CrCirData Class Reference

#include <ored/model/crcirdata.hpp>

Inheritance diagram for CrCirData:

Collaboration diagram for CrCirData:

Public Types
enum class	CalibrationStrategy { CurveAndFlatVol , None }

Public Member Functions
	CrCirData ()
	Default constructor. More...
	CrCirData (std::string name, std::string currency, CalibrationType calibrationType, CalibrationStrategy calibrationStrategy, Real startValue, Real reversionValue, Real longTermValue, Real volatility, bool relaxedFeller, Real fellerFactor, Real tolerance, std::vector< std::string > optionExpiries=std::vector< std::string >(), std::vector< std::string > optionTerms=std::vector< std::string >(), std::vector< std::string > optionStrikes=std::vector< std::string >())
	Detailed constructor. More...
Serialisation
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
Setters/Getters
setter/getter for qualifier in derived classes
std::string &	name ()
std::string &	currency ()
CalibrationType &	calibrationType ()
CalibrationStrategy &	calibrationStrategy ()
Real &	startValue ()
Real &	reversionValue ()
Real &	longTermValue ()
Real &	volatility ()
std::vector< std::string > &	optionExpiries ()
std::vector< std::string > &	optionTerms ()
std::vector< std::string > &	optionStrikes ()
bool &	relaxedFeller ()
Real &	fellerFactor ()
Real &	tolerance ()
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...

Operators
std::string	name_
std::string	currency_
CalibrationType	calibrationType_
CalibrationStrategy	calibrationStrategy_
Real	startValue_
Real	reversionValue_
Real	longTermValue_
Real	volatility_
bool	relaxedFeller_
Real	fellerFactor_
Real	tolerance_
std::vector< std::string >	optionExpiries_
std::vector< std::string >	optionTerms_
std::vector< std::string >	optionStrikes_
bool	operator== (const CrCirData &rhs)
bool	operator!= (const CrCirData &rhs)

Detailed Description

Definition at line 40 of file crcirdata.hpp.

Member Enumeration Documentation

CalibrationStrategy

enum class CalibrationStrategy

strong

Enumerator
CurveAndFlatVol
None

Definition at line 42 of file crcirdata.hpp.

{ CurveAndFlatVol, None };

Constructor & Destructor Documentation

CrCirData() [1/2]

CrCirData

(

)

Default constructor.

Definition at line 45 of file crcirdata.hpp.

{}

CrCirData() [2/2]

CrCirData	(	std::string	name,
		std::string	currency,
		CalibrationType	calibrationType,
		CalibrationStrategy	calibrationStrategy,
		Real	startValue,
		Real	reversionValue,
		Real	longTermValue,
		Real	volatility,
		bool	relaxedFeller,
		Real	fellerFactor,
		Real	tolerance,
		std::vector< std::string >	optionExpiries = std::vector<std::string>(),
		std::vector< std::string >	optionTerms = std::vector<std::string>(),
		std::vector< std::string >	optionStrikes = std::vector<std::string>()
	)

Detailed constructor.

Definition at line 48 of file crcirdata.hpp.

        : name_(name), currency_(currency), calibrationType_(calibrationType), calibrationStrategy_(calibrationStrategy),
          startValue_(startValue), reversionValue_(reversionValue), longTermValue_(longTermValue),
          volatility_(volatility), relaxedFeller_(relaxedFeller), fellerFactor_(fellerFactor), tolerance_(tolerance),
          optionExpiries_(optionExpiries), optionTerms_(optionTerms), optionStrikes_(optionStrikes) {}

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 62 of file crcirdata.cpp.

