Container class for all Curve Configurations. More...

#include <ored/configuration/curveconfigurations.hpp>

Inheritance diagram for CurveConfigurations:

Collaboration diagram for CurveConfigurations:

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

Setters and Getters
const ReportConfig &	reportConfigEqVols () const

const ReportConfig &	reportConfigFxVols () const

const ReportConfig &	reportConfigCommVols () const

const ReportConfig &	reportConfigIrCapFloorVols () const

const ReportConfig &	reportConfigIrSwaptionVols () const

bool	hasYieldCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< YieldCurveConfig >	yieldCurveConfig (const string &curveID) const

bool	hasFxVolCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< FXVolatilityCurveConfig >	fxVolCurveConfig (const string &curveID) const

bool	hasSwaptionVolCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< SwaptionVolatilityCurveConfig >	swaptionVolCurveConfig (const string &curveID) const

bool	hasYieldVolCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< YieldVolatilityCurveConfig >	yieldVolCurveConfig (const string &curveID) const

bool	hasCapFloorVolCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< CapFloorVolatilityCurveConfig >	capFloorVolCurveConfig (const string &curveID) const

bool	hasDefaultCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< DefaultCurveConfig >	defaultCurveConfig (const string &curveID) const

bool	hasCdsVolCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< CDSVolatilityCurveConfig >	cdsVolCurveConfig (const string &curveID) const

bool	hasBaseCorrelationCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< BaseCorrelationCurveConfig >	baseCorrelationCurveConfig (const string &curveID) const

bool	hasInflationCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< InflationCurveConfig >	inflationCurveConfig (const string &curveID) const

bool	hasInflationCapFloorVolCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< InflationCapFloorVolatilityCurveConfig >	inflationCapFloorVolCurveConfig (const string &curveID) const

bool	hasEquityCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< EquityCurveConfig >	equityCurveConfig (const string &curveID) const

bool	hasEquityVolCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< EquityVolatilityCurveConfig >	equityVolCurveConfig (const string &curveID) const

bool	hasSecurityConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< SecurityConfig >	securityConfig (const string &curveID) const

bool	hasFxSpotConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< FXSpotConfig >	fxSpotConfig (const string &curveID) const

bool	hasCommodityCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< CommodityCurveConfig >	commodityCurveConfig (const std::string &curveID) const

bool	hasCommodityVolatilityConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< CommodityVolatilityConfig >	commodityVolatilityConfig (const std::string &curveID) const

bool	hasCorrelationCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< CorrelationCurveConfig >	correlationCurveConfig (const std::string &curveID) const

QuantLib::ext::shared_ptr< CurveConfigurations >	minimalCurveConfig (const QuantLib::ext::shared_ptr< TodaysMarketParameters > todaysMarketParams, const std::set< std::string > &configurations={""}) const

std::set< string >	quotes (const QuantLib::ext::shared_ptr< TodaysMarketParameters > todaysMarketParams, const std::set< std::string > &configurations={""}) const

std::set< string >	quotes () const

std::set< string >	conventions (const QuantLib::ext::shared_ptr< TodaysMarketParameters > todaysMarketParams, const std::set< std::string > &configurations={""}) const

std::set< string >	conventions () const

std::set< string >	yieldCurveConfigIds ()

std::map< CurveSpec::CurveType, std::set< string > >	requiredCurveIds (const CurveSpec::CurveType &type, const std::string &curveId) const

void	add (const CurveSpec::CurveType &type, const string &curveId, const QuantLib::ext::shared_ptr< CurveConfig > &config)

bool	has (const CurveSpec::CurveType &type, const string &curveId) const

const QuantLib::ext::shared_ptr< CurveConfig > &	get (const CurveSpec::CurveType &type, const string &curveId) const

void	parseAll ()

void	addAdditionalCurveConfigs (const CurveConfigurations &c)

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
ReportConfig	reportConfigEqVols_

ReportConfig	reportConfigFxVols_

ReportConfig	reportConfigCommVols_

ReportConfig	reportConfigIrCapFloorVols_

ReportConfig	reportConfigIrSwaptionVols_

std::map< CurveSpec::CurveType, std::map< std::string, QuantLib::ext::shared_ptr< CurveConfig > > >	configs_

std::map< CurveSpec::CurveType, std::map< std::string, std::string > >	unparsed_

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

void	parseNode (const CurveSpec::CurveType &type, const string &curveId) const

void	getNode (XMLNode node, const char parentName, const char *childName)

void	addNodes (XMLDocument &doc, XMLNode parent, const char nodeName) const

Detailed Description

Container class for all Curve Configurations.

Definition at line 59 of file curveconfigurations.hpp.

Constructor & Destructor Documentation

◆ CurveConfigurations()

CurveConfigurations ( )

Default constructor.

Definition at line 62 of file curveconfigurations.hpp.

62{}

Member Function Documentation

◆ reportConfigEqVols()

const ReportConfig & reportConfigEqVols ( ) const

Definition at line 66 of file curveconfigurations.hpp.

66{ return reportConfigEqVols_; }

ore::data::CurveConfigurations::reportConfigEqVols_

ReportConfig reportConfigEqVols_

Definition: curveconfigurations.hpp:164

◆ reportConfigFxVols()

const ReportConfig & reportConfigFxVols ( ) const

Definition at line 67 of file curveconfigurations.hpp.

