CommodityCurveConfig Class Reference

Commodity curve configuration. More...

#include <ored/configuration/commoditycurveconfig.hpp>

Inheritance diagram for CommodityCurveConfig:

Collaboration diagram for CommodityCurveConfig:

Public Types
enum class	Type { Direct , CrossCurrency , Basis , Piecewise }

Public Member Functions
Constructors
	CommodityCurveConfig ()
	Default constructor. More...
	CommodityCurveConfig (const std::string &curveId, const std::string &curveDescription, const std::string &currency, const std::vector< std::string > &quotes, const std::string &commoditySpotQuote="", const std::string &dayCountId="A365", const std::string &interpolationMethod="Linear", bool extrapolation=true, const std::string &conventionsId="")
	Detailed constructor for Direct commodity curve configuration. More...
	CommodityCurveConfig (const std::string &curveId, const std::string &curveDescription, const std::string &currency, const std::string &basePriceCurveId, const std::string &baseYieldCurveId, const std::string &yieldCurveId, bool extrapolation=true)
	Detailed constructor for CrossCurrency commodity curve configuration. More...
	CommodityCurveConfig (const std::string &curveId, const std::string &curveDescription, const std::string &currency, const std::string &basePriceCurveId, const std::string &baseConventionsId, const std::vector< std::string > &basisQuotes, const std::string &basisConventionsId, const std::string &dayCountId="A365", const std::string &interpolationMethod="Linear", bool extrapolation=true, bool addBasis=true, QuantLib::Natural monthOffset=0, bool averageBase=true)
	Detailed constructor for Basis commodity curve configuration. More...
	CommodityCurveConfig (const std::string &curveId, const std::string &curveDescription, const std::string &currency, const std::vector< PriceSegment > &priceSegments, const std::string &dayCountId="A365", const std::string &interpolationMethod="Linear", bool extrapolation=true, const boost::optional< BootstrapConfig > &bootstrapConfig=boost::none)
	Detailed constructor for Piecewise commodity curve configuration. More...
Serialisation
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
Inspectors
const Type &	type () const
const std::string &	currency () const
const std::string &	commoditySpotQuoteId () const
const std::string &	dayCountId () const
const std::string &	interpolationMethod () const
const std::string &	basePriceCurveId () const
const std::string &	baseYieldCurveId () const
const std::string &	yieldCurveId () const
bool	extrapolation () const
const vector< string > &	fwdQuotes () const
const std::string &	conventionsId () const
const std::string &	baseConventionsId () const
bool	addBasis () const
QuantLib::Natural	monthOffset () const
bool	averageBase () const
bool	priceAsHistFixing () const
const std::map< unsigned short, PriceSegment > &	priceSegments () const
const boost::optional< BootstrapConfig > &	bootstrapConfig () const
Public Member Functions inherited from CurveConfig
	CurveConfig (const string &curveID, const string &curveDescription, const vector< string > &quotes=vector< string >())
	Detailed constructor. More...
	CurveConfig ()
	Default constructor. More...
const string &	curveID () const
const string &	curveDescription () const
const set< string > &	requiredCurveIds (const CurveSpec::CurveType &curveType) const
const map< CurveSpec::CurveType, set< string > > &	requiredCurveIds () const
string &	curveID ()
string &	curveDescription ()
set< string > &	requiredCurveIds (const CurveSpec::CurveType &curveType)
map< CurveSpec::CurveType, set< string > > &	requiredCurveIds ()
virtual const vector< string > &	quotes ()
	Return all the market quotes required for this config. More...
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...