                                     {
 
    name_ = XMLUtils::getAttribute(node, "name");
    LOG("CIR with attribute (name) = " << name_);
 
    currency_ = XMLUtils::getChildValue(node, "Currency", true);
    LOG("CIR currency = " << currency_);
 
    std::string calibTypeString = XMLUtils::getChildValue(node, "CalibrationType", true);
    calibrationType_ = parseCalibrationType(calibTypeString);
    LOG("CIR calibration type = " << calibTypeString);
 
    std::string calibStratString = XMLUtils::getChildValue(node, "CalibrationStrategy", true);
    calibrationStrategy_ = parseCirCalibrationStrategy(calibStratString);
    LOG("CIR calibration strategy = " << calibStratString);
 
    startValue_ = XMLUtils::getChildValueAsDouble(node, "StartValue", true);
    LOG("CIR start value_ = " << startValue_);
 
    reversionValue_ = XMLUtils::getChildValueAsDouble(node, "ReversionValue", true);
    LOG("CIR reversion value = " << reversionValue_);
 
    longTermValue_ = XMLUtils::getChildValueAsDouble(node, "LongTermValue", true);
    LOG("CIR long term value = " << longTermValue_);
 
    volatility_ = XMLUtils::getChildValueAsDouble(node, "Volatility", true);
    LOG("CIR volatility = " << volatility_);
 
    relaxedFeller_ = XMLUtils::getChildValueAsBool(node, "RelaxedFeller", true);
    LOG("CIR relaxed feller = " << relaxedFeller_);
 
    fellerFactor_ = XMLUtils::getChildValueAsDouble(node, "FellerFactor", true);
    LOG("CIR feller factor = " << fellerFactor_);
 
    tolerance_ = XMLUtils::getChildValueAsDouble(node, "Tolerance", true);
    LOG("CIR tolerance = " << tolerance_);
 
    // Calibration Swaptions
 
    XMLNode* optionsNode = XMLUtils::getChildNode(node, "CalibrationCdsOptions");
 
    if (optionsNode) {
 
        optionExpiries() = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Expiries", false);
        optionTerms() = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Terms", false);
        QL_REQUIRE(optionExpiries().size() == optionTerms().size(),
                "vector size mismatch in cds option expiries/terms for name " << name_);
        optionStrikes() = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Strikes", false);
        if (optionStrikes().size() > 0) {
            QL_REQUIRE(optionStrikes().size() == optionExpiries().size(),
                    "vector size mismatch in cds option expiries/strikes for name " << name_);
        } else // Default: ATM
            optionStrikes().resize(optionExpiries().size(), "ATM");
 
        for (Size i = 0; i < optionExpiries().size(); i++) {
            LOG("CrCir calibration cds option " << optionExpiries()[i] << " x " << optionTerms()[i] << " "
                                                << optionStrikes()[i]);
        }
    }
 
    LOG("CrCirData done");
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 125 of file crcirdata.cpp.

                                                {
 
    XMLNode* cirNode = doc.allocNode("CIR");
    XMLUtils::addAttribute(doc, cirNode, "name", name_);
 
    XMLUtils::addChild(doc, cirNode, "Currency", currency_);
 
    XMLUtils::addGenericChild(doc, cirNode, "CalibrationType", calibrationType_);
    XMLUtils::addGenericChild(doc, cirNode, "CalibrationStrategy", calibrationStrategy_);
 
    XMLUtils::addChild(doc, cirNode, "StartValue", startValue_);
    XMLUtils::addChild(doc, cirNode, "ReversionValue", reversionValue_);
    XMLUtils::addChild(doc, cirNode, "LongTermValue", longTermValue_);
    XMLUtils::addChild(doc, cirNode, "Volatility", volatility_);
 
    XMLUtils::addChild(doc, cirNode, "RelaxedFeller", relaxedFeller_);
    XMLUtils::addChild(doc, cirNode, "FellerFactor", fellerFactor_);
    XMLUtils::addChild(doc, cirNode, "Tolerance", tolerance_);
 
    // swaption calibration
    XMLNode* calibrationSwaptionsNode = XMLUtils::addChild(doc, cirNode, "CalibrationCdsOptions");
    XMLUtils::addGenericChildAsList(doc, calibrationSwaptionsNode, "Expiries", optionExpiries_);
    XMLUtils::addGenericChildAsList(doc, calibrationSwaptionsNode, "Terms", optionTerms_);
    XMLUtils::addGenericChildAsList(doc, calibrationSwaptionsNode, "Strikes", optionStrikes_);
 
    return cirNode;
}

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name()

std::string & name

(

)

Definition at line 69 of file crcirdata.hpp.

{ return name_; }

currency()

std::string & currency

(

)

Definition at line 70 of file crcirdata.hpp.

{ return currency_; }

calibrationType()

CalibrationType & calibrationType

(

)

Definition at line 71 of file crcirdata.hpp.