67{ return reportConfigFxVols_; }

ore::data::CurveConfigurations::reportConfigFxVols_

ReportConfig reportConfigFxVols_

Definition: curveconfigurations.hpp:165

◆ reportConfigCommVols()

const ReportConfig & reportConfigCommVols ( ) const

Definition at line 68 of file curveconfigurations.hpp.

68{ return reportConfigCommVols_; }

ore::data::CurveConfigurations::reportConfigCommVols_

ReportConfig reportConfigCommVols_

Definition: curveconfigurations.hpp:166

◆ reportConfigIrCapFloorVols()

const ReportConfig & reportConfigIrCapFloorVols ( ) const

Definition at line 69 of file curveconfigurations.hpp.

69{ return reportConfigIrCapFloorVols_; }

ore::data::CurveConfigurations::reportConfigIrCapFloorVols_

ReportConfig reportConfigIrCapFloorVols_

Definition: curveconfigurations.hpp:167

◆ reportConfigIrSwaptionVols()

const ReportConfig & reportConfigIrSwaptionVols ( ) const

Definition at line 70 of file curveconfigurations.hpp.

70{ return reportConfigIrSwaptionVols_; }

ore::data::CurveConfigurations::reportConfigIrSwaptionVols_

ReportConfig reportConfigIrSwaptionVols_

Definition: curveconfigurations.hpp:168

◆ hasYieldCurveConfig()

bool hasYieldCurveConfig ( const std::string & curveID ) const

Definition at line 363 of file curveconfigurations.cpp.

363{ return has(CurveSpec::CurveType::Yield, curveID); }

ore::data::CurveConfigurations::has

bool has(const CurveSpec::CurveType &type, const string &curveId) const

Definition: curveconfigurations.cpp:153

ore::data::CurveSpec::CurveType::Yield

@ Yield

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◆ yieldCurveConfig()

QuantLib::ext::shared_ptr< YieldCurveConfig > yieldCurveConfig ( const string & curveID ) const

Definition at line 364 of file curveconfigurations.cpp.

                                                                                                         {
    QuantLib::ext::shared_ptr<CurveConfig> cc = get(CurveSpec::CurveType::Yield, curveID);
    return QuantLib::ext::dynamic_pointer_cast<YieldCurveConfig>(cc);
}

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◆ hasFxVolCurveConfig()

bool hasFxVolCurveConfig ( const std::string & curveID ) const

Definition at line 369 of file curveconfigurations.cpp.

                                                                         { 
    return has(CurveSpec::CurveType::FXVolatility, curveID); 
}

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◆ fxVolCurveConfig()

QuantLib::ext::shared_ptr< FXVolatilityCurveConfig > fxVolCurveConfig ( const string & curveID ) const

Definition at line 373 of file curveconfigurations.cpp.

                                                                                                                {
    auto cc = get(CurveSpec::CurveType::FXVolatility, curveID);
    return QuantLib::ext::dynamic_pointer_cast<FXVolatilityCurveConfig>(cc);
}

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◆ hasSwaptionVolCurveConfig()

bool hasSwaptionVolCurveConfig ( const std::string & curveID ) const

Definition at line 378 of file curveconfigurations.cpp.

                                                                               {
    return has(CurveSpec::CurveType::SwaptionVolatility, curveID);
}

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◆ swaptionVolCurveConfig()

QuantLib::ext::shared_ptr< SwaptionVolatilityCurveConfig > swaptionVolCurveConfig ( const string & curveID ) const

Definition at line 383 of file curveconfigurations.cpp.

                                                                       {
    auto cc = get(CurveSpec::CurveType::SwaptionVolatility, curveID);
    return QuantLib::ext::dynamic_pointer_cast<SwaptionVolatilityCurveConfig>(cc);
}

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◆ hasYieldVolCurveConfig()

bool hasYieldVolCurveConfig ( const std::string & curveID ) const

Definition at line 388 of file curveconfigurations.cpp.

                                                                            {
    return has(CurveSpec::CurveType::YieldVolatility, curveID);
}

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◆ yieldVolCurveConfig()

QuantLib::ext::shared_ptr< YieldVolatilityCurveConfig > yieldVolCurveConfig ( const string & curveID ) const

Definition at line 393 of file curveconfigurations.cpp.

                                                                    {
    auto cc = get(CurveSpec::CurveType::YieldVolatility, curveID);
    return QuantLib::ext::dynamic_pointer_cast<YieldVolatilityCurveConfig>(cc);
}

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◆ hasCapFloorVolCurveConfig()

bool hasCapFloorVolCurveConfig ( const std::string & curveID ) const

Definition at line 398 of file curveconfigurations.cpp.

                                                                               {
    return has(CurveSpec::CurveType::CapFloorVolatility, curveID);
}

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◆ capFloorVolCurveConfig()

QuantLib::ext::shared_ptr< CapFloorVolatilityCurveConfig > capFloorVolCurveConfig ( const string & curveID ) const

Definition at line 403 of file curveconfigurations.cpp.

