FX volatility structure configuration. More...

#include <ored/configuration/fxvolcurveconfig.hpp>

Inheritance diagram for FXVolatilityCurveConfig:

Collaboration diagram for FXVolatilityCurveConfig:

Public Types
enum class	Dimension { ATM , SmileVannaVolga , SmileDelta , SmileBFRR , SmileAbsolute , ATMTriangulated }
	supported volatility structure types More...

enum class	SmileInterpolation { VannaVolga1 , VannaVolga2 , Linear , Cubic }

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

	FXVolatilityCurveConfig (const string &curveID, const string &curveDescription, const Dimension &dimension, const vector< string > &expiries, const vector< string > &deltas=vector< string >(), const string &fxSpotID="", const string &fxForeignCurveID="", const string &fxDomesticCurveID="", const DayCounter &dayCounter=QuantLib::Actual365Fixed(), const Calendar &calendar=QuantLib::TARGET(), const SmileInterpolation &interp=SmileInterpolation::VannaVolga2, const string &conventionsID="", const std::vector< Size > &smileDelta={25}, const string &smileExtrapolation="Flat")
	Detailed constructor. More...

	FXVolatilityCurveConfig (const string &curveID, const string &curveDescription, const Dimension &dimension, const string &baseVolatility1, const string &baseVolatility2, const string &fxIndexTag="GENERIC")

Serialisation
void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

Inspectors
const Dimension &	dimension () const

const vector< string > &	expiries () const

const vector< string > &	deltas () const

const DayCounter &	dayCounter () const

const Calendar &	calendar () const

const string &	fxSpotID () const

const string &	fxForeignYieldCurveID () const

const string &	fxDomesticYieldCurveID () const

const SmileInterpolation &	smileInterpolation () const

const std::string &	smileExtrapolation () const

const string &	conventionsID () const

const std::vector< Size > &	smileDelta () const

const vector< string > &	quotes () override
	Return all the market quotes required for this config. More...

const string &	baseVolatility1 () const

const string &	baseVolatility2 () const

const string &	fxIndexTag () 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 ()

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
Dimension	dimension_

vector< string >	expiries_

vector< string >	deltas_

DayCounter	dayCounter_

Calendar	calendar_

string	fxSpotID_

string	fxForeignYieldCurveID_

string	fxDomesticYieldCurveID_

string	conventionsID_

std::vector< Size >	smileDelta_

std::set< string >	requiredYieldCurveIDs_

SmileInterpolation	smileInterpolation_

string	smileExtrapolation_

string	baseVolatility1_

string	baseVolatility2_

string	fxIndexTag_

ReportConfig	reportConfig_

Dimension &	dimension ()

SmileInterpolation &	smileInterpolation ()

string &	smileExtrapolation ()

vector< string > &	deltas ()

DayCounter &	dayCounter ()

Calendar &	calendar ()

string &	fxSpotID ()

string &	fxForeignYieldCurveID ()

string &	fxDomesticYieldCurveID ()

string	conventionsID ()

std::vector< Size > &	smileDelta ()

const std::set< string > &	requiredYieldCurveIDs () const

string &	baseVolatility1 ()

string &	baseVolatility2 ()

string &	fxIndexTag ()

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

FX volatility structure configuration.

Definition at line 48 of file fxvolcurveconfig.hpp.

Member Enumeration Documentation

◆ Dimension

enum class Dimension

strong

supported volatility structure types

For ATM we will only load ATM quotes, for Smile we load ATM, RR, BF or Deltas SmileInterpolation - currently supports which of the 2 Vanna Volga approximations, as per Castagna& Mercurio(2006), to use. The second approximation is more accurate but can ask for the square root of a negative number under unusual circumstances.

Enumerator
ATM
SmileVannaVolga
SmileDelta
SmileBFRR
SmileAbsolute
ATMTriangulated

Definition at line 56 of file fxvolcurveconfig.hpp.

56{ ATM, SmileVannaVolga, SmileDelta, SmileBFRR, SmileAbsolute, ATMTriangulated };

ore::data::FXVolatilityCurveConfig::Dimension::ATMTriangulated

@ ATMTriangulated

ore::data::FXVolatilityCurveConfig::Dimension::ATM

@ ATM

ore::data::FXVolatilityCurveConfig::Dimension::SmileDelta

@ SmileDelta

ore::data::FXVolatilityCurveConfig::Dimension::SmileVannaVolga

@ SmileVannaVolga

ore::data::FXVolatilityCurveConfig::Dimension::SmileAbsolute

@ SmileAbsolute

ore::data::FXVolatilityCurveConfig::Dimension::SmileBFRR

@ SmileBFRR

◆ SmileInterpolation

enum class SmileInterpolation

strong

Enumerator
VannaVolga1
VannaVolga2
Linear
Cubic

Definition at line 57 of file fxvolcurveconfig.hpp.

