Generic yield volatility curve configuration class. More...

#include <ored/configuration/genericyieldvolcurveconfig.hpp>

Inheritance diagram for GenericYieldVolatilityCurveConfig:

Collaboration diagram for GenericYieldVolatilityCurveConfig:

Public Types
enum class	Dimension { ATM , Smile }
	supported volatility dimensions More...

enum class	VolatilityType { Lognormal , Normal , ShiftedLognormal }

enum class	Interpolation { Hagan2002Lognormal = 0 , Hagan2002Normal = 1 , Hagan2002NormalZeroBeta = 2 , Antonov2015FreeBoundaryNormal =3 , KienitzLawsonSwaynePde =4 , FlochKennedy =5 , Linear = 6 }

enum class	Extrapolation { None , Flat , Linear }

Public Member Functions
Constructors/Destructors
	GenericYieldVolatilityCurveConfig (const std::string &underlyingLabel, const std::string &rootNodeLabel, const std::string &marketDatumInstrumentLabel, const std::string &qualifierLabel, const bool allowSmile, const bool requireSwapIndexBases)
	Default constructor. More...

	GenericYieldVolatilityCurveConfig (const std::string &underlyingLabel, const std::string &rootNodeLabel, const std::string &marketDatumInstrumentLabel, const std::string &qualifierLabel, const string &curveID, const string &curveDescription, const string &qualifier, const Dimension dimension, const VolatilityType volatilityType, const VolatilityType outputVolatilityType, const Interpolation interpolation, const Extrapolation extrapolation, const vector< string > &optionTenors, const vector< string > &underlyingTenors, const DayCounter &dayCounter, const Calendar &calendar, const BusinessDayConvention &businessDayConvention, const string &shortSwapIndexBase="", const string &swapIndexBase="", const vector< string > &smileOptionTenors=vector< string >(), const vector< string > &smileUnderlyingTenors=vector< string >(), const vector< string > &smileSpreads=vector< string >(), const boost::optional< ParametricSmileConfiguration > &parametricSmileConfiguration=boost::none)
	Detailed constructor. More...

	GenericYieldVolatilityCurveConfig (const std::string &underlyingLabel, const std::string &rootNodeLabel, const std::string &qualifierLabel, const string &curveID, const string &curveDescription, const string &qualifier, const std::string &proxySourceCurveId, const std::string &proxySourceShortSwapIndexBase, const std::string &proxySourceSwapIndexBase, const std::string &proxyTargetShortSwapIndexBase, const std::string &proxyTargetSwapIndexBase)
	Detailed contructor for proxy config. More...

Serialisation
void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

Inspectors
const string &	qualifier () const

Dimension	dimension () const

VolatilityType	volatilityType () const

VolatilityType	outputVolatilityType () const

Interpolation	interpolation () const

Extrapolation	extrapolation () const

const vector< string > &	optionTenors () const

const vector< string > &	underlyingTenors () const

const DayCounter &	dayCounter () const

const Calendar &	calendar () const

const BusinessDayConvention &	businessDayConvention () const

const string &	shortSwapIndexBase () const

const string &	swapIndexBase () const

const vector< string > &	smileOptionTenors () const

const vector< string > &	smileUnderlyingTenors () const

const vector< string > &	smileSpreads () const

const string &	quoteTag () const

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

const std::string &	proxySourceCurveId () const

const std::string &	proxySourceShortSwapIndexBase () const

const std::string &	proxySourceSwapIndexBase () const

const std::string &	proxyTargetShortSwapIndexBase () const

const std::string &	proxyTargetSwapIndexBase () const

const boost::optional< ParametricSmileConfiguration >	parametricSmileConfiguration () 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
const string	underlyingLabel_