                                                                       {
    auto cc = get(CurveSpec::CurveType::CapFloorVolatility, curveID);
    return QuantLib::ext::dynamic_pointer_cast<CapFloorVolatilityCurveConfig>(cc);
}

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◆ hasDefaultCurveConfig()

bool hasDefaultCurveConfig ( const std::string & curveID ) const

Definition at line 408 of file curveconfigurations.cpp.

                                                                           {
    return has(CurveSpec::CurveType::Default, curveID);
}

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◆ defaultCurveConfig()

QuantLib::ext::shared_ptr< DefaultCurveConfig > defaultCurveConfig ( const string & curveID ) const

Definition at line 412 of file curveconfigurations.cpp.

                                                                                                             {
    auto cc = get(CurveSpec::CurveType::Default, curveID);
    return QuantLib::ext::dynamic_pointer_cast<DefaultCurveConfig>(cc);
}

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◆ hasCdsVolCurveConfig()

bool hasCdsVolCurveConfig ( const std::string & curveID ) const

Definition at line 417 of file curveconfigurations.cpp.

                                                                          {
    return has(CurveSpec::CurveType::CDSVolatility, curveID);
}

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◆ cdsVolCurveConfig()

QuantLib::ext::shared_ptr< CDSVolatilityCurveConfig > cdsVolCurveConfig ( const string & curveID ) const

Definition at line 421 of file curveconfigurations.cpp.

                                                                                                                  {
    auto cc = get(CurveSpec::CurveType::CDSVolatility, curveID);
    return QuantLib::ext::dynamic_pointer_cast<CDSVolatilityCurveConfig>(cc);
}

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◆ hasBaseCorrelationCurveConfig()

bool hasBaseCorrelationCurveConfig ( const std::string & curveID ) const

Definition at line 426 of file curveconfigurations.cpp.

                                                                                   {
    return has(CurveSpec::CurveType::BaseCorrelation, curveID);
}

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◆ baseCorrelationCurveConfig()

QuantLib::ext::shared_ptr< BaseCorrelationCurveConfig > baseCorrelationCurveConfig ( const string & curveID ) const

Definition at line 431 of file curveconfigurations.cpp.

                                                                           {
    auto cc = get(CurveSpec::CurveType::BaseCorrelation, curveID);
    return QuantLib::ext::dynamic_pointer_cast<BaseCorrelationCurveConfig>(cc);
}

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◆ hasInflationCurveConfig()

bool hasInflationCurveConfig ( const std::string & curveID ) const

Definition at line 436 of file curveconfigurations.cpp.

                                                                             {
    return has(CurveSpec::CurveType::Inflation, curveID);
}

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◆ inflationCurveConfig()

QuantLib::ext::shared_ptr< InflationCurveConfig > inflationCurveConfig ( const string & curveID ) const

Definition at line 440 of file curveconfigurations.cpp.

                                                                                                                 {
    auto cc = get(CurveSpec::CurveType::Inflation, curveID);
    return QuantLib::ext::dynamic_pointer_cast<InflationCurveConfig>(cc);
}

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◆ hasInflationCapFloorVolCurveConfig()

bool hasInflationCapFloorVolCurveConfig ( const std::string & curveID ) const

Definition at line 445 of file curveconfigurations.cpp.

                                                                                        {
    return has(CurveSpec::CurveType::InflationCapFloorVolatility, curveID);
}

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◆ inflationCapFloorVolCurveConfig()

QuantLib::ext::shared_ptr< InflationCapFloorVolatilityCurveConfig > inflationCapFloorVolCurveConfig ( const string & curveID ) const

Definition at line 450 of file curveconfigurations.cpp.

                                                                                {
    auto cc = get(CurveSpec::CurveType::InflationCapFloorVolatility, curveID);
    return QuantLib::ext::dynamic_pointer_cast<InflationCapFloorVolatilityCurveConfig>(cc);
}

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◆ hasEquityCurveConfig()

bool hasEquityCurveConfig ( const std::string & curveID ) const

Definition at line 455 of file curveconfigurations.cpp.

                                                                          {
    return has(CurveSpec::CurveType::Equity, curveID);
}

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◆ equityCurveConfig()

QuantLib::ext::shared_ptr< EquityCurveConfig > equityCurveConfig ( const string & curveID ) const

Definition at line 459 of file curveconfigurations.cpp.

                                                                                                           {
    auto cc = get(CurveSpec::CurveType::Equity, curveID);
    return QuantLib::ext::dynamic_pointer_cast<EquityCurveConfig>(cc);
}

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◆ hasEquityVolCurveConfig()

bool hasEquityVolCurveConfig ( const std::string & curveID ) const

Definition at line 464 of file curveconfigurations.cpp.

                                                                             {
    return has(CurveSpec::CurveType::EquityVolatility, curveID);
}

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◆ equityVolCurveConfig()

QuantLib::ext::shared_ptr< EquityVolatilityCurveConfig > equityVolCurveConfig ( const string & curveID ) const

Definition at line 469 of file curveconfigurations.cpp.

                                                                     {
    auto cc = get(CurveSpec::CurveType::EquityVolatility, curveID);
    return QuantLib::ext::dynamic_pointer_cast<EquityVolatilityCurveConfig>(cc);
}

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◆ hasSecurityConfig()

bool hasSecurityConfig ( const std::string & curveID ) const

Definition at line 474 of file curveconfigurations.cpp.