Setters
Type	type_
vector< string >	fwdQuotes_
std::string	currency_
std::string	commoditySpotQuoteId_
std::string	dayCountId_
std::string	interpolationMethod_
std::string	basePriceCurveId_
std::string	baseYieldCurveId_
std::string	yieldCurveId_
bool	extrapolation_
std::string	conventionsId_
std::string	baseConventionsId_
bool	addBasis_
QuantLib::Natural	monthOffset_
bool	averageBase_
bool	priceAsHistFixing_
std::map< unsigned short, PriceSegment >	priceSegments_
boost::optional< BootstrapConfig >	bootstrapConfig_
Type &	type ()
std::string &	currency ()
std::string &	commoditySpotQuoteId ()
std::string &	dayCountId ()
std::string &	interpolationMethod ()
std::string &	basePriceCurveId ()
std::string &	baseYieldCurveId ()
std::string &	yieldCurveId ()
bool &	extrapolation ()
std::string &	conventionsId ()
std::string &	baseConventionsId ()
bool &	addBasis ()
QuantLib::Natural &	monthOffset ()
bool &	averageBase ()
bool &	priceAsHistFixing ()
void	setPriceSegments (const std::map< unsigned short, PriceSegment > &priceSegments)
void	setBootstrapConfig (const BootstrapConfig &bootstrapConfig)
void	populateRequiredCurveIds ()
	Populate any dependent curve IDs. More...
void	processSegments (std::vector< PriceSegment > priceSegments)
	Process price segments when configuring a Piecewise curve. More...

Additional Inherited Members
Protected Attributes inherited from CurveConfig
string	curveID_
string	curveDescription_
vector< string >	quotes_
map< CurveSpec::CurveType, set< string > >	requiredCurveIds_

Detailed Description

Commodity curve configuration.

Definition at line 115 of file commoditycurveconfig.hpp.

Member Enumeration Documentation

Type

enum class Type

strong

The type of commodity curve that has been configured:

• Direct: if the commodity price curve is built from commodity forward quotes
• CrossCurrency: if the commodity price curve is implied from a price curve in a different currency
• Basis: if the commodity price curve is built from basis quotes
• Piecewise: if the commodity price curve is bootstrapped from sets of instruments

Enumerator
Direct
CrossCurrency
Basis
Piecewise

Definition at line 123 of file commoditycurveconfig.hpp.

{ Direct, CrossCurrency, Basis, Piecewise };

Constructor & Destructor Documentation

CommodityCurveConfig() [1/5]

CommodityCurveConfig

(

)

Default constructor.

Definition at line 128 of file commoditycurveconfig.hpp.

                           : type_(Type::Direct), extrapolation_(true), addBasis_(true),
        monthOffset_(0), averageBase_(true) {}

CommodityCurveConfig() [2/5]

CommodityCurveConfig	(	const std::string &	curveId,
		const std::string &	curveDescription,
		const std::string &	currency,
		const std::vector< std::string > &	quotes,
		const std::string &	commoditySpotQuote = "",
		const std::string &	dayCountId = "A365",
		const std::string &	interpolationMethod = "Linear",
		bool	extrapolation = true,
		const std::string &	conventionsId = ""
	)

Detailed constructor for Direct commodity curve configuration.

Definition at line 155 of file commoditycurveconfig.cpp.

    : CurveConfig(curveId, curveDescription), type_(Type::Direct), fwdQuotes_(quotes), currency_(currency),
      commoditySpotQuoteId_(commoditySpotQuote), dayCountId_(dayCountId), interpolationMethod_(interpolationMethod),
      extrapolation_(extrapolation), conventionsId_(conventionsId), addBasis_(true), monthOffset_(0),
      averageBase_(true) {
 
    quotes_ = quotes;
    if (!commoditySpotQuote.empty()) {
        quotes_.insert(quotes_.begin(), commoditySpotQuote);
    }
}

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CommodityCurveConfig() [3/5]

CommodityCurveConfig	(	const std::string &	curveId,
		const std::string &	curveDescription,
		const std::string &	currency,
		const std::string &	basePriceCurveId,
		const std::string &	baseYieldCurveId,
		const std::string &	yieldCurveId,
		bool	extrapolation = true
	)

Detailed constructor for CrossCurrency commodity curve configuration.

Definition at line 171 of file commoditycurveconfig.cpp.

