Equity volatility structure configuration. More...

#include <ored/configuration/equityvolcurveconfig.hpp>

Inheritance diagram for EquityVolatilityCurveConfig:

Collaboration diagram for EquityVolatilityCurveConfig:

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

	EquityVolatilityCurveConfig (const string &curveID, const string &curveDescription, const string &currency, const std::vector< QuantLib::ext::shared_ptr< VolatilityConfig > > &volatilityConfig, const string &equityId=string(), const string &dayCounter="A365", const string &calendar="NullCalendar", const OneDimSolverConfig &solverConfig=OneDimSolverConfig(), const boost::optional< bool > &preferOutOfTheMoney=boost::none)
	Detailed constructor. More...

	EquityVolatilityCurveConfig (const string &curveID, const string &curveDescription, const string &currency, const QuantLib::ext::shared_ptr< VolatilityConfig > &volatilityConfig, const string &equityId=string(), const string &dayCounter="A365", const string &calendar="NullCalendar", const OneDimSolverConfig &solverConfig=OneDimSolverConfig(), const boost::optional< bool > &preferOutOfTheMoney=boost::none)

Serialisation
void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

Inspectors
const string &	equityId () const

const string &	ccy () const

const string &	dayCounter () const

const string &	calendar () const

const std::vector< QuantLib::ext::shared_ptr< VolatilityConfig > > &	volatilityConfig () const

const string	quoteStem (const std::string &volType) const

void	populateQuotes ()

bool	isProxySurface ()

OneDimSolverConfig	solverConfig () const

const boost::optional< bool > &	preferOutOfTheMoney () const

const ReportConfig &	reportConfig () const

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
string	ccy_

std::vector< QuantLib::ext::shared_ptr< VolatilityConfig > >	volatilityConfig_

string	equityId_

string	dayCounter_

string	calendar_

OneDimSolverConfig	solverConfig_

boost::optional< bool >	preferOutOfTheMoney_

ReportConfig	reportConfig_

string &	ccy ()

string &	dayCounter ()

void	populateRequiredCurveIds ()

static OneDimSolverConfig	defaultSolverConfig ()

Additional Inherited Members
Protected Attributes inherited from CurveConfig
string	curveID_

string	curveDescription_

vector< string >	quotes_

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

Detailed Description

Equity volatility structure configuration.

Definition at line 47 of file equityvolcurveconfig.hpp.

Constructor & Destructor Documentation

◆ EquityVolatilityCurveConfig() [1/3]

EquityVolatilityCurveConfig ( )

Default constructor.

Definition at line 52 of file equityvolcurveconfig.hpp.

52{}

◆ EquityVolatilityCurveConfig() [2/3]

EquityVolatilityCurveConfig	(	const string &	curveID,
		const string &	curveDescription,
		const string &	currency,
		const std::vector< QuantLib::ext::shared_ptr< VolatilityConfig > > &	volatilityConfig,
		const string &	equityId = `string()`,
		const string &	dayCounter = `"A365"`,
		const string &	calendar = `"NullCalendar"`,
		const OneDimSolverConfig &	solverConfig = `OneDimSolverConfig()`,
		const boost::optional< bool > &	preferOutOfTheMoney = `boost::none`
	)

Detailed constructor.

Definition at line 30 of file equityvolcurveconfig.cpp.

    : CurveConfig(curveID, curveDescription), ccy_(currency), volatilityConfig_(volatilityConfig),
      equityId_(equityId), dayCounter_(dayCounter), calendar_(calendar), solverConfig_(solverConfig),
      preferOutOfTheMoney_(preferOutOfTheMoney) {
    populateQuotes();
    populateRequiredCurveIds();
}

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◆ EquityVolatilityCurveConfig() [3/3]

EquityVolatilityCurveConfig	(	const string &	curveID,
		const string &	curveDescription,
		const string &	currency,
		const QuantLib::ext::shared_ptr< VolatilityConfig > &	volatilityConfig,
		const string &	equityId = `string()`,
		const string &	dayCounter = `"A365"`,
		const string &	calendar = `"NullCalendar"`,
		const OneDimSolverConfig &	solverConfig = `OneDimSolverConfig()`,
		const boost::optional< bool > &	preferOutOfTheMoney = `boost::none`
	)

Definition at line 42 of file equityvolcurveconfig.cpp.