                                  {
        VannaVolga1,
        VannaVolga2,
        Linear,
        Cubic
    }; // Vanna Volga first/second approximation respectively

Constructor & Destructor Documentation

◆ FXVolatilityCurveConfig() [1/3]

FXVolatilityCurveConfig ( )

Default constructor.

Definition at line 67 of file fxvolcurveconfig.hpp.

67{}

◆ FXVolatilityCurveConfig() [2/3]

FXVolatilityCurveConfig	(	const string &	curveID,
		const string &	curveDescription,
		const Dimension &	dimension,
		const vector< string > &	expiries,
		const vector< string > &	deltas = `vector<string>()`,
		const string &	fxSpotID = `""`,
		const string &	fxForeignCurveID = `""`,
		const string &	fxDomesticCurveID = `""`,
		const DayCounter &	dayCounter = `QuantLib::Actual365Fixed()`,
		const Calendar &	calendar = `QuantLib::TARGET()`,
		const SmileInterpolation &	interp = `SmileInterpolation::VannaVolga2`,
		const string &	conventionsID = `""`,
		const std::vector< Size > &	smileDelta = `{25}`,
		const string &	smileExtrapolation = `"Flat"`
	)

Detailed constructor.

Definition at line 31 of file fxvolcurveconfig.cpp.

    : CurveConfig(curveID, curveDescription), dimension_(dimension), expiries_(expiries), dayCounter_(dayCounter),
      calendar_(calendar), fxSpotID_(fxSpotID), fxForeignYieldCurveID_(fxForeignCurveID),
      fxDomesticYieldCurveID_(fxDomesticCurveID), conventionsID_(conventionsID), smileDelta_(smileDelta),
      smileInterpolation_(interp), smileExtrapolation_(smileExtrapolation) {
    populateRequiredCurveIds();
}

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◆ FXVolatilityCurveConfig() [3/3]

FXVolatilityCurveConfig	(	const string &	curveID,
		const string &	curveDescription,
		const Dimension &	dimension,
		const string &	baseVolatility1,
		const string &	baseVolatility2,
		const string &	fxIndexTag = `"GENERIC"`
	)

Definition at line 45 of file fxvolcurveconfig.cpp.

    : CurveConfig(curveID, curveDescription), dimension_(dimension), baseVolatility1_(baseVolatility1),
      baseVolatility2_(baseVolatility2), fxIndexTag_(fxIndexTag) {
    populateRequiredCurveIds();
}

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Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 77 of file fxvolcurveconfig.cpp.

                                                   {
    XMLUtils::checkNode(node, "FXVolatility");
 
    curveID_ = XMLUtils::getChildValue(node, "CurveId", true);
    curveDescription_ = XMLUtils::getChildValue(node, "CurveDescription", true);
    string dim = XMLUtils::getChildValue(node, "Dimension", true);
    string cal = XMLUtils::getChildValue(node, "Calendar");
    string smileInterp = XMLUtils::getChildValue(node, "SmileInterpolation");
 
    fxSpotID_ = XMLUtils::getChildValue(node, "FXSpotID", true);
 
    vector<string> tokens;
    boost::split(tokens, fxSpotID_, boost::is_any_of("/"));
    QL_REQUIRE(tokens.size() == 3, "Expected 3 tokens FX/CCY1/CCY2 in fxSpotID (" << fxSpotID_ << ")");
    if (cal == "") {
        cal = tokens[1] + "," + tokens[2];
    }
    calendar_ = parseCalendar(cal);
 
    string dc = XMLUtils::getChildValue(node, "DayCounter");
    if (dc == "")
        dc = "A365";
    dayCounter_ = parseDayCounter(dc);
 
    if (dim == "ATMTriangulated") {
        dimension_ = Dimension::ATMTriangulated;
        baseVolatility1_ = XMLUtils::getChildValue(node, "BaseVolatility1", true);
        baseVolatility2_ = XMLUtils::getChildValue(node, "BaseVolatility2", true);
 
        string fxIndexTag = XMLUtils::getChildValue(node, "FXIndexTag");
        if (fxIndexTag == "")
            fxIndexTag = "GENERIC";
        fxIndexTag_ = fxIndexTag;
    } else {
        if (dim == "ATM") {
            dimension_ = Dimension::ATM;
        } else if (dim == "Smile") {
 
            conventionsID_ = XMLUtils::getChildValue(node, "Conventions", false);
            string smileType = XMLUtils::getChildValue(node, "SmileType");
            if (smileType == "" || smileType == "VannaVolga") {
                dimension_ = Dimension::SmileVannaVolga;
 