    : CurveConfig(curveId, curveDescription), type_(Type::CrossCurrency), currency_(currency),
      basePriceCurveId_(basePriceCurveId), baseYieldCurveId_(baseYieldCurveId), yieldCurveId_(yieldCurveId),
      extrapolation_(extrapolation), addBasis_(true), monthOffset_(0), averageBase_(true), priceAsHistFixing_(true) {
    populateRequiredCurveIds();
}

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CommodityCurveConfig() [4/5]

CommodityCurveConfig	(	const std::string &	curveId,
		const std::string &	curveDescription,
		const std::string &	currency,
		const std::string &	basePriceCurveId,
		const std::string &	baseConventionsId,
		const std::vector< std::string > &	basisQuotes,
		const std::string &	basisConventionsId,
		const std::string &	dayCountId = "A365",
		const std::string &	interpolationMethod = "Linear",
		bool	extrapolation = true,
		bool	addBasis = true,
		QuantLib::Natural	monthOffset = 0,
		bool	averageBase = true
	)

Detailed constructor for Basis commodity curve configuration.

Definition at line 181 of file commoditycurveconfig.cpp.

    : CurveConfig(curveId, curveDescription), type_(Type::Basis), fwdQuotes_(basisQuotes), currency_(currency),
      dayCountId_(dayCountId), interpolationMethod_(interpolationMethod), basePriceCurveId_(basePriceCurveId),
      extrapolation_(extrapolation), conventionsId_(basisConventionsId), baseConventionsId_(baseConventionsId),
      addBasis_(addBasis), monthOffset_(monthOffset), averageBase_(averageBase), priceAsHistFixing_(true) {
    populateRequiredCurveIds();
}

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CommodityCurveConfig() [5/5]

CommodityCurveConfig	(	const std::string &	curveId,
		const std::string &	curveDescription,
		const std::string &	currency,
		const std::vector< PriceSegment > &	priceSegments,
		const std::string &	dayCountId = "A365",
		const std::string &	interpolationMethod = "Linear",
		bool	extrapolation = true,
		const boost::optional< BootstrapConfig > &	bootstrapConfig = boost::none
	)

Detailed constructor for Piecewise commodity curve configuration.

Definition at line 194 of file commoditycurveconfig.cpp.

    : CurveConfig(curveId, curveDescription), type_(Type::Piecewise), currency_(currency), dayCountId_(dayCountId),
      interpolationMethod_(interpolationMethod), extrapolation_(extrapolation), addBasis_(true), monthOffset_(0),
      averageBase_(true), priceAsHistFixing_(true), bootstrapConfig_(bootstrapConfig) {
    processSegments(priceSegments);
}

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Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 204 of file commoditycurveconfig.cpp.

                                                {
 
    XMLUtils::checkNode(node, "CommodityCurve");
 
    curveID_ = XMLUtils::getChildValue(node, "CurveId", true);
    curveDescription_ = XMLUtils::getChildValue(node, "CurveDescription", true);
    currency_ = XMLUtils::getChildValue(node, "Currency", true);
 
    if (XMLNode* n = XMLUtils::getChildNode(node, "BasisConfiguration")) {
 
        type_ = Type::Basis;
        basePriceCurveId_ = XMLUtils::getChildValue(n, "BasePriceCurve", true);
        baseConventionsId_ = XMLUtils::getChildValue(n, "BasePriceConventions", true);
        quotes_ = fwdQuotes_ = XMLUtils::getChildrenValues(n, "BasisQuotes", "Quote");
        conventionsId_ = XMLUtils::getChildValue(n, "BasisConventions", true);
        dayCountId_ = XMLUtils::getChildValue(n, "DayCounter", false);
        interpolationMethod_ = XMLUtils::getChildValue(n, "InterpolationMethod", false);
        addBasis_ = XMLUtils::getChildValueAsBool(n, "AddBasis", false);
        monthOffset_ = XMLUtils::getChildValueAsInt(n, "MonthOffset", false);
        averageBase_ = XMLUtils::getChildValueAsBool(n, "AverageBase", false);
        priceAsHistFixing_ = XMLUtils::getChildValueAsBool(n, "PriceAsHistoricalFixing", false);
    } else if (XMLNode* n = XMLUtils::getChildNode(node, "BasePriceCurve")) {
 
        type_ = Type::CrossCurrency;
        basePriceCurveId_ = XMLUtils::getNodeValue(n);
        baseYieldCurveId_ = XMLUtils::getChildValue(node, "BaseYieldCurve", true);
        yieldCurveId_ = XMLUtils::getChildValue(node, "YieldCurve", true);
 
