Commodity volatility configuration. More...

#include <ored/configuration/commodityvolcurveconfig.hpp>

Inheritance diagram for CommodityVolatilityConfig:

Collaboration diagram for CommodityVolatilityConfig:

Public Member Functions
	CommodityVolatilityConfig ()
	Default constructor. More...

	CommodityVolatilityConfig (const std::string &curveId, const std::string &curveDescription, const std::string &currency, const std::vector< QuantLib::ext::shared_ptr< VolatilityConfig > > &volatilityConfig, const std::string &dayCounter="A365", const std::string &calendar="NullCalendar", const std::string &futureConventionsId="", QuantLib::Natural optionExpiryRollDays=0, const std::string &priceCurveId="", const std::string &yieldCurveId="", const std::string &quoteSuffix="", const OneDimSolverConfig &solverConfig=OneDimSolverConfig(), const boost::optional< bool > &preferOutOfTheMoney=boost::none)
	Explicit constructor. More...

Inspectors
const std::string &	currency () const

const std::vector< QuantLib::ext::shared_ptr< VolatilityConfig > > &	volatilityConfig () const

const std::string &	dayCounter () const

const std::string &	calendar () const

const std::string &	futureConventionsId () const

QuantLib::Natural	optionExpiryRollDays () const

const std::string &	priceCurveId () const

const std::string &	yieldCurveId () const

const std::string &	quoteSuffix () const

OneDimSolverConfig	solverConfig () const

const boost::optional< bool > &	preferOutOfTheMoney () const

const ReportConfig &	reportConfig () 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...

Serialisation
std::string	currency_

std::vector< QuantLib::ext::shared_ptr< VolatilityConfig > >	volatilityConfig_

std::string	dayCounter_

std::string	calendar_

std::string	futureConventionsId_

QuantLib::Natural	optionExpiryRollDays_

std::string	priceCurveId_

std::string	yieldCurveId_

std::string	quoteSuffix_

OneDimSolverConfig	solverConfig_

boost::optional< bool >	preferOutOfTheMoney_

ReportConfig	reportConfig_

void	fromXML (XMLNode *node) override

ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

void	populateRequiredCurveIds ()

void	populateQuotes ()
	Populate CurveConfig::quotes_ with the required quotes. More...

static OneDimSolverConfig	defaultSolverConfig ()

Additional Inherited Members
Protected Attributes inherited from CurveConfig
string	curveID_

string	curveDescription_

vector< string >	quotes_

map< CurveSpec::CurveType, set< string > >	requiredCurveIds_

Detailed Description

Commodity volatility configuration.

Definition at line 38 of file commodityvolcurveconfig.hpp.

Constructor & Destructor Documentation

◆ CommodityVolatilityConfig() [1/2]

CommodityVolatilityConfig ( )

Default constructor.

Definition at line 31 of file commodityvolcurveconfig.cpp.

32 : optionExpiryRollDays_(0) {}

ore::data::CommodityVolatilityConfig::optionExpiryRollDays_

QuantLib::Natural optionExpiryRollDays_

Definition: commodityvolcurveconfig.hpp:84

◆ CommodityVolatilityConfig() [2/2]

CommodityVolatilityConfig	(	const std::string &	curveId,
		const std::string &	curveDescription,
		const std::string &	currency,
		const std::vector< QuantLib::ext::shared_ptr< VolatilityConfig > > &	volatilityConfig,
		const std::string &	dayCounter = `"A365"`,
		const std::string &	calendar = `"NullCalendar"`,
		const std::string &	futureConventionsId = `""`,
		QuantLib::Natural	optionExpiryRollDays = `0`,
		const std::string &	priceCurveId = `""`,
		const std::string &	yieldCurveId = `""`,
		const std::string &	quoteSuffix = `""`,
		const OneDimSolverConfig &	solverConfig = `OneDimSolverConfig()`,
		const boost::optional< bool > &	preferOutOfTheMoney = `boost::none`
	)

Explicit constructor.

Definition at line 34 of file commodityvolcurveconfig.cpp.