                // only read smile interpolation method if dimension is smile.
                if (smileInterp == "") {
                    smileInterpolation_ = SmileInterpolation::VannaVolga2; // default to VannaVolga 2nd approximation
                } else if (smileInterp == "VannaVolga1") {
                    smileInterpolation_ = SmileInterpolation::VannaVolga1;
                } else if (smileInterp == "VannaVolga2") {
                    smileInterpolation_ = SmileInterpolation::VannaVolga2;
                } else {
                    QL_FAIL("SmileInterpolation " << smileInterp << " not supported");
                }
 
                string sDelta = XMLUtils::getChildValue(node, "SmileDelta");
                if (sDelta == "")
                    smileDelta_ = {25};
                else
                    smileDelta_ = parseListOfValues<Size>(sDelta, &parseInteger);
            } else if (smileType == "Delta") {
                dimension_ = Dimension::SmileDelta;
                // only read smile interpolation and extrapolation method if dimension is smile.
                if (smileInterp == "" || smileInterp == "Linear") {
                    smileInterpolation_ = SmileInterpolation::Linear;
                } else if (smileInterp == "Cubic") {
                    smileInterpolation_ = SmileInterpolation::Cubic;
                } else {
                    QL_FAIL("SmileInterpolation " << smileInterp << " not supported");
                }
 
                smileExtrapolation_ = XMLUtils::getChildValue(node, "SmileExtrapolation", false, "Flat");
 
                deltas_ = XMLUtils::getChildrenValuesAsStrings(node, "Deltas", true);
 
                // check that these are valid deltas
                for (auto d : deltas_) {
                    QL_REQUIRE(d == "ATM" || d.back() == 'P' || d.back() == 'C',
                               "this is not a valid value for delta, " << d);
                    if (d != "ATM") {
                        parseReal(d.substr(0, d.size() - 1));
                    }
                }
            } else if (smileType == "BFRR") {
                dimension_ = Dimension::SmileBFRR;
                if (smileInterp == "" || smileInterp == "Cubic") {
                    smileInterpolation_ = SmileInterpolation::Cubic;
                } else if (smileInterp == "Linear") {
                    smileInterpolation_ = SmileInterpolation::Linear;
                } else {
                    QL_FAIL("SmileInterpolation " << smileInterp << " not supported");
                }
                string sDelta = XMLUtils::getChildValue(node, "SmileDelta");
                if (sDelta == "")
                    smileDelta_ = {10, 25};
                else
                    smileDelta_ = parseListOfValues<Size>(sDelta, &parseInteger);
            } else if (smileType == "Absolute") {
                dimension_ = Dimension::SmileAbsolute;
                if (smileInterp == "" || smileInterp == "Cubic") {
                    smileInterpolation_ = SmileInterpolation::Cubic;
                } else if (smileInterp == "Linear") {
                    smileInterpolation_ = SmileInterpolation::Linear;
                } else {
                    QL_FAIL("SmileInterpolation " << smileInterp << " not supported");
                }
            } else {
                QL_FAIL("SmileType '" << smileType << "' not supported, expected VannaVolga, Delta, BFRR");
            }
        } else {
            QL_FAIL("Dimension " << dim << " not supported yet");
        }
        expiries_ = XMLUtils::getChildrenValuesAsStrings(node, "Expiries", true);
 
        bool curvesRequired = dimension_ == Dimension::SmileVannaVolga || dimension_ == Dimension::SmileDelta ||
                              dimension_ == Dimension::SmileBFRR;
        fxForeignYieldCurveID_ = XMLUtils::getChildValue(node, "FXForeignCurveID", curvesRequired);
        fxDomesticYieldCurveID_ = XMLUtils::getChildValue(node, "FXDomesticCurveID", curvesRequired);
    }
 
    if (auto tmp = XMLUtils::getChildNode(node, "Report")) {
        reportConfig_.fromXML(tmp);
    }
 
    populateRequiredCurveIds();
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 203 of file fxvolcurveconfig.cpp.