    : EquityVolatilityCurveConfig(curveID, curveDescription, currency,
        std::vector<QuantLib::ext::shared_ptr<VolatilityConfig>>{volatilityConfig}, equityId, dayCounter, 
        calendar, solverConfig, preferOutOfTheMoney) {}

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Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 95 of file equityvolcurveconfig.cpp.

                                                       {
    XMLUtils::checkNode(node, "EquityVolatility");
 
    curveID_ = XMLUtils::getChildValue(node, "CurveId", true);
    curveDescription_ = XMLUtils::getChildValue(node, "CurveDescription", true);
    equityId_ = XMLUtils::getChildValue(node, "EquityId", false);
    ccy_ = XMLUtils::getChildValue(node, "Currency", true);
 
    calendar_ = XMLUtils::getChildValue(node, "Calendar", false);
    
    XMLNode* n;
    dayCounter_ = "A365";
    if ((n = XMLUtils::getChildNode(node, "DayCounter")))
        dayCounter_ = XMLUtils::getNodeValue(n);
 
    solverConfig_ = OneDimSolverConfig();
    if (XMLNode* n = XMLUtils::getChildNode(node, "OneDimSolverConfig")) {
        solverConfig_.fromXML(n);
    }
 
    preferOutOfTheMoney_ = boost::none;
    if (XMLNode* n = XMLUtils::getChildNode(node, "PreferOutOfTheMoney")) {
        preferOutOfTheMoney_ = parseBool(XMLUtils::getNodeValue(n));
    }
 
    // In order to remain backward compatible, we first check for a dimension node
    // If this is present we read the nodes as before but create volatilityConfigs from the inputs
    // If no dimension nodes then we expect VolatilityConfig nodes - this is the preferred configuration
    string dim = XMLUtils::getChildValue(node, "Dimension", false);
    if (dim == "ATM" || dim == "Smile") {
        vector<string> expiries = XMLUtils::getChildrenValuesAsStrings(node, "Expiries", true);
        string strikeExtrapolation = "Flat";
        string timeExtrapolation = "Flat";
        XMLNode* timeNode = XMLUtils::getChildNode(node, "TimeExtrapolation");
        if (timeNode) {
            timeExtrapolation = XMLUtils::getChildValue(node, "TimeExtrapolation", true);
        }
        XMLNode* strikeNode = XMLUtils::getChildNode(node, "StrikeExtrapolation");
        if (strikeNode) {
            strikeExtrapolation = XMLUtils::getChildValue(node, "StrikeExtrapolation", true);
        }
        vector<string> strikes = XMLUtils::getChildrenValuesAsStrings(node, "Strikes", false);
        if (dim == "ATM") {
            QL_REQUIRE(strikes.size() == 0,
                       "Dimension ATM, but multiple strikes provided for EquityVolatility " << curveID_);
            // if ATM create VolatilityCurveConfig which requires quotes to be provided
            vector<string> quotes(expiries.size());
            string stem = quoteStem("RATE_LNVOL");
            if (expiries.size() == 1 && expiries.front() == "*") {
                quotes[0] = (stem + "*");
            } else {
                Size i = 0;
                for (auto ex : expiries) {
                    quotes[i] = (stem + ex + "/ATMF");
                    i++;
                }
            }
            volatilityConfig_.push_back(
                QuantLib::ext::make_shared<VolatilityCurveConfig>(quotes, timeExtrapolation, timeExtrapolation));
        } else {
            // if Smile create VolatilityStrikeSurfaceConfig
            volatilityConfig_.push_back(QuantLib::ext::make_shared<VolatilityStrikeSurfaceConfig>(
                strikes, expiries, "Linear", "Linear", true, timeExtrapolation, strikeExtrapolation));
        }
 
    } else if (dim == "") {
        VolatilityConfigBuilder vcb;
        vcb.fromXML(node);
        volatilityConfig_ = vcb.volatilityConfig();
    } else {
        QL_FAIL("Only ATM and Smile dimensions, or Volatility Config supported for EquityVolatility " << curveID_);
    }
 
    if (auto tmp = XMLUtils::getChildNode(node, "Report")) {
        reportConfig_.fromXML(tmp);
    }
 
    populateQuotes();
    populateRequiredCurveIds();
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 176 of file equityvolcurveconfig.cpp.