    : CurveConfig(curveId, curveDescription), currency_(currency), volatilityConfig_(volatilityConfig),
      dayCounter_(dayCounter), calendar_(calendar), futureConventionsId_(futureConventionsId),
      optionExpiryRollDays_(optionExpiryRollDays), priceCurveId_(priceCurveId), yieldCurveId_(yieldCurveId),
      quoteSuffix_(quoteSuffix), solverConfig_(solverConfig), preferOutOfTheMoney_(preferOutOfTheMoney) {
    populateQuotes();
    populateRequiredCurveIds();
}

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Member Function Documentation

◆ currency()

const string & currency ( ) const

Definition at line 69 of file commodityvolcurveconfig.cpp.

69{ return currency_; }

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◆ volatilityConfig()

const vector< QuantLib::ext::shared_ptr< VolatilityConfig > > & volatilityConfig ( ) const

Definition at line 73 of file commodityvolcurveconfig.cpp.

                                                                                                         {
    return volatilityConfig_;
}

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◆ dayCounter()

const string & dayCounter ( ) const

Definition at line 71 of file commodityvolcurveconfig.cpp.

71{ return dayCounter_; }

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◆ calendar()

const string & calendar ( ) const

Definition at line 77 of file commodityvolcurveconfig.cpp.

77{ return calendar_; }

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◆ futureConventionsId()

const string & futureConventionsId ( ) const

Definition at line 79 of file commodityvolcurveconfig.cpp.

79{ return futureConventionsId_; }

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◆ optionExpiryRollDays()

Natural optionExpiryRollDays ( ) const

Definition at line 81 of file commodityvolcurveconfig.cpp.

81{ return optionExpiryRollDays_; }

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◆ priceCurveId()

const string & priceCurveId ( ) const

Definition at line 83 of file commodityvolcurveconfig.cpp.

83{ return priceCurveId_; }

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◆ yieldCurveId()

const string & yieldCurveId ( ) const

Definition at line 85 of file commodityvolcurveconfig.cpp.

85{ return yieldCurveId_; }

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◆ quoteSuffix()

const string & quoteSuffix ( ) const

Definition at line 87 of file commodityvolcurveconfig.cpp.

87{ return quoteSuffix_; }

◆ solverConfig()

OneDimSolverConfig solverConfig ( ) const

Definition at line 93 of file commodityvolcurveconfig.cpp.

                                                                 {
    return solverConfig_.empty() ? defaultSolverConfig() : solverConfig_;
}

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◆ preferOutOfTheMoney()

const boost::optional< bool > & preferOutOfTheMoney ( ) const

Definition at line 89 of file commodityvolcurveconfig.cpp.

                                                                                {
    return preferOutOfTheMoney_;
}

◆ reportConfig()

const ReportConfig & reportConfig ( ) const

Definition at line 67 of file commodityvolcurveconfig.hpp.

67{ return reportConfig_; }

ore::data::CommodityVolatilityConfig::reportConfig_

ReportConfig reportConfig_

Definition: commodityvolcurveconfig.hpp:90

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 106 of file commodityvolcurveconfig.cpp.

                                                     {
 
    XMLUtils::checkNode(node, "CommodityVolatility");
 
    curveID_ = XMLUtils::getChildValue(node, "CurveId", true);
    curveDescription_ = XMLUtils::getChildValue(node, "CurveDescription", true);
    currency_ = XMLUtils::getChildValue(node, "Currency", true);
 
    VolatilityConfigBuilder vcb;
    vcb.fromXML(node);
    volatilityConfig_ = vcb.volatilityConfig();
    
    dayCounter_ = "A365";
    if (XMLNode* n = XMLUtils::getChildNode(node, "DayCounter"))
        dayCounter_ = XMLUtils::getNodeValue(n);
 
    calendar_ = "NullCalendar";
    if (XMLNode* n = XMLUtils::getChildNode(node, "Calendar"))
        calendar_ = XMLUtils::getNodeValue(n);
 
    futureConventionsId_ = XMLUtils::getChildValue(node, "FutureConventions", false);
 
    optionExpiryRollDays_ = 0;
    if (XMLNode* n = XMLUtils::getChildNode(node, "OptionExpiryRollDays"))
        optionExpiryRollDays_ = parseInteger(XMLUtils::getNodeValue(n));
 
    priceCurveId_ = XMLUtils::getChildValue(node, "PriceCurveId", false);
    yieldCurveId_ = XMLUtils::getChildValue(node, "YieldCurveId", false);
 
    quoteSuffix_ = XMLUtils::getChildValue(node, "QuoteSuffix", false);
 
