FittedBondYieldCurveSegment Class Reference

FittedBond yield curve segment. More...

#include <ored/configuration/yieldcurveconfig.hpp>

Inheritance diagram for FittedBondYieldCurveSegment:

Collaboration diagram for FittedBondYieldCurveSegment:

Public Member Functions
Constructors/Destructors
	FittedBondYieldCurveSegment ()
	Default constructor. More...
	FittedBondYieldCurveSegment (const string &typeID, const vector< string > &quotes, const map< string, string > &iborIndexCurves, const bool extrapolateFlat)
	Detailed constructor. More...
Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
Inspectors
const map< string, string > &	iborIndexCurves () const
const bool	extrapolateFlat () 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
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
map< string, string >	iborIndexCurves_
bool	extrapolateFlat_
virtual void	accept (AcyclicVisitor &) 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

FittedBond yield curve segment.

A bond segment is used to build a yield curve from liquid bond quotes.

Definition at line 522 of file yieldcurveconfig.hpp.

Constructor & Destructor Documentation

FittedBondYieldCurveSegment() [1/2]

FittedBondYieldCurveSegment

(

)

Default constructor.

Definition at line 527 of file yieldcurveconfig.hpp.

{}

FittedBondYieldCurveSegment() [2/2]

FittedBondYieldCurveSegment	(	const string &	typeID,
		const vector< string > &	quotes,
		const map< string, string > &	iborIndexCurves,
		const bool	extrapolateFlat
	)

Detailed constructor.

Definition at line 724 of file yieldcurveconfig.cpp.

    : YieldCurveSegment(typeID, "", quotes), iborIndexCurves_(iborIndexCurves), extrapolateFlat_(extrapolateFlat) {}

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 729 of file yieldcurveconfig.cpp.

                                                       {
    XMLUtils::checkNode(node, "FittedBond");
    YieldCurveSegment::fromXML(node);
 
    vector<string> iborIndexNames;
    vector<string> iborIndexCurves = XMLUtils::getChildrenValuesWithAttributes(
        node, "IborIndexCurves", "IborIndexCurve", "iborIndex", iborIndexNames, false);
    for (Size i = 0; i < iborIndexNames.size(); ++i) {
        iborIndexCurves_[iborIndexNames[i]] = iborIndexCurves[i];
    }
 
    if (auto n = XMLUtils::getChildNode(node, "ExtrapolateFlat")) {
        extrapolateFlat_ = parseBool(XMLUtils::getNodeValue(n));
    } else {
        extrapolateFlat_ = false;
    }
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 747 of file yieldcurveconfig.cpp.

                                                                  {
    XMLNode* node = YieldCurveSegment::toXML(doc);
    XMLUtils::setNodeName(doc, node, "FittedBond");
 
    vector<string> iborIndexNames;
    vector<string> iborIndexCurves;
    for (auto const& c : iborIndexCurves_) {
        iborIndexNames.push_back(c.first);
        iborIndexCurves.push_back(c.second);
    }
    XMLUtils::addChildrenWithAttributes(doc, node, "IborIndexCurves", "IborIndexCurve", iborIndexCurves, "iborIndex",
                                        iborIndexNames);
 
    XMLUtils::addChild(doc, node, "ExtrapolateFlat", extrapolateFlat_);
    return node;
}

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iborIndexCurves()

const map< string, string > & iborIndexCurves

(

)

const

Definition at line 540 of file yieldcurveconfig.hpp.

{ return iborIndexCurves_; }

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extrapolateFlat()

const bool extrapolateFlat

(

)

const

Definition at line 541 of file yieldcurveconfig.hpp.

{ return extrapolateFlat_; }

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 764 of file yieldcurveconfig.cpp.

                                                          {
    Visitor<FittedBondYieldCurveSegment>* v1 = dynamic_cast<Visitor<FittedBondYieldCurveSegment>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        YieldCurveSegment::accept(v);
}

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Member Data Documentation

iborIndexCurves_

map<string, string> iborIndexCurves_

private

Definition at line 550 of file yieldcurveconfig.hpp.

extrapolateFlat_

bool extrapolateFlat_

private

Definition at line 551 of file yieldcurveconfig.hpp.