                                                              {
    XMLNode* node = doc.allocNode("FXVolatility");
 
    XMLUtils::addChild(doc, node, "CurveId", curveID_);
    XMLUtils::addChild(doc, node, "CurveDescription", curveDescription_);
    if (dimension_ == Dimension::ATM) {
        XMLUtils::addChild(doc, node, "Dimension", "ATM");
    } else if (dimension_ == Dimension::ATMTriangulated) {
        XMLUtils::addChild(doc, node, "Dimension", "ATMTriangulated");
        XMLUtils::addChild(doc, node, "FXSpotID", fxSpotID_);
        XMLUtils::addChild(doc, node, "FXIndexTag", fxIndexTag_);
        XMLUtils::addChild(doc, node, "BaseVolatility1", baseVolatility1_);
        XMLUtils::addChild(doc, node, "BaseVolatility2", baseVolatility2_);
 
        return node;
    } else if (dimension_ == Dimension::SmileVannaVolga) {
        XMLUtils::addChild(doc, node, "Dimension", "Smile");
        XMLUtils::addChild(doc, node, "SmileType", "VannaVolga");
        // only write smile interpolation if dimension is smile
        if (smileInterpolation_ == SmileInterpolation::VannaVolga1) {
            XMLUtils::addChild(doc, node, "SmileInterpolation", "VannaVolga1");
        } else if (smileInterpolation_ == SmileInterpolation::VannaVolga2) {
            XMLUtils::addChild(doc, node, "SmileInterpolation", "VannaVolga2");
        } else {
            QL_FAIL("Unknown SmileInterpolation in FXVolatilityCurveConfig::toXML()");
        }
        XMLUtils::addGenericChildAsList(doc, node, "SmileDelta", deltas_);
        XMLUtils::addChild(doc, node, "Conventions", to_string(conventionsID_));
    } else if (dimension_ == Dimension::SmileDelta) {
        XMLUtils::addChild(doc, node, "Dimension", "Smile");
        XMLUtils::addChild(doc, node, "SmileType", "Delta");
        // only write smile interpolation if dimension is smile
        if (smileInterpolation_ == SmileInterpolation::Linear) {
            XMLUtils::addChild(doc, node, "SmileInterpolation", "Linear");
        } else if (smileInterpolation_ == SmileInterpolation::Cubic) {
            XMLUtils::addChild(doc, node, "SmileInterpolation", "Cubic");
        } else {
            QL_FAIL("Unknown SmileInterpolation in FXVolatilityCurveConfig::toXML()");
        }
        if (!smileExtrapolation_.empty())
            XMLUtils::addChild(doc, node, "SmileExtrapolation", smileExtrapolation_);
        XMLUtils::addChild(doc, node, "Conventions", to_string(conventionsID_));
        XMLUtils::addGenericChildAsList(doc, node, "Deltas", deltas_);
    } else if (dimension_ == Dimension::SmileBFRR) {
        XMLUtils::addChild(doc, node, "Dimension", "Smile");
        XMLUtils::addChild(doc, node, "SmileType", "BFRR");
        if (smileInterpolation_ == SmileInterpolation::Linear) {
            XMLUtils::addChild(doc, node, "SmileInterpolation", "Linear");
        } else if (smileInterpolation_ == SmileInterpolation::Cubic) {
            XMLUtils::addChild(doc, node, "SmileInterpolation", "Cubic");
        } else {
            QL_FAIL("Unknown SmileInterpolation in FXVolatilityCurveConfig::toXML()");
        }
        XMLUtils::addGenericChildAsList(doc, node, "SmileDelta", smileDelta_);
        XMLUtils::addChild(doc, node, "Conventions", to_string(conventionsID_));
    } else if (dimension_ == Dimension::SmileAbsolute) {
        XMLUtils::addChild(doc, node, "Dimension", "Smile");
        XMLUtils::addChild(doc, node, "SmileType", "Absolute");
        if (smileInterpolation_ == SmileInterpolation::Linear) {
            XMLUtils::addChild(doc, node, "SmileInterpolation", "Linear");
        } else if (smileInterpolation_ == SmileInterpolation::Cubic) {
            XMLUtils::addChild(doc, node, "SmileInterpolation", "Cubic");
        } else {
            QL_FAIL("Unknown SmileInterpolation in FXVolatilityCurveConfig::toXML()");
        }
        XMLUtils::addChild(doc, node, "Conventions", to_string(conventionsID_));
    } else {
        QL_FAIL("Unknown Dimension in FXVolatilityCurveConfig::toXML()");
    }
    XMLUtils::addGenericChildAsList(doc, node, "Expiries", expiries_);
    XMLUtils::addChild(doc, node, "FXSpotID", fxSpotID_);
    if (!fxForeignYieldCurveID_.empty())
        XMLUtils::addChild(doc, node, "FXForeignCurveID", fxForeignYieldCurveID_);
    if (!fxDomesticYieldCurveID_.empty())
        XMLUtils::addChild(doc, node, "FXDomesticCurveID", fxDomesticYieldCurveID_);
    XMLUtils::addChild(doc, node, "Calendar", to_string(calendar_));
    XMLUtils::addChild(doc, node, "DayCounter", to_string(dayCounter_));
    XMLUtils::appendNode(node, reportConfig_.toXML(doc));
    
