the same instrument type.
        string name = XMLUtils::getNodeName(cn);
        if (instrumentType_.empty()) {
            instrumentType_ = name;
        } else {
            QL_REQUIRE(instrumentType_ == name, "All instruments in CalibrationBasket should have " <<
                "the same instrument type. Have " << instrumentType_ << " but current node is " << name << ".");
        }
 
        // Create an instance of the calibration instrument and read it from XML.
        auto instrument = CalibrationInstrumentFactory::instance().build(instrumentType_);
        QL_REQUIRE(instrument, "Calibration instrument type " << instrumentType_ <<
            " has not been registered with the calibration instrument factory.");
        instrument->fromXML(cn);
 
        // Add the instrument to the basket.
        instruments_.push_back(instrument);
    }
 
    QL_REQUIRE(!empty(), "The calibration basket should have at least one calibration instrument.");
 
    parameter_ = XMLUtils::getAttribute(node, "parameter");
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 97 of file calibrationbasket.cpp.

                                                        {
 
    XMLNode* node = doc.allocNode("CalibrationBasket");
 
    if (!parameter_.empty())
        XMLUtils::addAttribute(doc, node, "parameter", parameter_);
 
    for (const auto& instrument : instruments_) {
        XMLUtils::appendNode(node, instrument->toXML(doc));
    }
 
    return node;
}

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empty()

bool empty

(

)

const

Returns true if the calibration basket is empty.

Definition at line 111 of file calibrationbasket.cpp.

                                    {
    return instruments_.empty();
}

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Member Data Documentation

instruments_

std::vector<QuantLib::ext::shared_ptr<CalibrationInstrument> > instruments_

private

Definition at line 84 of file calibrationbasket.hpp.

instrumentType_

std::string instrumentType_

private

Definition at line 85 of file calibrationbasket.hpp.

parameter_

std::string parameter_

private

The parameter tag may be given so that builders know how to use the calibration basket.

Definition at line 87 of file calibrationbasket.hpp.