Equity curve configuration. More...

#include <ored/configuration/equitycurveconfig.hpp>

Inheritance diagram for EquityCurveConfig:

Collaboration diagram for EquityCurveConfig:

Public Types
enum class	Type { DividendYield , ForwardPrice , OptionPremium , NoDividends , ForwardDividendPrice }
	Supported equity curve types. More...

Public Member Functions
Constructors/Destructors
	EquityCurveConfig (const string &curveID, const string &curveDescription, const string &forecastingCurve, const string &currency, const string &calendar, const Type &type, const string &equitySpotQuote, const vector< string > &quotes, const string &dayCountID="", const string &dividendInterpVariable="Zero", const string &dividendInterpMethod="Linear", const bool dividendExtrapolation=false, const bool extrapolation=false, const QuantLib::Exercise::Type &exerciseStyle=QuantLib::Exercise::Type::European)
	Detailed constructor. More...

	EquityCurveConfig ()
	Default constructor. More...

Serialisation
void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

Inspectors
const string &	forecastingCurve () const

const string &	currency () const

const string &	calendar () const

const Type &	type () const

const string &	equitySpotQuoteID () const

const string &	dayCountID () const

const string &	dividendInterpolationVariable () const

const string &	dividendInterpolationMethod () const

bool	dividendExtrapolation () const

bool	extrapolation () const

const QuantLib::Exercise::Type	exerciseStyle () const

const vector< string > &	fwdQuotes ()

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...

Setters
vector< string >	fwdQuotes_

string	forecastingCurve_

string	currency_

string	calendar_

Type	type_

string	equitySpotQuoteID_

string	dayCountID_

string	divInterpVariable_

string	divInterpMethod_

bool	dividendExtrapolation_

bool	extrapolation_

QuantLib::Exercise::Type	exerciseStyle_

string &	forecastingCurve ()

Type &	type ()

string &	equitySpotQuoteID ()

string &	dayCountID ()

string &	dividendInterpolationVariable ()

string &	dividendInterpolationMethod ()

bool &	dividendExtrapolation ()

bool &	extrapolation ()

QuantLib::Exercise::Type &	exerciseStyle ()

void	setCurrency (const string &currency)

void	setCalendar (const string &calendar)

void	populateRequiredCurveIds ()

Additional Inherited Members
Protected Attributes inherited from CurveConfig
string	curveID_

string	curveDescription_

vector< string >	quotes_

map< CurveSpec::CurveType, set< string > >	requiredCurveIds_

Detailed Description

Equity curve configuration.

Definition at line 48 of file equitycurveconfig.hpp.

Member Enumeration Documentation

◆ Type

enum class Type

strong

Supported equity curve types.

Enumerator
DividendYield
ForwardPrice
OptionPremium
NoDividends
ForwardDividendPrice

Definition at line 51 of file equitycurveconfig.hpp.

51{ DividendYield, ForwardPrice, OptionPremium, NoDividends, ForwardDividendPrice};

ore::data::EquityCurveConfig::Type::ForwardDividendPrice

@ ForwardDividendPrice

ore::data::EquityCurveConfig::Type::OptionPremium

@ OptionPremium

ore::data::EquityCurveConfig::Type::NoDividends

@ NoDividends

ore::data::EquityCurveConfig::Type::DividendYield

@ DividendYield

ore::data::EquityCurveConfig::Type::ForwardPrice

@ ForwardPrice

Constructor & Destructor Documentation

◆ EquityCurveConfig() [1/2]

EquityCurveConfig	(	const string &	curveID,
		const string &	curveDescription,
		const string &	forecastingCurve,
		const string &	currency,
		const string &	calendar,
		const Type &	type,
		const string &	equitySpotQuote,
		const vector< string > &	quotes,
		const string &	dayCountID = `""`,
		const string &	dividendInterpVariable = `"Zero"`,
		const string &	dividendInterpMethod = `"Linear"`,
		const bool	dividendExtrapolation = `false`,
		const bool	extrapolation = `false`,
		const QuantLib::Exercise::Type &	exerciseStyle = `QuantLib::Exercise::Type::European`
	)

Detailed constructor.

Definition at line 29 of file equitycurveconfig.cpp.