    return node;
}

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◆ dimension() [1/2]

const Dimension & dimension ( ) const

Definition at line 93 of file fxvolcurveconfig.hpp.

93{ return dimension_; }

◆ expiries()

const vector< string > & expiries ( ) const

Definition at line 94 of file fxvolcurveconfig.hpp.

94{ return expiries_; }

◆ deltas() [1/2]

const vector< string > & deltas ( ) const

Definition at line 95 of file fxvolcurveconfig.hpp.

95{ return deltas_; }

◆ dayCounter() [1/2]

const DayCounter & dayCounter ( ) const

Definition at line 96 of file fxvolcurveconfig.hpp.

96{ return dayCounter_; }

◆ calendar() [1/2]

const Calendar & calendar ( ) const

Definition at line 97 of file fxvolcurveconfig.hpp.

97{ return calendar_; }

◆ fxSpotID() [1/2]

const string & fxSpotID ( ) const

Definition at line 99 of file fxvolcurveconfig.hpp.

99{ return fxSpotID_; }

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◆ fxForeignYieldCurveID() [1/2]

const string & fxForeignYieldCurveID ( ) const

Definition at line 100 of file fxvolcurveconfig.hpp.

100{ return fxForeignYieldCurveID_; }

◆ fxDomesticYieldCurveID() [1/2]

const string & fxDomesticYieldCurveID ( ) const

Definition at line 101 of file fxvolcurveconfig.hpp.

101{ return fxDomesticYieldCurveID_; }

◆ smileInterpolation() [1/2]

const SmileInterpolation & smileInterpolation ( ) const

Definition at line 102 of file fxvolcurveconfig.hpp.

102{ return smileInterpolation_; }

◆ smileExtrapolation() [1/2]

const std::string & smileExtrapolation ( ) const

Definition at line 103 of file fxvolcurveconfig.hpp.

103{ return smileExtrapolation_; }

◆ conventionsID() [1/2]

const string & conventionsID ( ) const

Definition at line 104 of file fxvolcurveconfig.hpp.

104{ return conventionsID_; }

◆ smileDelta() [1/2]

const std::vector< Size > & smileDelta ( ) const

Definition at line 105 of file fxvolcurveconfig.hpp.

105{ return smileDelta_; }

◆ quotes()

const vector< string > & quotes ( )

overridevirtual

Return all the market quotes required for this config.

Reimplemented from CurveConfig.

Definition at line 53 of file fxvolcurveconfig.cpp.

                                                      {
    if (quotes_.size() == 0) {
        vector<string> tokens;
        boost::split(tokens, fxSpotID(), boost::is_any_of("/"));
        QL_REQUIRE(tokens.size() == 3, "Expected 3 tokens FX/CCY1/CCY2 in fxSpotID (" << fxSpotID() << ")");
        quotes_.push_back("FX/RATE/" + tokens[1] + "/" + tokens[2]);
        string base = "FX_OPTION/RATE_LNVOL/" + tokens[1] + "/" + tokens[2] + "/";
        for (auto e : expiries_) {
            quotes_.push_back(base + e + "/ATM");
            if (dimension_ == Dimension::SmileVannaVolga || dimension_ == Dimension::SmileBFRR) {
                for (auto const& d : smileDelta_) {
                    quotes_.push_back(base + e + "/" + to_string(d) + "RR");
                    quotes_.push_back(base + e + "/" + to_string(d) + "BF");
                }
            } else if (dimension_ == Dimension::SmileDelta || dimension_ == Dimension::SmileAbsolute) {
                for (auto d : deltas_) {
                    quotes_.push_back(base + e + "/" + d);
                }
            }
        }
    }
    return quotes_;
}

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◆ baseVolatility1() [1/2]

const string & baseVolatility1 ( ) const

Definition at line 107 of file fxvolcurveconfig.hpp.

