CurveSpec Class Reference

Curve Specification. More...

#include <ored/marketdata/curvespec.hpp>

Inheritance diagram for CurveSpec:

Collaboration diagram for CurveSpec:

Public Types
enum class	CurveType {   FX , Yield , CapFloorVolatility , SwaptionVolatility ,   YieldVolatility , FXVolatility , Default , CDSVolatility ,   Inflation , InflationCapFloorVolatility , Equity , EquityVolatility ,   Security , BaseCorrelation , Commodity , CommodityVolatility ,   Correlation }
	Supported curve types. More...

Public Member Functions
	CurveSpec ()
	Default constructor. More...
	CurveSpec (const std::string &curveConfigID)
	Constructor that takes an underlying CurveConfig id. More...
virtual	~CurveSpec ()
	Default destructor. More...

Interface
std::string	curveConfigID_
	The id of the CurveConfig associated with the CurveSpec, if any. More...
virtual CurveType	baseType () const =0
virtual string	subName () const =0
string	name () const
	returns the unique curve name More...
const std::string &	curveConfigID () const
string	baseName () const

Detailed Description

Curve Specification.

Base class for curve descriptions

Definition at line 40 of file curvespec.hpp.

Member Enumeration Documentation

CurveType

enum class CurveType

strong

Supported curve types.

Enumerator
FX
Yield
CapFloorVolatility
SwaptionVolatility
YieldVolatility
FXVolatility
Default
CDSVolatility
Inflation
InflationCapFloorVolatility
Equity
EquityVolatility
Security
BaseCorrelation
Commodity
CommodityVolatility
Correlation

Definition at line 43 of file curvespec.hpp.

                         {
        FX,
        Yield,
        CapFloorVolatility,
        SwaptionVolatility,
        YieldVolatility,
        FXVolatility,
        Default,
        CDSVolatility,
        Inflation,
        InflationCapFloorVolatility,
        Equity,
        EquityVolatility,
        Security,
        BaseCorrelation,
        Commodity,
        CommodityVolatility,
        Correlation
    };

Constructor & Destructor Documentation

CurveSpec() [1/2]

CurveSpec

(

)

Default constructor.

Definition at line 64 of file curvespec.hpp.

{}

CurveSpec() [2/2]

CurveSpec

(

const std::string &

curveConfigID

)

Constructor that takes an underlying CurveConfig id.

Definition at line 67 of file curvespec.hpp.

: curveConfigID_(curveConfigID) {}

~CurveSpec()

virtual ~CurveSpec ( )

virtual

Default destructor.

Definition at line 70 of file curvespec.hpp.

{}

Member Function Documentation

baseType()

virtual CurveType baseType ( ) const

pure virtual

Implemented in YieldCurveSpec, DefaultCurveSpec, CDSVolatilityCurveSpec, BaseCorrelationCurveSpec, SwaptionVolatilityCurveSpec, YieldVolatilityCurveSpec, CapFloorVolatilityCurveSpec, FXSpotSpec, FXVolatilityCurveSpec, InflationCurveSpec, InflationCapFloorVolatilityCurveSpec, EquityCurveSpec, EquityVolatilityCurveSpec, SecuritySpec, CommodityCurveSpec, CommodityVolatilityCurveSpec, and CorrelationCurveSpec.

Here is the caller graph for this function:

subName()

virtual string subName ( ) const

pure virtual

Implemented in YieldCurveSpec, DefaultCurveSpec, CDSVolatilityCurveSpec, BaseCorrelationCurveSpec, SwaptionVolatilityCurveSpec, YieldVolatilityCurveSpec, CapFloorVolatilityCurveSpec, FXSpotSpec, FXVolatilityCurveSpec, InflationCurveSpec, InflationCapFloorVolatilityCurveSpec, EquityCurveSpec, EquityVolatilityCurveSpec, SecuritySpec, CommodityCurveSpec, CommodityVolatilityCurveSpec, and CorrelationCurveSpec.

Here is the caller graph for this function:

name()

string name

(

)

const

returns the unique curve name

Definition at line 78 of file curvespec.hpp.

{ return baseName() + "/" + subName(); }

Here is the call graph for this function:

Here is the caller graph for this function:

curveConfigID()

const std::string & curveConfigID

(

)

const

Returns the id of the CurveConfig associated with the CurveSpec. If there is no CurveConfig associated with the CurveSpec, it returns the default empty string.

Definition at line 83 of file curvespec.hpp.

{ return curveConfigID_; }

Here is the caller graph for this function:

baseName()

string baseName

(

)

const

Definition at line 25 of file curvespec.cpp.

{ return ore::data::to_string(baseType()); }

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

curveConfigID_

std::string curveConfigID_

private

The id of the CurveConfig associated with the CurveSpec, if any.

Definition at line 89 of file curvespec.hpp.