    : CurveConfig(curveID, curveDescription), fwdQuotes_(fwdQuotes), forecastingCurve_(forecastingCurve),
      currency_(currency), calendar_(calendar), type_(type), equitySpotQuoteID_(equitySpotQuote), dayCountID_(dayCountID), 
      divInterpVariable_(dividendInterpVariable), divInterpMethod_(dividendInterpMethod), dividendExtrapolation_(dividendExtrapolation), 
      extrapolation_(extrapolation), exerciseStyle_(exerciseStyle) {
    quotes_ = fwdQuotes;
    quotes_.insert(quotes_.begin(), equitySpotQuote);
    populateRequiredCurveIds();
}

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◆ EquityCurveConfig() [2/2]

EquityCurveConfig ( )

Default constructor.

Definition at line 62 of file equitycurveconfig.hpp.

62{}

Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 50 of file equitycurveconfig.cpp.

                                             {
    XMLUtils::checkNode(node, "EquityCurve");
 
    curveID_ = XMLUtils::getChildValue(node, "CurveId", true);
    curveDescription_ = XMLUtils::getChildValue(node, "CurveDescription", true);
    forecastingCurve_ = XMLUtils::getChildValue(node, "ForecastingCurve", true);
    currency_ = XMLUtils::getChildValue(node, "Currency", true);
    calendar_ = XMLUtils::getChildValue(node, "Calendar", false);
    type_ = parseEquityCurveConfigType(XMLUtils::getChildValue(node, "Type", true));
    if (type_ == EquityCurveConfig::Type::OptionPremium)
        exerciseStyle_ = parseExerciseType(XMLUtils::getChildValue(node, "ExerciseStyle", true));
    equitySpotQuoteID_ = XMLUtils::getChildValue(node, "SpotQuote", true);
    dayCountID_ = XMLUtils::getChildValue(node, "DayCounter", false);
    fwdQuotes_ = XMLUtils::getChildrenValues(node, "Quotes", "Quote");
    quotes_ = fwdQuotes_;
    if (equitySpotQuoteID_ != "")
        quotes_.insert(quotes_.begin(), equitySpotQuoteID_);
 
    XMLNode* divInterpNode = XMLUtils::getChildNode(node, "DividendInterpolation");
    if (divInterpNode) {
        divInterpVariable_ = XMLUtils::getChildValue(divInterpNode, "InterpolationVariable", true);
        divInterpMethod_ = XMLUtils::getChildValue(divInterpNode, "InterpolationMethod", true);
    } else {
        divInterpVariable_ = "Zero";
        divInterpMethod_ = divInterpVariable_ == "Zero" ? "Linear" : "LogLinear";
    }
    dividendExtrapolation_ = XMLUtils::getChildValueAsBool(node, "DividendExtrapolation", false, false);
    extrapolation_ = XMLUtils::getChildValueAsBool(node, "Extrapolation", false, false);
 
    if (type_ == Type::NoDividends) {
        QL_REQUIRE(fwdQuotes_.size() == 0,
                   "Invalid EquityCurveConfig, no Quotes should be present when type=NoDividends");
        QL_REQUIRE(divInterpNode == nullptr,
                   "Invalid EquityCurveConfig, no DividendInterpolation should be present when type=NoDividends");
    } else {
        QL_REQUIRE(fwdQuotes_.size() > 0, "Invalid EquityCurveConfig, Quotes should be present when type!=NoDividends");
    }
    populateRequiredCurveIds();
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 90 of file equitycurveconfig.cpp.

                                                        {
    XMLNode* node = doc.allocNode("EquityCurve");
    XMLUtils::addChild(doc, node, "CurveId", curveID_);
    XMLUtils::addChild(doc, node, "CurveDescription", curveDescription_);
    XMLUtils::addChild(doc, node, "Currency", currency_);
    XMLUtils::addChild(doc, node, "Calendar", calendar_);
    XMLUtils::addChild(doc, node, "ForecastingCurve", forecastingCurve_);
    XMLUtils::addChild(doc, node, "Type", to_string(type_));
    if (type_ == EquityCurveConfig::Type::OptionPremium)
        XMLUtils::addChild(doc, node, "ExerciseStyle", to_string(exerciseStyle_));
    XMLUtils::addChild(doc, node, "SpotQuote", equitySpotQuoteID_);
    XMLUtils::addChildren(doc, node, "Quotes", "Quote", fwdQuotes_);
    XMLUtils::addChild(doc, node, "DayCounter", dayCountID_);
 