    } else if (XMLNode* n = XMLUtils::getChildNode(node, "PriceSegments")) {
 
        vector<PriceSegment> priceSegments;
        type_ = Type::Piecewise;
        for (XMLNode* c = XMLUtils::getChildNode(n); c; c = XMLUtils::getNextSibling(c)) {
            PriceSegment ps;
            ps.fromXML(c);
            priceSegments.push_back(ps);
        }
        processSegments(priceSegments);
 
        dayCountId_ = XMLUtils::getChildValue(node, "DayCounter", false);
        interpolationMethod_ = XMLUtils::getChildValue(node, "InterpolationMethod", false);
 
        if (XMLNode* bcn = XMLUtils::getChildNode(node, "BootstrapConfig")) {
            bootstrapConfig_ = BootstrapConfig();
            bootstrapConfig_->fromXML(bcn);
        }
 
    } else {
 
        type_ = Type::Direct;
        dayCountId_ = XMLUtils::getChildValue(node, "DayCounter", false);
        commoditySpotQuoteId_ = XMLUtils::getChildValue(node, "SpotQuote", false);
        fwdQuotes_ = XMLUtils::getChildrenValues(node, "Quotes", "Quote");
        quotes_ = fwdQuotes_;
        if (commoditySpotQuoteId_ != "")
            quotes_.insert(quotes_.begin(), commoditySpotQuoteId_);
 
        interpolationMethod_ = XMLUtils::getChildValue(node, "InterpolationMethod", false);
        conventionsId_ = XMLUtils::getChildValue(node, "Conventions", false);
    }
 
    extrapolation_ = XMLUtils::getChildValueAsBool(node, "Extrapolation");
 
    populateRequiredCurveIds();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 270 of file commoditycurveconfig.cpp.

                                                           {
 
    XMLNode* node = doc.allocNode("CommodityCurve");
 
    XMLUtils::addChild(doc, node, "CurveId", curveID_);
    XMLUtils::addChild(doc, node, "CurveDescription", curveDescription_);
    XMLUtils::addChild(doc, node, "Currency", currency_);
 
    if (type_ == Type::Basis) {
        XMLNode* basisNode = XMLUtils::addChild(doc, node, "BasisConfiguration");
        XMLUtils::addChild(doc, basisNode, "BasePriceCurve", basePriceCurveId_);
        XMLUtils::addChild(doc, basisNode, "BasePriceConventions", baseConventionsId_);
        XMLUtils::addChildren(doc, basisNode, "BasisQuotes", "Quote", fwdQuotes_);
        XMLUtils::addChild(doc, basisNode, "BasisConventions", conventionsId_);
        XMLUtils::addChild(doc, basisNode, "DayCounter", dayCountId_);
        XMLUtils::addChild(doc, basisNode, "InterpolationMethod", interpolationMethod_);
        XMLUtils::addChild(doc, basisNode, "AddBasis", addBasis_);
        XMLUtils::addChild(doc, basisNode, "MonthOffset", static_cast<int>(monthOffset_));
        XMLUtils::addChild(doc, basisNode, "AverageBase", averageBase_);
        XMLUtils::addChild(doc, basisNode, "PriceAsHistoricalFixing", priceAsHistFixing_);
 
    } else if (type_ == Type::CrossCurrency) {
 
        XMLUtils::addChild(doc, node, "BasePriceCurve", basePriceCurveId_);
        XMLUtils::addChild(doc, node, "BaseYieldCurve", baseYieldCurveId_);
        XMLUtils::addChild(doc, node, "YieldCurve", yieldCurveId_);
 
    } else if (type_ == Type::Piecewise) {
 
        // Add the price segment nodes.
        XMLNode* segmentsNode = doc.allocNode("PriceSegments");
        for (auto& kv : priceSegments_) {
            XMLUtils::appendNode(segmentsNode, kv.second.toXML(doc));
        }
        XMLUtils::appendNode(node, segmentsNode);
 
        XMLUtils::addChild(doc, node, "DayCounter", dayCountId_);
        XMLUtils::addChild(doc, node, "InterpolationMethod", interpolationMethod_);
 