    solverConfig_ = OneDimSolverConfig();
    if (XMLNode* n = XMLUtils::getChildNode(node, "OneDimSolverConfig")) {
        solverConfig_.fromXML(n);
    }
 
    preferOutOfTheMoney_ = boost::none;
    if (XMLNode* n = XMLUtils::getChildNode(node, "PreferOutOfTheMoney")) {
        preferOutOfTheMoney_ = parseBool(XMLUtils::getNodeValue(n));
    }
 
    if(auto tmp = XMLUtils::getChildNode(node, "Report")){
        reportConfig_.fromXML(tmp);
    }
    populateQuotes();
    populateRequiredCurveIds();
}

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◆ toXML()

XMLNode * toXML ( ore::data::XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 154 of file commodityvolcurveconfig.cpp.

                                                                {
 
    XMLNode* node = doc.allocNode("CommodityVolatility");
 
    XMLUtils::addChild(doc, node, "CurveId", curveID_);
    XMLUtils::addChild(doc, node, "CurveDescription", curveDescription_);
    XMLUtils::addChild(doc, node, "Currency", currency_);
 
    XMLNode* vnode = doc.allocNode("VolatilityConfig");
    for (auto vc : volatilityConfig_) {
        XMLNode* n = vc->toXML(doc);
        XMLUtils::appendNode(vnode, n);
    }
    XMLUtils::appendNode(node, vnode);
 
    XMLUtils::addChild(doc, node, "DayCounter", dayCounter_);
    XMLUtils::addChild(doc, node, "Calendar", calendar_);
    if (!futureConventionsId_.empty())
        XMLUtils::addChild(doc, node, "FutureConventions", futureConventionsId_);
    XMLUtils::addChild(doc, node, "OptionExpiryRollDays", static_cast<int>(optionExpiryRollDays_));
    if (!priceCurveId_.empty())
        XMLUtils::addChild(doc, node, "PriceCurveId", priceCurveId_);
    if (!yieldCurveId_.empty())
        XMLUtils::addChild(doc, node, "YieldCurveId", yieldCurveId_);
    if (!quoteSuffix_.empty())
        XMLUtils::addChild(doc, node, "QuoteSuffix", quoteSuffix_);
    if (!solverConfig_.empty())
        XMLUtils::appendNode(node, solverConfig_.toXML(doc));
    if (preferOutOfTheMoney_)
        XMLUtils::addChild(doc, node, "PreferOutOfTheMoney", *preferOutOfTheMoney_);
    XMLUtils::appendNode(node, reportConfig_.toXML(doc));
    return node;
}

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◆ populateRequiredCurveIds()

void populateRequiredCurveIds ( )

private

Definition at line 48 of file commodityvolcurveconfig.cpp.

                                                         {
    if (!priceCurveId().empty())
        requiredCurveIds_[CurveSpec::CurveType::Commodity].insert(parseCurveSpec(priceCurveId())->curveConfigID());
    if (!yieldCurveId().empty())
        requiredCurveIds_[CurveSpec::CurveType::Yield].insert(parseCurveSpec(yieldCurveId())->curveConfigID());
    for (auto vc : volatilityConfig()) {
        if (auto vapo = QuantLib::ext::dynamic_pointer_cast<VolatilityApoFutureSurfaceConfig>(vc)) {
            requiredCurveIds_[CurveSpec::CurveType::CommodityVolatility].insert(
                parseCurveSpec(vapo->baseVolatilityId())->curveConfigID());
        }
        if (auto p = QuantLib::ext::dynamic_pointer_cast<ProxyVolatilityConfig>(vc)) {
            requiredCurveIds_[CurveSpec::CurveType::Commodity].insert(p->proxyVolatilityCurve());
            requiredCurveIds_[CurveSpec::CurveType::CommodityVolatility].insert(p->proxyVolatilityCurve());
            if (!p->fxVolatilityCurve().empty())
                requiredCurveIds_[CurveSpec::CurveType::FXVolatility].insert(p->fxVolatilityCurve());
            if (!p->correlationCurve().empty())
                requiredCurveIds_[CurveSpec::CurveType::Correlation].insert(p->correlationCurve());
        }
    }
}

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◆ populateQuotes()

void populateQuotes ( )

private

Populate CurveConfig::quotes_ with the required quotes.