                                                                       {
    return has(CurveSpec::CurveType::Security, curveID);
}

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◆ securityConfig()

QuantLib::ext::shared_ptr< SecurityConfig > securityConfig ( const string & curveID ) const

Definition at line 478 of file curveconfigurations.cpp.

                                                                                                     {
    auto cc = get(CurveSpec::CurveType::Security, curveID);
    return QuantLib::ext::dynamic_pointer_cast<SecurityConfig>(cc);
}

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◆ hasFxSpotConfig()

bool hasFxSpotConfig ( const std::string & curveID ) const

Definition at line 483 of file curveconfigurations.cpp.

                                                                     {
    return has(CurveSpec::CurveType::FX, curveID);
}

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◆ fxSpotConfig()

QuantLib::ext::shared_ptr< FXSpotConfig > fxSpotConfig ( const string & curveID ) const

Definition at line 487 of file curveconfigurations.cpp.

                                                                                                 {
    auto cc = get(CurveSpec::CurveType::FX, curveID);
    return QuantLib::ext::dynamic_pointer_cast<FXSpotConfig>(cc);
}

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◆ hasCommodityCurveConfig()

bool hasCommodityCurveConfig ( const std::string & curveID ) const

Definition at line 492 of file curveconfigurations.cpp.

                                                                             {
    return has(CurveSpec::CurveType::Commodity, curveID);
}

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◆ commodityCurveConfig()

QuantLib::ext::shared_ptr< CommodityCurveConfig > commodityCurveConfig ( const std::string & curveID ) const

Definition at line 496 of file curveconfigurations.cpp.

                                                                                                                 {
    auto cc = get(CurveSpec::CurveType::Commodity, curveID);
    return QuantLib::ext::dynamic_pointer_cast<CommodityCurveConfig>(cc);
}

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◆ hasCommodityVolatilityConfig()

bool hasCommodityVolatilityConfig ( const std::string & curveID ) const

Definition at line 501 of file curveconfigurations.cpp.

                                                                                  {
    return has(CurveSpec::CurveType::CommodityVolatility, curveID);
}

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◆ commodityVolatilityConfig()

QuantLib::ext::shared_ptr< CommodityVolatilityConfig > commodityVolatilityConfig ( const std::string & curveID ) const

Definition at line 506 of file curveconfigurations.cpp.

                                                                          {
    auto cc = get(CurveSpec::CurveType::CommodityVolatility, curveID);
    return QuantLib::ext::dynamic_pointer_cast<CommodityVolatilityConfig>(cc);
}

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◆ hasCorrelationCurveConfig()

bool hasCorrelationCurveConfig ( const std::string & curveID ) const

Definition at line 511 of file curveconfigurations.cpp.

                                                                               {
    return has(CurveSpec::CurveType::Correlation, curveID);
}

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◆ correlationCurveConfig()

QuantLib::ext::shared_ptr< CorrelationCurveConfig > correlationCurveConfig ( const std::string & curveID ) const

Definition at line 516 of file curveconfigurations.cpp.

                                                                       {
    auto cc = get(CurveSpec::CurveType::Correlation, curveID);
    return QuantLib::ext::dynamic_pointer_cast<CorrelationCurveConfig>(cc);
}

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◆ minimalCurveConfig()

QuantLib::ext::shared_ptr< CurveConfigurations > minimalCurveConfig	(	const QuantLib::ext::shared_ptr< TodaysMarketParameters >	todaysMarketParams,
		const std::set< std::string > &	configurations = `{""}`
	)		const

Definition at line 193 of file curveconfigurations.cpp.

                                                                                 {
 
    QuantLib::ext::shared_ptr<CurveConfigurations> minimum = QuantLib::ext::make_shared<CurveConfigurations>();
    // If tmparams is not null, organise its specs in to a map [CurveType, set of CurveConfigID]
    map<CurveSpec::CurveType, set<string>> curveConfigIds;
 
    for (const auto& config : configurations) {
        for (const auto& strSpec : todaysMarketParams->curveSpecs(config)) {
            auto spec = parseCurveSpec(strSpec);
            if (curveConfigIds.count(spec->baseType()))
                curveConfigIds[spec->baseType()].insert(spec->curveConfigID());
            else
                curveConfigIds[spec->baseType()] = {spec->curveConfigID()};
        }
    }
 
    for (const auto& it : curveConfigIds) {
        for (auto& c : it.second) {
            try {
                auto cc = get(it.first, c);
                minimum->add(it.first, c, get(it.first, c));
            } catch (...) {
            }
        }
    }
    return minimum;
}

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◆ quotes() [1/2]

std::set< string > quotes	(	const QuantLib::ext::shared_ptr< TodaysMarketParameters >	todaysMarketParams,
		const std::set< std::string > &	configurations = `{""}`
	)		const

Return the set of quotes that are required by the CurveConfig elements in CurveConfigurations.

The set of quotes required by only those CurveConfig elements appearing in todaysMarketParams for the given configuration(s) is returned.

Definition at line 222 of file curveconfigurations.cpp.