    } else {
 
        if (!commoditySpotQuoteId_.empty())
            XMLUtils::addChild(doc, node, "SpotQuote", commoditySpotQuoteId_);
        XMLUtils::addChildren(doc, node, "Quotes", "Quote", fwdQuotes_);
        XMLUtils::addChild(doc, node, "DayCounter", dayCountId_);
        XMLUtils::addChild(doc, node, "InterpolationMethod", interpolationMethod_);
        XMLUtils::addChild(doc, node, "Conventions", conventionsId_);
    }
 
    XMLUtils::addChild(doc, node, "Extrapolation", extrapolation_);
 
    if (bootstrapConfig_) {
        XMLUtils::appendNode(node, bootstrapConfig_->toXML(doc));
    }
 
    return node;
}

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type() [1/2]

const Type & type

(

)

const

Definition at line 165 of file commoditycurveconfig.hpp.

{ return type_; }

currency() [1/2]

const std::string & currency

(

)

const

Definition at line 166 of file commoditycurveconfig.hpp.

{ return currency_; }

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commoditySpotQuoteId() [1/2]

const std::string & commoditySpotQuoteId

(

)

const

Definition at line 167 of file commoditycurveconfig.hpp.

{ return commoditySpotQuoteId_; }

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dayCountId() [1/2]

const std::string & dayCountId

(

)

const

Definition at line 168 of file commoditycurveconfig.hpp.

{ return dayCountId_; }

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interpolationMethod() [1/2]

const std::string & interpolationMethod

(

)

const

Definition at line 169 of file commoditycurveconfig.hpp.

{ return interpolationMethod_; }

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basePriceCurveId() [1/2]

const std::string & basePriceCurveId

(

)

const

Definition at line 170 of file commoditycurveconfig.hpp.

{ return basePriceCurveId_; }

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baseYieldCurveId() [1/2]

const std::string & baseYieldCurveId

(

)

const

Definition at line 171 of file commoditycurveconfig.hpp.

{ return baseYieldCurveId_; }

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yieldCurveId() [1/2]

const std::string & yieldCurveId

(

)

const

Definition at line 172 of file commoditycurveconfig.hpp.

{ return yieldCurveId_; }

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extrapolation() [1/2]

bool extrapolation

(

)

const

Definition at line 173 of file commoditycurveconfig.hpp.

{ return extrapolation_; }

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fwdQuotes()

const vector< string > & fwdQuotes

(

)

const

Definition at line 174 of file commoditycurveconfig.hpp.

{ return fwdQuotes_; }

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conventionsId() [1/2]

const std::string & conventionsId

(

)

const

Definition at line 175 of file commoditycurveconfig.hpp.

{ return conventionsId_; }

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baseConventionsId() [1/2]

const std::string & baseConventionsId

(

)

const

Definition at line 176 of file commoditycurveconfig.hpp.

{ return baseConventionsId_; }

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addBasis() [1/2]

bool addBasis

(

)

const

Definition at line 177 of file commoditycurveconfig.hpp.

{ return addBasis_; }

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monthOffset() [1/2]

QuantLib::Natural monthOffset

(

)

const

Definition at line 178 of file commoditycurveconfig.hpp.

{ return monthOffset_; }

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averageBase() [1/2]

bool averageBase

(

)

const

Definition at line 179 of file commoditycurveconfig.hpp.

{ return averageBase_; }

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priceAsHistFixing() [1/2]

bool priceAsHistFixing

(

)

const

Definition at line 180 of file commoditycurveconfig.hpp.

{ return priceAsHistFixing_; }

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priceSegments()

const std::map< unsigned short, PriceSegment > & priceSegments

(

)

const

Definition at line 181 of file commoditycurveconfig.hpp.

{ return priceSegments_; }

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bootstrapConfig()

const boost::optional< BootstrapConfig > & bootstrapConfig

(

)

const

Definition at line 182 of file commoditycurveconfig.hpp.

{ return bootstrapConfig_; }

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type() [2/2]

Type & type

(

)

Definition at line 187 of file commoditycurveconfig.hpp.