                                                                  {
 
    XMLNode* node = doc.allocNode("EquityVolatility");
 
    XMLUtils::addChild(doc, node, "CurveId", curveID_);
    XMLUtils::addChild(doc, node, "CurveDescription", curveDescription_);
    XMLUtils::addChild(doc, node, "EquityId", equityId_);
    XMLUtils::addChild(doc, node, "Currency", ccy_);
    XMLUtils::addChild(doc, node, "DayCounter", dayCounter_);
 
    XMLNode* vnode = doc.allocNode("VolatilityConfig");
    for (auto vc : volatilityConfig_) {
        XMLNode* n = vc->toXML(doc);
        XMLUtils::appendNode(vnode, n);
    }
    XMLUtils::appendNode(node, vnode);
 
    if (calendar_ != "NullCalendar")
        XMLUtils::addChild(doc, node, "Calendar", calendar_);
 
    if (!solverConfig_.empty())
        XMLUtils::appendNode(node, solverConfig_.toXML(doc));
 
    if (preferOutOfTheMoney_)
        XMLUtils::addChild(doc, node, "PreferOutOfTheMoney", *preferOutOfTheMoney_);
 
    XMLUtils::appendNode(node, reportConfig_.toXML(doc));
 
    return node;
}

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◆ equityId()

const string & equityId ( ) const

Definition at line 76 of file equityvolcurveconfig.hpp.

76{ return equityId_.empty() ? curveID_ : equityId_; }

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◆ ccy() [1/2]

const string & ccy ( ) const

Definition at line 77 of file equityvolcurveconfig.hpp.

77{ return parseCurrencyWithMinors(ccy_).code(); }

ore::data::parseCurrencyWithMinors

Currency parseCurrencyWithMinors(const string &s)

Convert text to QuantLib::Currency.

Definition: parsers.cpp:310

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◆ dayCounter() [1/2]

const string & dayCounter ( ) const

Definition at line 78 of file equityvolcurveconfig.hpp.

78{ return dayCounter_; }

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◆ calendar()

const string & calendar ( ) const

Definition at line 79 of file equityvolcurveconfig.hpp.

79{ return calendar_; }

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◆ volatilityConfig()

const std::vector< QuantLib::ext::shared_ptr< VolatilityConfig > > & volatilityConfig ( ) const

Definition at line 80 of file equityvolcurveconfig.hpp.

80{ return volatilityConfig_; }

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◆ quoteStem()

const string quoteStem ( const std::string & volType ) const

Definition at line 51 of file equityvolcurveconfig.cpp.

                                                                               {
    return "EQUITY_OPTION/" + volType + "/" + equityId() + "/" + ccy_ + "/";
}

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◆ populateQuotes()

void populateQuotes ( )

Definition at line 55 of file equityvolcurveconfig.cpp.

                                                 {
    // add quotes from all the volatility configs
    for (auto vc : volatilityConfig_) {
        if (QuantLib::ext::dynamic_pointer_cast<QuoteBasedVolatilityConfig>(vc)) {
            // The quotes depend on the type of volatility structure that has been configured.
            if (auto c = QuantLib::ext::dynamic_pointer_cast<ConstantVolatilityConfig>(vc)) {
                quotes_.push_back(c->quote());
            } else if (auto c = QuantLib::ext::dynamic_pointer_cast<VolatilityCurveConfig>(vc)) {
                auto qs = c->quotes();
                quotes_.insert(quotes_.end(), qs.begin(), qs.end());
            } else if (auto c = QuantLib::ext::dynamic_pointer_cast<VolatilitySurfaceConfig>(vc)) {
                // Clear the quotes_ if necessary and populate with surface quotes
                string quoteStr;
                string volType = to_string<MarketDatum::QuoteType>(c->quoteType());
                for (const pair<string, string>& p : c->quotes()) {
                    if (p.first == "*" || p.second == "*") {
                        quoteStr = quoteStem(volType) + "*";
                    } else {
                        quoteStr = quoteStem(volType) + p.first + "/" + p.second;
                    }
                    quotes_.push_back(quoteStr);
                }
            }
        }
    }
}

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◆ isProxySurface()

bool isProxySurface ( )

Definition at line 207 of file equityvolcurveconfig.cpp.

                                                 {
    for (auto vc : volatilityConfig_) {
        if (auto p = QuantLib::ext::dynamic_pointer_cast<ProxyVolatilityConfig>(vc)) {
            return true;
        }
    }
    return false;
}

◆ solverConfig()

OneDimSolverConfig solverConfig ( ) const

Definition at line 216 of file equityvolcurveconfig.cpp.