                                                                                      {
 
    std::set<string> quotes = minimalCurveConfig(todaysMarketParams, configurations)->quotes();
 
    // FX spot is special in that we generally do not enter a curve configuration for it. Above, we ran over the
    // curve configurations asking each for its quotes. We may end up missing FX spot quotes that are specified in a
    // TodaysMarketParameters but do not have a CurveConfig. If we have a TodaysMarketParameters instance we can add
    // them here directly using it.
 
    for (const auto& config : configurations) {
        for (const auto& strSpec : todaysMarketParams->curveSpecs(config)) {
            auto spec = parseCurveSpec(strSpec);
            if (spec->baseType() == CurveSpec::CurveType::FX) {
                QuantLib::ext::shared_ptr<FXSpotSpec> fxss = QuantLib::ext::dynamic_pointer_cast<FXSpotSpec>(spec);
                QL_REQUIRE(fxss, "Expected an FXSpotSpec but did not get one");
                string strQuote = "FX/RATE/" + fxss->unitCcy() + "/" + fxss->ccy();
                quotes.insert(strQuote);
            }
        }
    }
 
    return quotes;
}

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◆ quotes() [2/2]

std::set< string > quotes ( ) const

Definition at line 247 of file curveconfigurations.cpp.

                                                 {
    set<string> quotes;
 
    // only add quotes for parsed configs
    for (const auto& ct : configs_) {
        for (const auto& c : ct.second) {
            quotes.insert(c.second->quotes().begin(), c.second->quotes().end());
        }
    }
    return quotes;
}

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◆ conventions() [1/2]

std::set< string > conventions	(	const QuantLib::ext::shared_ptr< TodaysMarketParameters >	todaysMarketParams,
		const std::set< std::string > &	configurations = `{""}`
	)		const

Definition at line 259 of file curveconfigurations.cpp.

                                                                                           {
    set<string> conventions = minimalCurveConfig(todaysMarketParams, configurations)->conventions();
 
    // Checking for any swapIndices
    if (todaysMarketParams->hasMarketObject(MarketObject::SwapIndexCurve)) {
        for (const auto& m : todaysMarketParams->mapping(MarketObject::SwapIndexCurve, Market::defaultConfiguration)) {
            conventions.insert(m.first);
        }
    }
 
    return conventions;
}

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◆ conventions() [2/2]

std::set< string > conventions ( ) const

Definition at line 273 of file curveconfigurations.cpp.

                                                      {
    set<string> conventions;
    for (const auto& cc : configs_) {
        if (cc.first == CurveSpec::CurveType::Yield) {
            for (const auto& c : cc.second) {
                auto ycc = QuantLib::ext::dynamic_pointer_cast<YieldCurveConfig>(c.second);
                if (ycc) {
                    for (auto& s : ycc->curveSegments())
                        if (!s->conventionsID().empty())
                            conventions.insert(s->conventionsID());
                }
            }
        }
 
        if (cc.first == CurveSpec::CurveType::Default) {
            for (const auto& c : cc.second) {
                auto dcc = QuantLib::ext::dynamic_pointer_cast<DefaultCurveConfig>(c.second);
                if (dcc) {
                    for (auto& s : dcc->configs()) {
                        if (s.second.conventionID() != "")
                            conventions.insert(s.second.conventionID());
                    }
                }
            }
        }
 
        if (cc.first == CurveSpec::CurveType::Inflation) {
            for (const auto& c : cc.second) {
                auto icc = QuantLib::ext::dynamic_pointer_cast<InflationCurveConfig>(c.second);
                if (icc) {
                    if (icc->conventions() != "")
                        conventions.insert(icc->conventions());
                }
            }
        }
 
        if (cc.first == CurveSpec::CurveType::Correlation) {
            for (const auto& c : cc.second) {
                auto ccc = QuantLib::ext::dynamic_pointer_cast<CorrelationCurveConfig>(c.second);
                if (ccc) {
                    if (ccc->conventions() != "")
                        conventions.insert(ccc->conventions());
                }
            }
        }
 
        if (cc.first == CurveSpec::CurveType::FXVolatility) {
            for (const auto& c : cc.second) {
                auto fcc = QuantLib::ext::dynamic_pointer_cast<FXVolatilityCurveConfig>(c.second);
                if (fcc) {
                    if (fcc->conventionsID() != "")
                        conventions.insert(fcc->conventionsID());
                }
            }
        }
    }
    return conventions;
}

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◆ yieldCurveConfigIds()

set< string > yieldCurveConfigIds ( )

Return the Yields curves available

Definition at line 332 of file curveconfigurations.cpp.

                                                     {
    set<string> curves;
    const auto& it = configs_.find(CurveSpec::CurveType::Yield);
    if (it != configs_.end()) {
        for (const auto& c : it->second)
            curves.insert(c.first);
    }
 
    const auto& itu = unparsed_.find(CurveSpec::CurveType::Yield);
    if (itu != unparsed_.end()) {
        for (const auto& c : itu->second)
            curves.insert(c.first);
    }
 
    return curves;
}

◆ requiredCurveIds()

std::map< CurveSpec::CurveType, std::set< string > > requiredCurveIds	(	const CurveSpec::CurveType &	type,
		const std::string &	curveId
	)		const

Return all curve ids required by a given curve id of a given type

Definition at line 350 of file curveconfigurations.cpp.