    if (type_ != Type::NoDividends) {
        XMLNode* divInterpNode = XMLUtils::addChild(doc, node, "DividendInterpolation");
        XMLUtils::addChild(doc, divInterpNode, "InterpolationVariable", divInterpVariable_);
        XMLUtils::addChild(doc, divInterpNode, "InterpolationMethod", divInterpMethod_);
    }
    XMLUtils::addChild(doc, node, "DividendExtrapolation", dividendExtrapolation_);
    XMLUtils::addChild(doc, node, "Extrapolation", extrapolation_);
 
    return node;
}

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◆ forecastingCurve() [1/2]

const string & forecastingCurve ( ) const

Definition at line 73 of file equitycurveconfig.hpp.

73{ return forecastingCurve_; }

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◆ currency()

const string & currency ( ) const

Definition at line 74 of file equitycurveconfig.hpp.

74{ return parseCurrencyWithMinors(currency_).code(); }

ore::data::parseCurrencyWithMinors

Currency parseCurrencyWithMinors(const string &s)

Convert text to QuantLib::Currency.

Definition: parsers.cpp:310

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◆ calendar()

const string & calendar ( ) const

Definition at line 75 of file equitycurveconfig.hpp.

75{ return calendar_; }

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◆ type() [1/2]

const Type & type ( ) const

Definition at line 76 of file equitycurveconfig.hpp.

76{ return type_; }

◆ equitySpotQuoteID() [1/2]

const string & equitySpotQuoteID ( ) const

Definition at line 77 of file equitycurveconfig.hpp.

77{ return equitySpotQuoteID_; }

◆ dayCountID() [1/2]

const string & dayCountID ( ) const

Definition at line 78 of file equitycurveconfig.hpp.

78{ return dayCountID_; }

◆ dividendInterpolationVariable() [1/2]

const string & dividendInterpolationVariable ( ) const

Definition at line 79 of file equitycurveconfig.hpp.

79{ return divInterpVariable_; }

◆ dividendInterpolationMethod() [1/2]

const string & dividendInterpolationMethod ( ) const

Definition at line 80 of file equitycurveconfig.hpp.

80{ return divInterpMethod_; }

◆ dividendExtrapolation() [1/2]

bool dividendExtrapolation ( ) const

Definition at line 81 of file equitycurveconfig.hpp.

81{ return dividendExtrapolation_; }

◆ extrapolation() [1/2]

bool extrapolation ( ) const

Definition at line 82 of file equitycurveconfig.hpp.

82{ return extrapolation_; }

◆ exerciseStyle() [1/2]

const QuantLib::Exercise::Type exerciseStyle ( ) const

Definition at line 83 of file equitycurveconfig.hpp.

83{ return exerciseStyle_; }

◆ fwdQuotes()

const vector< string > & fwdQuotes ( )

Definition at line 84 of file equitycurveconfig.hpp.

84{ return fwdQuotes_; }

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◆ forecastingCurve() [2/2]

string & forecastingCurve ( )

Definition at line 89 of file equitycurveconfig.hpp.

89{ return forecastingCurve_; }

◆ type() [2/2]

Type & type ( )

Definition at line 90 of file equitycurveconfig.hpp.

90{ return type_; }

◆ equitySpotQuoteID() [2/2]

string & equitySpotQuoteID ( )

Definition at line 91 of file equitycurveconfig.hpp.

91{ return equitySpotQuoteID_; }

◆ dayCountID() [2/2]

string & dayCountID ( )

Definition at line 92 of file equitycurveconfig.hpp.

92{ return dayCountID_; }

◆ dividendInterpolationVariable() [2/2]

string & dividendInterpolationVariable ( )

Definition at line 93 of file equitycurveconfig.hpp.

93{ return divInterpVariable_; }

◆ dividendInterpolationMethod() [2/2]

string & dividendInterpolationMethod ( )

Definition at line 94 of file equitycurveconfig.hpp.