{ return calibrationType_; }

calibrationStrategy()

CalibrationStrategy & calibrationStrategy

(

)

Definition at line 72 of file crcirdata.hpp.

{ return calibrationStrategy_; }

startValue()

Real & startValue

(

)

Definition at line 73 of file crcirdata.hpp.

{ return startValue_; }

reversionValue()

Real & reversionValue

(

)

Definition at line 74 of file crcirdata.hpp.

{ return reversionValue_; }

longTermValue()

Real & longTermValue

(

)

Definition at line 75 of file crcirdata.hpp.

{ return longTermValue_; }

volatility()

Real & volatility

(

)

Definition at line 76 of file crcirdata.hpp.

{ return volatility_; }

optionExpiries()

std::vector< std::string > & optionExpiries

(

)

Definition at line 77 of file crcirdata.hpp.

{ return optionExpiries_; }

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optionTerms()

std::vector< std::string > & optionTerms

(

)

Definition at line 78 of file crcirdata.hpp.

{ return optionTerms_; }

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optionStrikes()

std::vector< std::string > & optionStrikes

(

)

Definition at line 79 of file crcirdata.hpp.

{ return optionStrikes_; }

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relaxedFeller()

bool & relaxedFeller

(

)

Definition at line 80 of file crcirdata.hpp.

{ return relaxedFeller_; }

fellerFactor()

Real & fellerFactor

(

)

Definition at line 81 of file crcirdata.hpp.

{ return fellerFactor_; }

tolerance()

Real & tolerance

(

)

Definition at line 82 of file crcirdata.hpp.

{ return tolerance_; }

operator==()

bool operator==

(

const CrCirData &

rhs

)

Definition at line 25 of file crcirdata.cpp.

                                               {
 
    if (name_ != rhs.name_ || currency_ != rhs.currency_ ||
        calibrationType_ != rhs.calibrationType_ || calibrationStrategy_ != rhs.calibrationStrategy_ ||
        startValue_ != rhs.startValue_ ||
        reversionValue_ != rhs.reversionValue_ || longTermValue_ != rhs.longTermValue_ ||
        volatility_ != rhs.volatility_ || relaxedFeller_ != rhs.relaxedFeller_ ||
        fellerFactor_ != rhs.fellerFactor_ || tolerance_ != rhs.tolerance_ ||
        optionExpiries_ != rhs.optionExpiries_ || optionTerms_ != rhs.optionTerms_ ||
        optionStrikes_ != rhs.optionStrikes_) {
        return false;
    }
    return true;
}

operator!=()

bool operator!=

(

const CrCirData &

rhs

)

Definition at line 40 of file crcirdata.cpp.

{ return !(*this == rhs); }

Member Data Documentation

name_

std::string name_

private

Definition at line 92 of file crcirdata.hpp.

currency_

std::string currency_

private

Definition at line 93 of file crcirdata.hpp.

calibrationType_

CalibrationType calibrationType_

private

Definition at line 94 of file crcirdata.hpp.

calibrationStrategy_

CalibrationStrategy calibrationStrategy_

private

Definition at line 95 of file crcirdata.hpp.

startValue_

Real startValue_

private

Definition at line 96 of file crcirdata.hpp.

reversionValue_

Real reversionValue_

private

Definition at line 96 of file crcirdata.hpp.

longTermValue_

Real longTermValue_

private

Definition at line 96 of file crcirdata.hpp.

volatility_

Real volatility_

private

Definition at line 96 of file crcirdata.hpp.

relaxedFeller_

bool relaxedFeller_

private

Definition at line 97 of file crcirdata.hpp.

fellerFactor_

Real fellerFactor_

private

Definition at line 98 of file crcirdata.hpp.

tolerance_

Real tolerance_

private

Definition at line 99 of file crcirdata.hpp.

optionExpiries_

std::vector<std::string> optionExpiries_

private

Definition at line 100 of file crcirdata.hpp.

optionTerms_

std::vector<std::string> optionTerms_

private

Definition at line 101 of file crcirdata.hpp.

optionStrikes_

std::vector<std::string> optionStrikes_

private

Definition at line 102 of file crcirdata.hpp.