                                                                                                    {
    QuantLib::ext::shared_ptr<CurveConfig> cc;
    std::map<CurveSpec::CurveType, std::set<string>> ids;
    if (!curveId.empty())
        try {
            cc = get(type, curveId);
        } catch (...) {
        }
    if (cc)
        ids = cc->requiredCurveIds();
    return ids;
}

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◆ add()

void add	(	const CurveSpec::CurveType &	type,
		const string &	curveId,
		const QuantLib::ext::shared_ptr< CurveConfig > &	config
	)

Definition at line 148 of file curveconfigurations.cpp.

                                                      {
    configs_[type][curveId] = config;
}

◆ has()

bool has	(	const CurveSpec::CurveType &	type,
		const string &	curveId
	)		const

Definition at line 153 of file curveconfigurations.cpp.

                                                                                         {
    return (configs_.count(type) > 0 && configs_.at(type).count(curveId) > 0) ||
           (unparsed_.count(type) > 0 && unparsed_.at(type).count(curveId) > 0);
}

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◆ get()

const QuantLib::ext::shared_ptr< CurveConfig > & get	(	const CurveSpec::CurveType &	type,
		const string &	curveId
	)		const

Definition at line 158 of file curveconfigurations.cpp.

                                 {
    const auto& it = configs_.find(type);
    if (it != configs_.end()) {
        const auto& itc = it->second.find(curveId);
        if (itc != it->second.end()) {
            return itc->second;
        }
    }
    parseNode(type, curveId);
    return configs_.at(type).at(curveId);
}

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◆ parseAll()

void parseAll ( )

Definition at line 171 of file curveconfigurations.cpp.

                                   {
    for (const auto& u : unparsed_) {
        for (auto it = u.second.cbegin(), nit = it; it != u.second.cend(); it = nit) {
            nit++;
            parseNode(u.first, it->first);
        }
    }
}

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◆ addAdditionalCurveConfigs()

void addAdditionalCurveConfigs ( const CurveConfigurations & c )

add curve configs from given container that are not present in this container

Definition at line 593 of file curveconfigurations.cpp.

                                                                                {
 
    // add parsed configs
 
    for (auto const& [curveType, configs] : c.configs_) {
        for (auto const& [name, config] : configs) {
            auto c1 = configs_.find(curveType);
            if (c1 == configs_.end()) {
                configs_[curveType] = {{name, config}};
                continue;
            }
            auto c2 = c1->second.find(name);
            if (c2 == c1->second.end()) {
                c1->second[name] = config;
                continue;
            }
        }
    }
 
    // add unparsed configs
 
    for (auto const& [curveType, configs] : c.unparsed_) {
        for (auto const& [name, config] : configs) {
            auto c1 = unparsed_.find(curveType);
            if (c1 == unparsed_.end()) {
                unparsed_[curveType] = {{name, config}};
                continue;
            }
            auto c2 = c1->second.find(name);
            if (c2 == c1->second.end()) {
                c1->second[name] = config;
                continue;
            }
        }
    }
}

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 522 of file curveconfigurations.cpp.

                                               {
    XMLUtils::checkNode(node, "CurveConfiguration");
 
    // Load global settings
    if (auto tmp = XMLUtils::getChildNode(node, "ReportConfiguration")) {
        if (auto tmp2 = XMLUtils::getChildNode(tmp, "EquityVolatilities")) {
            if (auto tmp3 = XMLUtils::getChildNode(tmp2, "Report"))
                reportConfigEqVols_.fromXML(tmp3);
        }
        if (auto tmp2 = XMLUtils::getChildNode(tmp, "FXVolatilities")) {
            if (auto tmp3 = XMLUtils::getChildNode(tmp2, "Report"))
                reportConfigFxVols_.fromXML(tmp3);
        }
        if (auto tmp2 = XMLUtils::getChildNode(tmp, "CommodityVolatilities")) {
            if (auto tmp3 = XMLUtils::getChildNode(tmp2, "Report"))
                reportConfigCommVols_.fromXML(tmp3);
        }
        if (auto tmp2 = XMLUtils::getChildNode(tmp, "IRCapFloorVolatilities")) {
            if (auto tmp3 = XMLUtils::getChildNode(tmp2, "Report"))
                reportConfigIrCapFloorVols_.fromXML(tmp3);
        }
        if (auto tmp2 = XMLUtils::getChildNode(tmp, "IRSwaptionVolatilities")) {
            if (auto tmp3 = XMLUtils::getChildNode(tmp2, "Report"))
                reportConfigIrSwaptionVols_.fromXML(tmp3);
        }
    }
 
    // Load YieldCurves, FXVols, etc, etc
    getNode(node, "YieldCurves", "YieldCurve");
    getNode(node, "FXVolatilities", "FXVolatility");
    getNode(node, "SwaptionVolatilities", "SwaptionVolatility");
    getNode(node, "YieldVolatilities", "YieldVolatility");
    getNode(node, "CapFloorVolatilities", "CapFloorVolatility");
    getNode(node, "DefaultCurves", "DefaultCurve");
    getNode(node, "CDSVolatilities", "CDSVolatility");
    getNode(node, "BaseCorrelations", "BaseCorrelation");
    getNode(node, "EquityCurves", "EquityCurve");
    getNode(node, "EquityVolatilities", "EquityVolatility");
    getNode(node, "InflationCurves", "InflationCurve");
    getNode(node, "InflationCapFloorVolatilities", "InflationCapFloorVolatility");
    getNode(node, "Securities", "Security");
    getNode(node, "FXSpots", "FXSpot");
    getNode(node, "CommodityCurves", "CommodityCurve");
    getNode(node, "CommodityVolatilities", "CommodityVolatility");
    getNode(node, "Correlations", "Correlation");
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 569 of file curveconfigurations.cpp.