                                                                   {
    return solverConfig_.empty() ? defaultSolverConfig() : solverConfig_;
}

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◆ preferOutOfTheMoney()

const boost::optional< bool > & preferOutOfTheMoney ( ) const

Definition at line 85 of file equityvolcurveconfig.hpp.

                                                           {
        return preferOutOfTheMoney_;
    }

◆ reportConfig()

const ReportConfig & reportConfig ( ) const

Definition at line 88 of file equityvolcurveconfig.hpp.

88{ return reportConfig_; }

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◆ ccy() [2/2]

string & ccy ( )

Definition at line 93 of file equityvolcurveconfig.hpp.

93{ return ccy_; }

◆ dayCounter() [2/2]

string & dayCounter ( )

Definition at line 94 of file equityvolcurveconfig.hpp.

94{ return dayCounter_; }

◆ populateRequiredCurveIds()

void populateRequiredCurveIds ( )

private

Definition at line 82 of file equityvolcurveconfig.cpp.

                                                           {
    for (auto vc : volatilityConfig_) {
        if (auto p = QuantLib::ext::dynamic_pointer_cast<ProxyVolatilityConfig>(vc)) {
            requiredCurveIds_[CurveSpec::CurveType::Equity].insert(p->proxyVolatilityCurve());
            requiredCurveIds_[CurveSpec::CurveType::EquityVolatility].insert(p->proxyVolatilityCurve());
            if (!p->fxVolatilityCurve().empty())
                requiredCurveIds_[CurveSpec::CurveType::FXVolatility].insert(p->fxVolatilityCurve());
            if (!p->correlationCurve().empty())
                requiredCurveIds_[CurveSpec::CurveType::Correlation].insert(p->correlationCurve());
        }
    }
}

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◆ defaultSolverConfig()

OneDimSolverConfig defaultSolverConfig ( )

staticprivate

Definition at line 220 of file equityvolcurveconfig.cpp.

                                                                    {
 
    // Backward compatible with code that existed before EquityVolatilityCurveConfig
    // accepted a solver configuration.
    static OneDimSolverConfig res(100, 0.2, 0.0001, 0.01, 0.0001);
 
    return res;
}

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Member Data Documentation

◆ ccy_

string ccy_

private

Definition at line 100 of file equityvolcurveconfig.hpp.

◆ volatilityConfig_

std::vector<QuantLib::ext::shared_ptr<VolatilityConfig> > volatilityConfig_

private

Definition at line 101 of file equityvolcurveconfig.hpp.

◆ equityId_

string equityId_

private

Definition at line 102 of file equityvolcurveconfig.hpp.

◆ dayCounter_

string dayCounter_

private

Definition at line 103 of file equityvolcurveconfig.hpp.

◆ calendar_

string calendar_

private

Definition at line 104 of file equityvolcurveconfig.hpp.

◆ solverConfig_

OneDimSolverConfig solverConfig_

private

Definition at line 105 of file equityvolcurveconfig.hpp.

◆ preferOutOfTheMoney_

boost::optional<bool> preferOutOfTheMoney_

private

Definition at line 106 of file equityvolcurveconfig.hpp.

◆ reportConfig_

ReportConfig reportConfig_

private

Definition at line 107 of file equityvolcurveconfig.hpp.

Public Member Functions

Setters

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EquityVolatilityCurveConfig() [1/3]

◆ EquityVolatilityCurveConfig() [2/3]

◆ EquityVolatilityCurveConfig() [3/3]

Member Function Documentation

◆ fromXML()

◆ toXML()

◆ equityId()

◆ ccy() [1/2]

◆ dayCounter() [1/2]

◆ calendar()

◆ volatilityConfig()

◆ quoteStem()

◆ populateQuotes()

◆ isProxySurface()

◆ solverConfig()

◆ preferOutOfTheMoney()

◆ reportConfig()

◆ ccy() [2/2]

◆ dayCounter() [2/2]

◆ populateRequiredCurveIds()

◆ defaultSolverConfig()

Member Data Documentation

◆ ccy_

◆ volatilityConfig_

◆ equityId_

◆ dayCounter_

◆ calendar_

◆ solverConfig_

◆ preferOutOfTheMoney_

◆ reportConfig_