Discount ratio yield curve segment. More...

#include <ored/configuration/yieldcurveconfig.hpp>

Inheritance diagram for DiscountRatioYieldCurveSegment:

Collaboration diagram for DiscountRatioYieldCurveSegment:

Public Member Functions
Constructors/Destructors
	DiscountRatioYieldCurveSegment ()
	Default constructor. More...

	DiscountRatioYieldCurveSegment (const std::string &typeId, const std::string &baseCurveId, const std::string &baseCurveCurrency, const std::string &numeratorCurveId, const std::string &numeratorCurveCurrency, const std::string &denominatorCurveId, const std::string &denominatorCurveCurrency)
	Detailed constructor. More...

Serialisation
virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

Inspectors
const string &	baseCurveId () const

const string &	baseCurveCurrency () const

const string &	numeratorCurveId () const

const string &	numeratorCurveCurrency () const

const string &	denominatorCurveId () const

const string &	denominatorCurveCurrency () const

Public Member Functions inherited from YieldCurveSegment
virtual	~YieldCurveSegment ()
	Default destructor. More...

Type	type () const

const string &	typeID () const

const string &	conventionsID () const

const QuantLib::Pillar::Choice	pillarChoice () const

Size	priority () const

Size	minDistance () const

const vector< pair< string, bool > > &	quotes () const

virtual void	accept (AcyclicVisitor &)

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...

Visitability
std::string	baseCurveId_

std::string	baseCurveCurrency_

std::string	numeratorCurveId_

std::string	numeratorCurveCurrency_

std::string	denominatorCurveId_

std::string	denominatorCurveCurrency_

void	accept (QuantLib::AcyclicVisitor &v) override

Additional Inherited Members
Public Types inherited from YieldCurveSegment
enum class	Type { Zero , ZeroSpread , Discount , Deposit , FRA , Future , OIS , Swap , AverageOIS , TenorBasis , TenorBasisTwo , BMABasis , FXForward , CrossCcyBasis , CrossCcyFixFloat , DiscountRatio , FittedBond , WeightedAverage , YieldPlusDefault , IborFallback , BondYieldShifted }
	supported segment types More...

Protected Member Functions inherited from YieldCurveSegment
	YieldCurveSegment ()
	Default constructor. More...

	YieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > &quotes)
	Detailed constructor - assumes all quotes are mandatory. More...

pair< string, bool >	quote (const string &name, bool opt=false)
	Utility to build a quote, optional flag defaults to false. More...

Protected Attributes inherited from YieldCurveSegment
vector< pair< string, bool > >	quotes_
	Quote and optional flag pair. More...

Detailed Description

Discount ratio yield curve segment.

Used to configure a QuantExt::DiscountRatioModifiedCurve.

Definition at line 473 of file yieldcurveconfig.hpp.

Constructor & Destructor Documentation

◆ DiscountRatioYieldCurveSegment() [1/2]

DiscountRatioYieldCurveSegment ( )

Default constructor.

Definition at line 478 of file yieldcurveconfig.hpp.

478{}

◆ DiscountRatioYieldCurveSegment() [2/2]

DiscountRatioYieldCurveSegment	(	const std::string &	typeId,
		const std::string &	baseCurveId,
		const std::string &	baseCurveCurrency,
		const std::string &	numeratorCurveId,
		const std::string &	numeratorCurveCurrency,
		const std::string &	denominatorCurveId,
		const std::string &	denominatorCurveCurrency
	)

Detailed constructor.

Definition at line 671 of file yieldcurveconfig.cpp.

    : YieldCurveSegment(typeId, "", vector<string>()), baseCurveId_(baseCurveId), baseCurveCurrency_(baseCurveCurrency),
      numeratorCurveId_(numeratorCurveId), numeratorCurveCurrency_(numeratorCurveCurrency),
      denominatorCurveId_(denominatorCurveId), denominatorCurveCurrency_(denominatorCurveCurrency) {}

Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 678 of file yieldcurveconfig.cpp.

                                                          {
    XMLUtils::checkNode(node, "DiscountRatio");
    YieldCurveSegment::fromXML(node);
 
    XMLNode* aNode = XMLUtils::getChildNode(node, "BaseCurve");
    QL_REQUIRE(aNode, "Discount ratio segment needs a BaseCurve node");
    baseCurveId_ = XMLUtils::getNodeValue(aNode);
    baseCurveCurrency_ = XMLUtils::getAttribute(aNode, "currency");
 
    aNode = XMLUtils::getChildNode(node, "NumeratorCurve");
    QL_REQUIRE(aNode, "Discount ratio segment needs a NumeratorCurve node");
    numeratorCurveId_ = XMLUtils::getNodeValue(aNode);
    numeratorCurveCurrency_ = XMLUtils::getAttribute(aNode, "currency");
 
    aNode = XMLUtils::getChildNode(node, "DenominatorCurve");
    QL_REQUIRE(aNode, "Discount ratio segment needs a DenominatorCurve node");
    denominatorCurveId_ = XMLUtils::getNodeValue(aNode);
    denominatorCurveCurrency_ = XMLUtils::getAttribute(aNode, "currency");
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 698 of file yieldcurveconfig.cpp.