Definition at line 188 of file commodityvolcurveconfig.cpp.

                                               {
 
    for (auto config : volatilityConfig_) {
        // The quotes depend on the type of volatility structure that has been configured.
        if (auto vc = QuantLib::ext::dynamic_pointer_cast<ConstantVolatilityConfig>(config)) {
            quotes_.push_back(vc->quote());
        } else if (auto vc = QuantLib::ext::dynamic_pointer_cast<VolatilityCurveConfig>(config)) {
            auto qs = vc->quotes();
            quotes_.insert(quotes_.end(), qs.begin(), qs.end());
        } else if (auto vc = QuantLib::ext::dynamic_pointer_cast<VolatilitySurfaceConfig>(config)) {
            string quoteType = to_string(vc->quoteType());
            string stem = "COMMODITY_OPTION/" + quoteType + "/" + curveID_ + "/" + currency_ + "/";
            for (const pair<string, string>& p : vc->quotes()) {
                string q = stem + p.first + "/" + p.second;
                if (!quoteSuffix_.empty())
                    q += "/" + quoteSuffix_;
                quotes_.push_back(q);
            }
        }
    }
}

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◆ defaultSolverConfig()

OneDimSolverConfig defaultSolverConfig ( )

staticprivate

Definition at line 97 of file commodityvolcurveconfig.cpp.

                                                                  {
 
    // Some "reasonable" defaults for commodity volatility searches.
    // Max eval of 100. Initial guess of 35%. Search between 1 bp and 200%.
    static OneDimSolverConfig res(100, 0.35, 0.0001, std::make_pair(0.0001, 2.0));
 
    return res;
}

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Member Data Documentation

◆ currency_

std::string currency_

private

Definition at line 79 of file commodityvolcurveconfig.hpp.

◆ volatilityConfig_

std::vector<QuantLib::ext::shared_ptr<VolatilityConfig> > volatilityConfig_

private

Definition at line 80 of file commodityvolcurveconfig.hpp.

◆ dayCounter_

std::string dayCounter_

private

Definition at line 81 of file commodityvolcurveconfig.hpp.

◆ calendar_

std::string calendar_

private

Definition at line 82 of file commodityvolcurveconfig.hpp.

◆ futureConventionsId_

std::string futureConventionsId_

private

Definition at line 83 of file commodityvolcurveconfig.hpp.

◆ optionExpiryRollDays_

QuantLib::Natural optionExpiryRollDays_

private

Definition at line 84 of file commodityvolcurveconfig.hpp.

◆ priceCurveId_

std::string priceCurveId_

private

Definition at line 85 of file commodityvolcurveconfig.hpp.

◆ yieldCurveId_

std::string yieldCurveId_

private

Definition at line 86 of file commodityvolcurveconfig.hpp.

◆ quoteSuffix_

std::string quoteSuffix_

private

Definition at line 87 of file commodityvolcurveconfig.hpp.

◆ solverConfig_

OneDimSolverConfig solverConfig_

private

Definition at line 88 of file commodityvolcurveconfig.hpp.

◆ preferOutOfTheMoney_

boost::optional<bool> preferOutOfTheMoney_

private

Definition at line 89 of file commodityvolcurveconfig.hpp.

◆ reportConfig_

ReportConfig reportConfig_

private

Definition at line 90 of file commodityvolcurveconfig.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CommodityVolatilityConfig() [1/2]

◆ CommodityVolatilityConfig() [2/2]

Member Function Documentation

◆ currency()

◆ volatilityConfig()

◆ dayCounter()

◆ calendar()

◆ futureConventionsId()

◆ optionExpiryRollDays()

◆ priceCurveId()

◆ yieldCurveId()

◆ quoteSuffix()

◆ solverConfig()

◆ preferOutOfTheMoney()

◆ reportConfig()

◆ fromXML()

◆ toXML()

◆ populateRequiredCurveIds()

◆ populateQuotes()

◆ defaultSolverConfig()

Member Data Documentation

◆ currency_

◆ volatilityConfig_

◆ dayCounter_

◆ calendar_

◆ futureConventionsId_

◆ optionExpiryRollDays_

◆ priceCurveId_

◆ yieldCurveId_

◆ quoteSuffix_

◆ solverConfig_

◆ preferOutOfTheMoney_

◆ reportConfig_