107{ return baseVolatility1_; }

◆ baseVolatility2() [1/2]

const string & baseVolatility2 ( ) const

Definition at line 108 of file fxvolcurveconfig.hpp.

108{ return baseVolatility2_; }

◆ fxIndexTag() [1/2]

const string & fxIndexTag ( ) const

Definition at line 109 of file fxvolcurveconfig.hpp.

109{ return fxIndexTag_; }

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◆ reportConfig()

const ReportConfig & reportConfig ( ) const

Definition at line 110 of file fxvolcurveconfig.hpp.

110{ return reportConfig_; }

◆ dimension() [2/2]

Dimension & dimension ( )

Definition at line 115 of file fxvolcurveconfig.hpp.

115{ return dimension_; }

◆ smileInterpolation() [2/2]

SmileInterpolation & smileInterpolation ( )

Definition at line 116 of file fxvolcurveconfig.hpp.

116{ return smileInterpolation_; }

◆ smileExtrapolation() [2/2]

string & smileExtrapolation ( )

Definition at line 117 of file fxvolcurveconfig.hpp.

117{ return smileExtrapolation_; }

◆ deltas() [2/2]

vector< string > & deltas ( )

Definition at line 118 of file fxvolcurveconfig.hpp.

118{ return deltas_; }

◆ dayCounter() [2/2]

DayCounter & dayCounter ( )

Definition at line 119 of file fxvolcurveconfig.hpp.

119{ return dayCounter_; }

◆ calendar() [2/2]

Calendar & calendar ( )

Definition at line 120 of file fxvolcurveconfig.hpp.

120{ return calendar_; }

◆ fxSpotID() [2/2]

string & fxSpotID ( )

Definition at line 121 of file fxvolcurveconfig.hpp.

121{ return fxSpotID_; }

◆ fxForeignYieldCurveID() [2/2]

string & fxForeignYieldCurveID ( )

Definition at line 122 of file fxvolcurveconfig.hpp.

122{ return fxForeignYieldCurveID_; }

◆ fxDomesticYieldCurveID() [2/2]

string & fxDomesticYieldCurveID ( )

Definition at line 123 of file fxvolcurveconfig.hpp.

123{ return fxDomesticYieldCurveID_; }

◆ conventionsID() [2/2]

string conventionsID ( )

Definition at line 124 of file fxvolcurveconfig.hpp.

124{ return conventionsID_; }

◆ smileDelta() [2/2]

std::vector< Size > & smileDelta ( )

Definition at line 125 of file fxvolcurveconfig.hpp.

125{ return smileDelta_; }

◆ requiredYieldCurveIDs()

const std::set< string > & requiredYieldCurveIDs ( ) const

Definition at line 126 of file fxvolcurveconfig.hpp.

126{ return requiredYieldCurveIDs_; };

ore::data::FXVolatilityCurveConfig::requiredYieldCurveIDs_

std::set< string > requiredYieldCurveIDs_

Definition: fxvolcurveconfig.hpp:145

◆ baseVolatility1() [2/2]

string & baseVolatility1 ( )

Definition at line 127 of file fxvolcurveconfig.hpp.

127{ return baseVolatility1_; }

◆ baseVolatility2() [2/2]

string & baseVolatility2 ( )

Definition at line 128 of file fxvolcurveconfig.hpp.

128{ return baseVolatility2_; }

◆ fxIndexTag() [2/2]

string & fxIndexTag ( )

Definition at line 129 of file fxvolcurveconfig.hpp.

129{ return fxIndexTag_; }

◆ populateRequiredCurveIds()

void populateRequiredCurveIds ( )

private

Definition at line 285 of file fxvolcurveconfig.cpp.