{ return type_; }

currency() [2/2]

std::string & currency

(

)

Definition at line 188 of file commoditycurveconfig.hpp.

{ return currency_; }

commoditySpotQuoteId() [2/2]

std::string & commoditySpotQuoteId

(

)

Definition at line 189 of file commoditycurveconfig.hpp.

{ return commoditySpotQuoteId_; }

dayCountId() [2/2]

std::string & dayCountId

(

)

Definition at line 190 of file commoditycurveconfig.hpp.

{ return dayCountId_; }

interpolationMethod() [2/2]

std::string & interpolationMethod

(

)

Definition at line 191 of file commoditycurveconfig.hpp.

{ return interpolationMethod_; }

basePriceCurveId() [2/2]

std::string & basePriceCurveId

(

)

Definition at line 192 of file commoditycurveconfig.hpp.

{ return basePriceCurveId_; }

baseYieldCurveId() [2/2]

std::string & baseYieldCurveId

(

)

Definition at line 193 of file commoditycurveconfig.hpp.

{ return baseYieldCurveId_; }

yieldCurveId() [2/2]

std::string & yieldCurveId

(

)

Definition at line 194 of file commoditycurveconfig.hpp.

{ return yieldCurveId_; }

extrapolation() [2/2]

bool & extrapolation

(

)

Definition at line 195 of file commoditycurveconfig.hpp.

{ return extrapolation_; }

conventionsId() [2/2]

std::string & conventionsId

(

)

Definition at line 196 of file commoditycurveconfig.hpp.

{ return conventionsId_; }

baseConventionsId() [2/2]

std::string & baseConventionsId

(

)

Definition at line 197 of file commoditycurveconfig.hpp.

{ return baseConventionsId_; }

addBasis() [2/2]

bool & addBasis

(

)

Definition at line 198 of file commoditycurveconfig.hpp.

{ return addBasis_; }

monthOffset() [2/2]

QuantLib::Natural & monthOffset

(

)

Definition at line 199 of file commoditycurveconfig.hpp.

{ return monthOffset_; }

averageBase() [2/2]

bool & averageBase

(

)

Definition at line 200 of file commoditycurveconfig.hpp.

{ return averageBase_; }

priceAsHistFixing() [2/2]

bool & priceAsHistFixing

(

)

Definition at line 201 of file commoditycurveconfig.hpp.

{ return priceAsHistFixing_; }

setPriceSegments()

void setPriceSegments

(

const std::map< unsigned short, PriceSegment > &

priceSegments

)

Definition at line 202 of file commoditycurveconfig.hpp.

                                                                                     {
        priceSegments_ = priceSegments;
    }

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setBootstrapConfig()

void setBootstrapConfig

(

const BootstrapConfig &

bootstrapConfig

)

Definition at line 205 of file commoditycurveconfig.hpp.

{ bootstrapConfig_ = bootstrapConfig; }

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populateRequiredCurveIds()

void populateRequiredCurveIds ( )

private

Populate any dependent curve IDs.

Definition at line 328 of file commoditycurveconfig.cpp.

                                                    {
    if (!baseYieldCurveId().empty())
        requiredCurveIds_[CurveSpec::CurveType::Yield].insert(baseYieldCurveId());
    if (!yieldCurveId().empty())
        requiredCurveIds_[CurveSpec::CurveType::Yield].insert(yieldCurveId());
    if (!basePriceCurveId().empty())
        requiredCurveIds_[CurveSpec::CurveType::Commodity].insert(basePriceCurveId());
}

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processSegments()

void processSegments ( std::vector< PriceSegment >  priceSegments )

private

Process price segments when configuring a Piecewise curve.

Definition at line 337 of file commoditycurveconfig.cpp.

