DefaultCurveConfig Class Reference

Default curve configuration. More...

#include <ored/configuration/defaultcurveconfig.hpp>

Inheritance diagram for DefaultCurveConfig:

Collaboration diagram for DefaultCurveConfig:

Classes
class	Config

Public Member Functions
	DefaultCurveConfig (const string &curveId, const string &curveDescription, const string &currency, const std::map< int, Config > &configs)
	the curve builder will try to build the configs by ascending key in the map, first success wins More...
	DefaultCurveConfig (const string &curveID, const string &curveDescription, const string &currency, const Config &config)
	single config ctor More...
	DefaultCurveConfig ()
	default ctor More...
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::map< int, Config >	configs_
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
const string &	currency () const
const std::map< int, Config > &	configs () const
void	populateQuotes ()
void	populateRequiredCurveIds ()
void	populateRequiredCurveIds (const std::string &discountCurveID, const std::string &benchmarkCurveID, const std::string &sourceCurveID, const std::vector< std::string > &multiSectionSourceCurveIds)

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

Detailed Description

Default curve configuration.

Definition at line 49 of file defaultcurveconfig.hpp.

Constructor & Destructor Documentation

DefaultCurveConfig() [1/3]

DefaultCurveConfig	(	const string &	curveId,
		const string &	curveDescription,
		const string &	currency,
		const std::map< int, Config > &	configs
	)

the curve builder will try to build the configs by ascending key in the map, first success wins

Definition at line 33 of file defaultcurveconfig.cpp.

    : CurveConfig(curveId, curveDescription), currency_(currency), configs_(configs) {
    populateQuotes();
    populateRequiredCurveIds();
    // ensure priority in config is consistent to the key used in the map
    for (auto& c : configs_)
        c.second.priority() = c.first;
}

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DefaultCurveConfig() [2/3]

DefaultCurveConfig	(	const string &	curveID,
		const string &	curveDescription,
		const string &	currency,
		const Config &	config
	)

single config ctor

Definition at line 173 of file defaultcurveconfig.hpp.

        : DefaultCurveConfig(curveID, curveDescription, currency, {{0, config}}) {}

DefaultCurveConfig() [3/3]

DefaultCurveConfig

(

)

default ctor

Definition at line 177 of file defaultcurveconfig.hpp.

{}

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 78 of file defaultcurveconfig.cpp.

                                              {
    XMLUtils::checkNode(node, "DefaultCurve");
    curveID_ = XMLUtils::getChildValue(node, "CurveId", true);
    curveDescription_ = XMLUtils::getChildValue(node, "CurveDescription", true);
    currency_ = XMLUtils::getChildValue(node, "Currency", true);
    if (auto configs = XMLUtils::getChildNode(node, "Configurations")) {
        for (auto const& config : XMLUtils::getChildrenNodes(configs, "Configuration")) {
            Config tmp;
            tmp.fromXML(config);
            QL_REQUIRE(configs_.find(tmp.priority()) == configs_.end(),
                       "DefaultCurveConfig::fromXML(): several configurations with same priority '" << tmp.priority()
                                                                                                    << "' found.");
            configs_[tmp.priority()] = tmp;
        }
    } else {
        Config tmp;
        tmp.fromXML(node);
        configs_[0] = tmp;
    }
    populateQuotes();
    populateRequiredCurveIds();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 101 of file defaultcurveconfig.cpp.

                                                         {
    XMLNode* node = doc.allocNode("DefaultCurve");
 
    XMLUtils::addChild(doc, node, "CurveId", curveID_);
    XMLUtils::addChild(doc, node, "CurveDescription", curveDescription_);
    XMLUtils::addChild(doc, node, "Currency", currency_);
    auto configs = XMLUtils::addChild(doc, node, "Configurations");
 
    for (auto& tmp : configs_) {
        XMLUtils::appendNode(configs, tmp.second.toXML(doc));
    }
 
    return node;
}

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currency()

const string & currency

(

)

const

Definition at line 185 of file defaultcurveconfig.hpp.

{ return currency_; }

configs()

const std::map< int, Config > & configs

(

)

const

Definition at line 186 of file defaultcurveconfig.hpp.

{ return configs_; }

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populateQuotes()

void populateQuotes ( )

private

Definition at line 65 of file defaultcurveconfig.cpp.

                                        {
    quotes_.clear();
    for (auto const& config : configs_) {
        for (const auto& kv : config.second.cdsQuotes()) {
            quotes_.push_back(kv.first);
        }
        // recovery rate might be a hardcoded number, in which case we must not add this to the set of quotes
        Real dummy;
        if (!config.second.recoveryRateQuote().empty() && !tryParseReal(config.second.recoveryRateQuote(), dummy))
            quotes_.insert(quotes_.begin(), config.second.recoveryRateQuote());
    }
}

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populateRequiredCurveIds() [1/2]

void populateRequiredCurveIds ( )

private

Definition at line 58 of file defaultcurveconfig.cpp.

                                                  {
    for (auto const& config : configs_) {
        populateRequiredCurveIds(config.second.discountCurveID(), config.second.benchmarkCurveID(),
                                 config.second.sourceCurveID(), config.second.multiSectionSourceCurveIds());
    }
}

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populateRequiredCurveIds() [2/2]

void populateRequiredCurveIds ( const std::string &  discountCurveID, const std::string &  benchmarkCurveID, const std::string &  sourceCurveID, const std::vector< std::string > &  multiSectionSourceCurveIds  )

private

Definition at line 43 of file defaultcurveconfig.cpp.

                                                                                                          {
    if (!discountCurveID.empty())
        requiredCurveIds_[CurveSpec::CurveType::Yield].insert(parseCurveSpec(discountCurveID)->curveConfigID());
    if (!benchmarkCurveID.empty())
        requiredCurveIds_[CurveSpec::CurveType::Yield].insert(parseCurveSpec(benchmarkCurveID)->curveConfigID());
    if (!sourceCurveID.empty())
        requiredCurveIds_[CurveSpec::CurveType::Yield].insert(parseCurveSpec(sourceCurveID)->curveConfigID());
    for (auto const& s : multiSectionSourceCurveIds) {
        if (!s.empty())
            requiredCurveIds_[CurveSpec::CurveType::Default].insert(parseCurveSpec(s)->curveConfigID());
    }
}

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Member Data Documentation

currency_

std::string currency_

private

Definition at line 194 of file defaultcurveconfig.hpp.

configs_

std::map<int, Config> configs_

private

Definition at line 195 of file defaultcurveconfig.hpp.