                                                       {
    if (!fxDomesticYieldCurveID_.empty() && !fxForeignYieldCurveID_.empty()) {
        std::vector<string> domTokens, forTokens;
        split(domTokens, fxDomesticYieldCurveID_, boost::is_any_of("/"));
        split(forTokens, fxForeignYieldCurveID_, boost::is_any_of("/"));
 
        if (domTokens.size() == 3 && domTokens[0] == "Yield") {
            requiredCurveIds_[CurveSpec::CurveType::Yield].insert(domTokens[2]);
        } else if (domTokens.size() == 1) {
            requiredCurveIds_[CurveSpec::CurveType::Yield].insert(fxDomesticYieldCurveID_);
        } else {
            QL_FAIL("Cannot determine the required domestic yield curve for fx vol curve " << curveID_);
        }
 
        if (forTokens.size() == 3 && forTokens[0] == "Yield") {
            requiredCurveIds_[CurveSpec::CurveType::Yield].insert(forTokens[2]);
        } else if (forTokens.size() == 1) {
            requiredCurveIds_[CurveSpec::CurveType::Yield].insert(fxForeignYieldCurveID_);
        } else {
            QL_FAIL("Cannot determine the required foreign yield curve for fx vol curve " << curveID_);
        }
    }
 
    if (dimension_ == Dimension::ATMTriangulated) {
        requiredCurveIds_[CurveSpec::CurveType::FXVolatility].insert(baseVolatility1_);
        requiredCurveIds_[CurveSpec::CurveType::FXVolatility].insert(baseVolatility2_);
 
        vector<string> tokens;
        boost::split(tokens, fxSpotID_, boost::is_any_of("/"));
        QL_REQUIRE(tokens.size() == 3, "unexpected fxSpot format: " << fxSpotID_);
        auto forTarget = tokens[1];
        auto domTarget = tokens[2];
 
        // we need to include inverse ccy pairs as well
        QL_REQUIRE(baseVolatility1_.size() == 6, "invalid ccy pair length");
        QL_REQUIRE(baseVolatility2_.size() == 6, "invalid ccy pair length");
        auto forBase1 = baseVolatility1_.substr(0, 3);
        auto domBase1 = baseVolatility1_.substr(3);
        auto forBase2 = baseVolatility2_.substr(0, 3);
        auto domBase2 = baseVolatility2_.substr(3);
 
        requiredCurveIds_[CurveSpec::CurveType::FXVolatility].insert(domBase1 + forBase1);
        requiredCurveIds_[CurveSpec::CurveType::FXVolatility].insert(domBase2 + forBase2);
 
        // we need to establish the common currency between the two pairs to include the correlations
        std::string baseCcy = "";
        if (forBase1 == forBase2 || forBase1 == domBase2) {
            baseCcy = forBase1;
        } else {
            QL_REQUIRE(domBase1 == forBase2 || domBase1 == domBase2, "no common currency found for baseVolatilities");
            baseCcy = domBase1;
        }
 
        // straight pair
        std::string forIndex = "FX-" + fxIndexTag_ + "-" + forTarget + "-" + baseCcy;
        std::string domIndex = "FX-" + fxIndexTag_ + "-" + domTarget + "-" + baseCcy;
        requiredCurveIds_[CurveSpec::CurveType::Correlation].insert(forIndex + "&" + domIndex);
        // inverse pair
        requiredCurveIds_[CurveSpec::CurveType::Correlation].insert(domIndex + "&" + forIndex);
        // inverse fx index1
        std::string forIndexInverse = "FX-" + fxIndexTag_ + "-" + baseCcy + "-" + forTarget;
        requiredCurveIds_[CurveSpec::CurveType::Correlation].insert(forIndexInverse + "&" + domIndex);
        requiredCurveIds_[CurveSpec::CurveType::Correlation].insert(domIndex + "&" + forIndexInverse);
        // inverse fx index2
        std::string domIndexInverse = "FX-" + fxIndexTag_ + "-" + baseCcy + "-" + domTarget;
        requiredCurveIds_[CurveSpec::CurveType::Correlation].insert(forIndex + "&" + domIndexInverse);
        requiredCurveIds_[CurveSpec::CurveType::Correlation].insert(domIndexInverse + "&" + forIndex);
        // both fx indices inverted
        requiredCurveIds_[CurveSpec::CurveType::Correlation].insert(forIndexInverse + "&" + domIndexInverse);
        requiredCurveIds_[CurveSpec::CurveType::Correlation].insert(domIndexInverse + "&" + forIndexInverse);
    }
}

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Member Data Documentation

◆ dimension_

Dimension dimension_

private

Definition at line 135 of file fxvolcurveconfig.hpp.