94{ return divInterpMethod_; }

◆ dividendExtrapolation() [2/2]

bool & dividendExtrapolation ( )

Definition at line 95 of file equitycurveconfig.hpp.

95{ return dividendExtrapolation_; }

◆ extrapolation() [2/2]

bool & extrapolation ( )

Definition at line 96 of file equitycurveconfig.hpp.

96{ return extrapolation_; }

◆ exerciseStyle() [2/2]

QuantLib::Exercise::Type & exerciseStyle ( )

Definition at line 97 of file equitycurveconfig.hpp.

97{ return exerciseStyle_; }

◆ setCurrency()

void setCurrency ( const string & currency )

Definition at line 99 of file equitycurveconfig.hpp.

99{ currency_ = currency; }

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◆ setCalendar()

void setCalendar ( const string & calendar )

Definition at line 100 of file equitycurveconfig.hpp.

100{ calendar_ = calendar; }

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◆ populateRequiredCurveIds()

void populateRequiredCurveIds ( )

private

Definition at line 45 of file equitycurveconfig.cpp.

                                                 {
    if (!forecastingCurve().empty())
        requiredCurveIds_[CurveSpec::CurveType::Yield].insert(forecastingCurve());
}

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Member Data Documentation

◆ fwdQuotes_

vector<string> fwdQuotes_

private

Definition at line 106 of file equitycurveconfig.hpp.

◆ forecastingCurve_

string forecastingCurve_

private

Definition at line 107 of file equitycurveconfig.hpp.

◆ currency_

string currency_

private

Definition at line 108 of file equitycurveconfig.hpp.

◆ calendar_

string calendar_

private

Definition at line 109 of file equitycurveconfig.hpp.

◆ type_

Type type_

private

Definition at line 110 of file equitycurveconfig.hpp.

◆ equitySpotQuoteID_

string equitySpotQuoteID_

private

Definition at line 111 of file equitycurveconfig.hpp.

◆ dayCountID_

string dayCountID_

private

Definition at line 112 of file equitycurveconfig.hpp.

◆ divInterpVariable_

string divInterpVariable_

private

Definition at line 113 of file equitycurveconfig.hpp.

◆ divInterpMethod_

string divInterpMethod_

private

Definition at line 114 of file equitycurveconfig.hpp.

◆ dividendExtrapolation_

bool dividendExtrapolation_

private

Definition at line 115 of file equitycurveconfig.hpp.

◆ extrapolation_

bool extrapolation_

private

Definition at line 116 of file equitycurveconfig.hpp.

◆ exerciseStyle_

QuantLib::Exercise::Type exerciseStyle_

private

Definition at line 117 of file equitycurveconfig.hpp.

Public Types

Public Member Functions

Setters

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ Type

Constructor & Destructor Documentation

◆ EquityCurveConfig() [1/2]

◆ EquityCurveConfig() [2/2]

Member Function Documentation

◆ fromXML()

◆ toXML()

◆ forecastingCurve() [1/2]

◆ currency()

◆ calendar()

◆ type() [1/2]

◆ equitySpotQuoteID() [1/2]

◆ dayCountID() [1/2]

◆ dividendInterpolationVariable() [1/2]

◆ dividendInterpolationMethod() [1/2]

◆ dividendExtrapolation() [1/2]

◆ extrapolation() [1/2]

◆ exerciseStyle() [1/2]

◆ fwdQuotes()

◆ forecastingCurve() [2/2]

◆ type() [2/2]

◆ equitySpotQuoteID() [2/2]

◆ dayCountID() [2/2]

◆ dividendInterpolationVariable() [2/2]

◆ dividendInterpolationMethod() [2/2]

◆ dividendExtrapolation() [2/2]

◆ extrapolation() [2/2]

◆ exerciseStyle() [2/2]

◆ setCurrency()

◆ setCalendar()

◆ populateRequiredCurveIds()

Member Data Documentation

◆ fwdQuotes_

◆ forecastingCurve_

◆ currency_

◆ calendar_

◆ type_

◆ equitySpotQuoteID_

◆ dayCountID_

◆ divInterpVariable_

◆ divInterpMethod_

◆ dividendExtrapolation_

◆ extrapolation_

◆ exerciseStyle_