                                                                                {
 
    QL_REQUIRE(!priceSegments.empty(), "Need at least one price segment for a Piecewise commodity curve.");
 
    // Populate the quotes with each segment's quotes. Remove any price segments that have a valid priority value and 
    // add to the priceSegments_ map. What remains in priceSegments are price segments without a priority.
    auto it = priceSegments.begin();
    while (it != priceSegments.end()) {
 
        // If price segment is AveragingOffPeakPower, need a peak power curve Id.
        if (it->type() == PriceSegment::Type::AveragingOffPeakPower) {
            QL_REQUIRE(!it->peakPriceCurveId().empty(), "An AveragingOffPeakPower price segment should have" <<
                " a non empty PeakPriceCurveId");
            requiredCurveIds_[CurveSpec::CurveType::Commodity].insert(it->peakPriceCurveId());
        }
 
        // Quotes
        fwdQuotes_.insert(fwdQuotes_.end(), it->quotes().begin(), it->quotes().end());
 
        // Price segments
        if (it->priority()) {
            unsigned short p = *it->priority();
            QL_REQUIRE(priceSegments_.count(p) == 0, "CommodityCurveConfig: already configured a price segment " <<
                "with priority " << p << " for commodity curve configuration " << curveID() << ".");
            priceSegments_[p] = *it;
            it = priceSegments.erase(it);
        } else {
            it++;
        }
 
    }
 
    // Get the current largest priority.
    unsigned short largestPriority = 0;
    if (!priceSegments_.empty()) {
        largestPriority = priceSegments_.rbegin()->first;
    }
 
    // Very unlikely but check that the priorities entered will not cause an overflow of short int.
    QL_REQUIRE(priceSegments.size() <= static_cast<unsigned short>(std::numeric_limits<unsigned short>::max() - largestPriority),
        "Largest price segment priority (" << largestPriority << ") and number of segments without a " <<
        "priority (" << priceSegments.size() << ") combine to give a value too large for unsigned short.");
 
    // Now add the price segments without a priority to the end of the map.
    for (const auto& ps : priceSegments) {
        priceSegments_[++largestPriority] = ps;
    }
 
    quotes_ = fwdQuotes_;
}

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Member Data Documentation

type_

Type type_

private

Definition at line 215 of file commoditycurveconfig.hpp.

fwdQuotes_

vector<string> fwdQuotes_

private

Definition at line 216 of file commoditycurveconfig.hpp.

currency_

std::string currency_

private

Definition at line 217 of file commoditycurveconfig.hpp.

commoditySpotQuoteId_

std::string commoditySpotQuoteId_

private

Definition at line 218 of file commoditycurveconfig.hpp.

dayCountId_

std::string dayCountId_

private

Definition at line 219 of file commoditycurveconfig.hpp.

interpolationMethod_

std::string interpolationMethod_

private

Definition at line 220 of file commoditycurveconfig.hpp.

basePriceCurveId_

std::string basePriceCurveId_

private

Definition at line 221 of file commoditycurveconfig.hpp.

baseYieldCurveId_

std::string baseYieldCurveId_

private

Definition at line 222 of file commoditycurveconfig.hpp.

yieldCurveId_

std::string yieldCurveId_

private

Definition at line 223 of file commoditycurveconfig.hpp.

extrapolation_

bool extrapolation_

private

Definition at line 224 of file commoditycurveconfig.hpp.

conventionsId_

std::string conventionsId_

private

Definition at line 225 of file commoditycurveconfig.hpp.

baseConventionsId_

std::string baseConventionsId_

private

Definition at line 226 of file commoditycurveconfig.hpp.

addBasis_

bool addBasis_

private

Definition at line 227 of file commoditycurveconfig.hpp.

monthOffset_

QuantLib::Natural monthOffset_

private

Definition at line 228 of file commoditycurveconfig.hpp.

averageBase_

bool averageBase_

private

Definition at line 229 of file commoditycurveconfig.hpp.

priceAsHistFixing_

bool priceAsHistFixing_

private

Definition at line 230 of file commoditycurveconfig.hpp.

priceSegments_

std::map<unsigned short, PriceSegment> priceSegments_

private

The map key is the internal priority of the price segment and does not necessarily map the PriceSegment's priority member value. We are allowing here for the priority to be unspecified in the PriceSegment during configuration.

Definition at line 235 of file commoditycurveconfig.hpp.

bootstrapConfig_

boost::optional<BootstrapConfig> bootstrapConfig_

private

Definition at line 236 of file commoditycurveconfig.hpp.