◆ expiries_

vector<string> expiries_

private

Definition at line 136 of file fxvolcurveconfig.hpp.

◆ deltas_

vector<string> deltas_

private

Definition at line 137 of file fxvolcurveconfig.hpp.

◆ dayCounter_

DayCounter dayCounter_

private

Definition at line 138 of file fxvolcurveconfig.hpp.

◆ calendar_

Calendar calendar_

private

Definition at line 139 of file fxvolcurveconfig.hpp.

◆ fxSpotID_

string fxSpotID_

private

Definition at line 140 of file fxvolcurveconfig.hpp.

◆ fxForeignYieldCurveID_

string fxForeignYieldCurveID_

private

Definition at line 141 of file fxvolcurveconfig.hpp.

◆ fxDomesticYieldCurveID_

string fxDomesticYieldCurveID_

private

Definition at line 142 of file fxvolcurveconfig.hpp.

◆ conventionsID_

string conventionsID_

private

Definition at line 143 of file fxvolcurveconfig.hpp.

◆ smileDelta_

std::vector<Size> smileDelta_

private

Definition at line 144 of file fxvolcurveconfig.hpp.

◆ requiredYieldCurveIDs_

std::set<string> requiredYieldCurveIDs_

private

Definition at line 145 of file fxvolcurveconfig.hpp.

◆ smileInterpolation_

SmileInterpolation smileInterpolation_

private

Definition at line 146 of file fxvolcurveconfig.hpp.

◆ smileExtrapolation_

string smileExtrapolation_

private

Definition at line 147 of file fxvolcurveconfig.hpp.

◆ baseVolatility1_

string baseVolatility1_

private

Definition at line 148 of file fxvolcurveconfig.hpp.

◆ baseVolatility2_

string baseVolatility2_

private

Definition at line 149 of file fxvolcurveconfig.hpp.

◆ fxIndexTag_

string fxIndexTag_

private

Definition at line 150 of file fxvolcurveconfig.hpp.

◆ reportConfig_

ReportConfig reportConfig_

private

Definition at line 151 of file fxvolcurveconfig.hpp.

Public Types

Public Member Functions

Setters

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ Dimension

◆ SmileInterpolation

Constructor & Destructor Documentation

◆ FXVolatilityCurveConfig() [1/3]

◆ FXVolatilityCurveConfig() [2/3]

◆ FXVolatilityCurveConfig() [3/3]

Member Function Documentation

◆ fromXML()

◆ toXML()

◆ dimension() [1/2]

◆ expiries()

◆ deltas() [1/2]

◆ dayCounter() [1/2]

◆ calendar() [1/2]

◆ fxSpotID() [1/2]

◆ fxForeignYieldCurveID() [1/2]

◆ fxDomesticYieldCurveID() [1/2]

◆ smileInterpolation() [1/2]

◆ smileExtrapolation() [1/2]

◆ conventionsID() [1/2]

◆ smileDelta() [1/2]

◆ quotes()

◆ baseVolatility1() [1/2]

◆ baseVolatility2() [1/2]

◆ fxIndexTag() [1/2]

◆ reportConfig()

◆ dimension() [2/2]

◆ smileInterpolation() [2/2]

◆ smileExtrapolation() [2/2]

◆ deltas() [2/2]

◆ dayCounter() [2/2]

◆ calendar() [2/2]

◆ fxSpotID() [2/2]

◆ fxForeignYieldCurveID() [2/2]

◆ fxDomesticYieldCurveID() [2/2]

◆ conventionsID() [2/2]

◆ smileDelta() [2/2]

◆ requiredYieldCurveIDs()

◆ baseVolatility1() [2/2]

◆ baseVolatility2() [2/2]

◆ fxIndexTag() [2/2]

◆ populateRequiredCurveIds()

Member Data Documentation

◆ dimension_

◆ expiries_

◆ deltas_

◆ dayCounter_

◆ calendar_

◆ fxSpotID_

◆ fxForeignYieldCurveID_

◆ fxDomesticYieldCurveID_

◆ conventionsID_

◆ smileDelta_

◆ requiredYieldCurveIDs_

◆ smileInterpolation_

◆ smileExtrapolation_

◆ baseVolatility1_

◆ baseVolatility2_

◆ fxIndexTag_

◆ reportConfig_