                                                          {
    XMLNode* parent = doc.allocNode("CurveConfiguration");
 
    addNodes(doc, parent, "FXSpots");
    addNodes(doc, parent, "FXVolatilities");
    addNodes(doc, parent, "SwaptionVolatilities");
    addNodes(doc, parent, "YieldVolatilities");
    addNodes(doc, parent, "CapFloorVolatilities");
    addNodes(doc, parent, "CDSVolatilities");
    addNodes(doc, parent, "DefaultCurves");
    addNodes(doc, parent, "YieldCurves");
    addNodes(doc, parent, "InflationCurves");
    addNodes(doc, parent, "InflationCapFloorVolatilities");
    addNodes(doc, parent, "EquityCurves");
    addNodes(doc, parent, "EquityVolatilities");
    addNodes(doc, parent, "Securities");
    addNodes(doc, parent, "BaseCorrelations");
    addNodes(doc, parent, "CommodityCurves");
    addNodes(doc, parent, "CommodityVolatilities");
    addNodes(doc, parent, "Correlations");
 
    return parent;
}

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◆ parseNode()

void parseNode	(	const CurveSpec::CurveType &	type,
		const string &	curveId
	)		const

private

Definition at line 57 of file curveconfigurations.cpp.

                                                                                               {
    QuantLib::ext::shared_ptr<CurveConfig> config;
    const auto& it = unparsed_.find(type);
    if (it != unparsed_.end()) {
        const auto& itc = it->second.find(curveId);
        if (itc != it->second.end()) {
            switch (type) {
            case CurveSpec::CurveType::Yield: {
                config = QuantLib::ext::make_shared<YieldCurveConfig>();
                break;
            }
            case CurveSpec::CurveType::Default: {
                config = QuantLib::ext::make_shared<DefaultCurveConfig>();
                break;
            }
            case CurveSpec::CurveType::CDSVolatility: {
                config = QuantLib::ext::make_shared<CDSVolatilityCurveConfig>();
                break;
            }
            case CurveSpec::CurveType::BaseCorrelation: {
                config = QuantLib::ext::make_shared<BaseCorrelationCurveConfig>();
                break;
            }
            case CurveSpec::CurveType::FX: {
                config = QuantLib::ext::make_shared<FXSpotConfig>();
                break;
            }
            case CurveSpec::CurveType::FXVolatility: {
                config = QuantLib::ext::make_shared<FXVolatilityCurveConfig>();
                break;
            }
            case CurveSpec::CurveType::SwaptionVolatility: {
                config = QuantLib::ext::make_shared<SwaptionVolatilityCurveConfig>();
                break;
            }
            case CurveSpec::CurveType::YieldVolatility: {
                config = QuantLib::ext::make_shared<YieldVolatilityCurveConfig>();
                break;
            }
            case CurveSpec::CurveType::CapFloorVolatility: {
                config = QuantLib::ext::make_shared<CapFloorVolatilityCurveConfig>();
                break;
            }
            case CurveSpec::CurveType::Inflation: {
                config = QuantLib::ext::make_shared<InflationCurveConfig>();
                break;
            }
            case CurveSpec::CurveType::InflationCapFloorVolatility: {
                config = QuantLib::ext::make_shared<InflationCapFloorVolatilityCurveConfig>();
                break;
            }
            case CurveSpec::CurveType::Equity: {
                config = QuantLib::ext::make_shared<EquityCurveConfig>();
                break;
            }
            case CurveSpec::CurveType::EquityVolatility: {
                config = QuantLib::ext::make_shared<EquityVolatilityCurveConfig>();
                break;
            }
            case CurveSpec::CurveType::Security: {
                config = QuantLib::ext::make_shared<SecurityConfig>();
                break;
            }
            case CurveSpec::CurveType::Commodity: {
                config = QuantLib::ext::make_shared<CommodityCurveConfig>();
                break;
            }
            case CurveSpec::CurveType::CommodityVolatility: {
                config = QuantLib::ext::make_shared<CommodityVolatilityConfig>();
                break;
            }
            case CurveSpec::CurveType::Correlation: {
                config = QuantLib::ext::make_shared<CorrelationCurveConfig>();
                break;
            }
            }
            try {
                config->fromXMLString(itc->second);
                configs_[type][curveId] = config;
                unparsed_.at(type).erase(curveId);
            } catch (std::exception& ex) {
                string err = "Curve config under node '" + to_string(type) + " was requested, but could not be parsed.";
                StructuredCurveErrorMessage(curveId, err, ex.what()).log();
                QL_FAIL(err);
            }
        } else
            QL_FAIL("Could not find curveId " << curveId << " of type " << type << " in unparsed curve configurations");
    } else
        QL_FAIL("Could not find CurveType " << type << " in unparsed curve configurations");
}

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◆ getNode()

void getNode	(	XMLNode *	node,
		const char *	parentName,
		const char *	childName
	)

private

Definition at line 180 of file curveconfigurations.cpp.