                                                                     {
    XMLNode* node = YieldCurveSegment::toXML(doc);
    XMLUtils::setNodeName(doc, node, "DiscountRatio");
 
    XMLNode* baseCurveNode = doc.allocNode("BaseCurve", baseCurveId_);
    XMLUtils::appendNode(node, baseCurveNode);
    XMLUtils::addAttribute(doc, baseCurveNode, "currency", baseCurveCurrency_);
 
    XMLNode* numCurveNode = doc.allocNode("NumeratorCurve", numeratorCurveId_);
    XMLUtils::appendNode(node, numCurveNode);
    XMLUtils::addAttribute(doc, numCurveNode, "currency", numeratorCurveCurrency_);
 
    XMLNode* denCurveNode = doc.allocNode("DenominatorCurve", denominatorCurveId_);
    XMLUtils::appendNode(node, denCurveNode);
    XMLUtils::addAttribute(doc, denCurveNode, "currency", denominatorCurveCurrency_);
 
    return node;
}

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◆ baseCurveId()

const string & baseCurveId ( ) const

Definition at line 494 of file yieldcurveconfig.hpp.

494{ return baseCurveId_; }

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◆ baseCurveCurrency()

const string & baseCurveCurrency ( ) const

Definition at line 495 of file yieldcurveconfig.hpp.

495{ return baseCurveCurrency_; }

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◆ numeratorCurveId()

const string & numeratorCurveId ( ) const

Definition at line 496 of file yieldcurveconfig.hpp.

496{ return numeratorCurveId_; }

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◆ numeratorCurveCurrency()

const string & numeratorCurveCurrency ( ) const

Definition at line 497 of file yieldcurveconfig.hpp.

497{ return numeratorCurveCurrency_; }

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◆ denominatorCurveId()

const string & denominatorCurveId ( ) const

Definition at line 498 of file yieldcurveconfig.hpp.

498{ return denominatorCurveId_; }

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◆ denominatorCurveCurrency()

const string & denominatorCurveCurrency ( ) const

Definition at line 499 of file yieldcurveconfig.hpp.

499{ return denominatorCurveCurrency_; }

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◆ accept()

void accept ( QuantLib::AcyclicVisitor & v )

override

Definition at line 717 of file yieldcurveconfig.cpp.

                                                             {
    if (Visitor<DiscountRatioYieldCurveSegment>* v1 = dynamic_cast<Visitor<DiscountRatioYieldCurveSegment>*>(&v))
        v1->visit(*this);
    else
        YieldCurveSegment::accept(v);
}

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Member Data Documentation

◆ baseCurveId_

std::string baseCurveId_

private

Definition at line 508 of file yieldcurveconfig.hpp.

◆ baseCurveCurrency_

std::string baseCurveCurrency_

private

Definition at line 509 of file yieldcurveconfig.hpp.

◆ numeratorCurveId_

std::string numeratorCurveId_

private

Definition at line 510 of file yieldcurveconfig.hpp.

◆ numeratorCurveCurrency_

std::string numeratorCurveCurrency_

private

Definition at line 511 of file yieldcurveconfig.hpp.

◆ denominatorCurveId_

std::string denominatorCurveId_

private

Definition at line 512 of file yieldcurveconfig.hpp.

◆ denominatorCurveCurrency_

std::string denominatorCurveCurrency_

private

Definition at line 513 of file yieldcurveconfig.hpp.

Public Member Functions

Visitability

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ DiscountRatioYieldCurveSegment() [1/2]

◆ DiscountRatioYieldCurveSegment() [2/2]

Member Function Documentation

◆ fromXML()

◆ toXML()

◆ baseCurveId()

◆ baseCurveCurrency()

◆ numeratorCurveId()

◆ numeratorCurveCurrency()

◆ denominatorCurveId()

◆ denominatorCurveCurrency()

◆ accept()

Member Data Documentation

◆ baseCurveId_

◆ baseCurveCurrency_

◆ numeratorCurveId_

◆ numeratorCurveCurrency_

◆ denominatorCurveId_

◆ denominatorCurveCurrency_