                                                                                              {
    const auto& type = parseCurveConfigurationType(parentName);
    XMLNode* parentNode = XMLUtils::getChildNode(node, parentName);
    if (parentNode) {
        for (XMLNode* child = XMLUtils::getChildNode(parentNode, childName); child;
             child = XMLUtils::getNextSibling(child, childName)) {
            const auto& id = XMLUtils::getChildValue(child, "CurveId", true);
            unparsed_[type][id] = XMLUtils::toString(child);
        }
    }
}

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◆ addNodes()

void addNodes	(	XMLDocument &	doc,
		XMLNode *	parent,
		const char *	nodeName
	)		const

private

Definition at line 44 of file curveconfigurations.cpp.

                                                                                                {
    const auto& ct = parseCurveConfigurationType(nodeName);
    const auto& it = configs_.find(ct);
    if (it != configs_.end()) {
        XMLNode* node = doc.allocNode(nodeName);
        XMLUtils::appendNode(parent, node);
 
        for (const auto& c : it->second) {
            XMLUtils::appendNode(node, c.second->toXML(doc));
        }
    }
}

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Member Data Documentation

◆ reportConfigEqVols_

ReportConfig reportConfigEqVols_

private

Definition at line 164 of file curveconfigurations.hpp.

◆ reportConfigFxVols_

ReportConfig reportConfigFxVols_

private

Definition at line 165 of file curveconfigurations.hpp.

◆ reportConfigCommVols_

ReportConfig reportConfigCommVols_

private

Definition at line 166 of file curveconfigurations.hpp.

◆ reportConfigIrCapFloorVols_

ReportConfig reportConfigIrCapFloorVols_

private

Definition at line 167 of file curveconfigurations.hpp.

◆ reportConfigIrSwaptionVols_

ReportConfig reportConfigIrSwaptionVols_

private

Definition at line 168 of file curveconfigurations.hpp.

◆ configs_

std::map<CurveSpec::CurveType, std::map<std::string, QuantLib::ext::shared_ptr<CurveConfig> > > configs_

mutableprivate

Definition at line 170 of file curveconfigurations.hpp.

◆ unparsed_

std::map<CurveSpec::CurveType, std::map<std::string, std::string> > unparsed_

mutableprivate

Definition at line 171 of file curveconfigurations.hpp.

Public Member Functions

Serialisation

Detailed Description

Constructor & Destructor Documentation

◆ CurveConfigurations()

Member Function Documentation

◆ reportConfigEqVols()

◆ reportConfigFxVols()

◆ reportConfigCommVols()

◆ reportConfigIrCapFloorVols()

◆ reportConfigIrSwaptionVols()

◆ hasYieldCurveConfig()

◆ yieldCurveConfig()

◆ hasFxVolCurveConfig()

◆ fxVolCurveConfig()

◆ hasSwaptionVolCurveConfig()

◆ swaptionVolCurveConfig()

◆ hasYieldVolCurveConfig()

◆ yieldVolCurveConfig()

◆ hasCapFloorVolCurveConfig()

◆ capFloorVolCurveConfig()

◆ hasDefaultCurveConfig()

◆ defaultCurveConfig()

◆ hasCdsVolCurveConfig()

◆ cdsVolCurveConfig()

◆ hasBaseCorrelationCurveConfig()

◆ baseCorrelationCurveConfig()

◆ hasInflationCurveConfig()

◆ inflationCurveConfig()

◆ hasInflationCapFloorVolCurveConfig()

◆ inflationCapFloorVolCurveConfig()

◆ hasEquityCurveConfig()

◆ equityCurveConfig()

◆ hasEquityVolCurveConfig()

◆ equityVolCurveConfig()

◆ hasSecurityConfig()

◆ securityConfig()

◆ hasFxSpotConfig()

◆ fxSpotConfig()

◆ hasCommodityCurveConfig()

◆ commodityCurveConfig()

◆ hasCommodityVolatilityConfig()

◆ commodityVolatilityConfig()

◆ hasCorrelationCurveConfig()

◆ correlationCurveConfig()

◆ minimalCurveConfig()

◆ quotes() [1/2]

◆ quotes() [2/2]

◆ conventions() [1/2]

◆ conventions() [2/2]

◆ yieldCurveConfigIds()

◆ requiredCurveIds()

◆ add()

◆ has()

◆ get()

◆ parseAll()

◆ addAdditionalCurveConfigs()

◆ fromXML()

◆ toXML()

◆ parseNode()

◆ getNode()

◆ addNodes()

Member Data Documentation

◆ reportConfigEqVols_

◆ reportConfigFxVols_

◆ reportConfigCommVols_

◆ reportConfigIrCapFloorVols_

◆ reportConfigIrSwaptionVols_

◆ configs_

◆ unparsed_