const string	rootNodeLabel_

const string	marketDatumInstrumentLabel_

const string	qualifierLabel_

const bool	allowSmile_

const bool	requireSwapIndexBases_

string	qualifier_

Dimension	dimension_ = Dimension::Smile

VolatilityType	volatilityType_ = VolatilityType::Normal

VolatilityType	outputVolatilityType_ = VolatilityType::Normal

Interpolation	interpolation_ = Interpolation::Linear

Extrapolation	extrapolation_ = Extrapolation::Flat

vector< string >	optionTenors_

vector< string >	underlyingTenors_

DayCounter	dayCounter_

Calendar	calendar_

BusinessDayConvention	businessDayConvention_

string	shortSwapIndexBase_

string	swapIndexBase_

vector< string >	smileOptionTenors_

vector< string >	smileUnderlyingTenors_

vector< string >	smileSpreads_

string	quoteTag_

string	proxySourceCurveId_

string	proxySourceShortSwapIndexBase_

string	proxySourceSwapIndexBase_

string	proxyTargetShortSwapIndexBase_

string	proxyTargetSwapIndexBase_

boost::optional< ParametricSmileConfiguration >	parametricSmileConfiguration_

ReportConfig	reportConfig_

string &	qualifier ()

Dimension &	dimension ()

VolatilityType &	volatilityType ()

VolatilityType &	outputVolatilityType ()

Interpolation &	interpolation ()

Extrapolation &	extrapolation ()

vector< string > &	optionTenors ()

vector< string > &	underlyingTenors ()

DayCounter &	dayCounter ()

Calendar &	calendar ()

BusinessDayConvention &	businessDayConvention ()

string &	shortSwapIndexBase ()

string &	swapIndexBase ()

vector< string > &	smileOptionTenors ()

vector< string > &	smileUnderlyingTenors ()

vector< string > &	smileSpreads ()

string &	quoteTag ()

void	populateRequiredCurveIds ()

string	ccyFromSwapIndexBase (const std::string &swapIndexBase)

Additional Inherited Members
Protected Attributes inherited from CurveConfig
string	curveID_

string	curveDescription_

vector< string >	quotes_

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

Detailed Description

Generic yield volatility curve configuration class.

Definition at line 49 of file genericyieldvolcurveconfig.hpp.

Member Enumeration Documentation

◆ Dimension

enum class Dimension

strong

supported volatility dimensions

Enumerator
ATM
Smile

Definition at line 52 of file genericyieldvolcurveconfig.hpp.

52{ ATM, Smile };

ore::data::GenericYieldVolatilityCurveConfig::Dimension::ATM

@ ATM

ore::data::GenericYieldVolatilityCurveConfig::Dimension::Smile

@ Smile

◆ VolatilityType

enum class VolatilityType

strong

Enumerator
Lognormal
Normal
ShiftedLognormal

Definition at line 54 of file genericyieldvolcurveconfig.hpp.

54{ Lognormal, Normal, ShiftedLognormal };

ore::data::GenericYieldVolatilityCurveConfig::VolatilityType::Lognormal

@ Lognormal

ore::data::GenericYieldVolatilityCurveConfig::VolatilityType::Normal

@ Normal

ore::data::GenericYieldVolatilityCurveConfig::VolatilityType::ShiftedLognormal

@ ShiftedLognormal

◆ Interpolation

enum class Interpolation

strong

Enumerator
Hagan2002Lognormal
Hagan2002Normal
Hagan2002NormalZeroBeta
Antonov2015FreeBoundaryNormal
KienitzLawsonSwaynePde
FlochKennedy
Linear

Definition at line 56 of file genericyieldvolcurveconfig.hpp.

                             {
        Hagan2002Lognormal = 0,
        Hagan2002Normal = 1,
        Hagan2002NormalZeroBeta = 2,
        Antonov2015FreeBoundaryNormal =3,
        KienitzLawsonSwaynePde=4,
        FlochKennedy=5,
        Linear = 6
    };

◆ Extrapolation

enum class Extrapolation

strong

Enumerator
None
Flat
Linear

Definition at line 66 of file genericyieldvolcurveconfig.hpp.

                             {
        None, Flat, Linear
    };

Constructor & Destructor Documentation

◆ GenericYieldVolatilityCurveConfig() [1/3]

GenericYieldVolatilityCurveConfig	(	const std::string &	underlyingLabel,
		const std::string &	rootNodeLabel,
		const std::string &	marketDatumInstrumentLabel,
		const std::string &	qualifierLabel,
		const bool	allowSmile,
		const bool	requireSwapIndexBases
	)

Default constructor.

Definition at line 73 of file genericyieldvolcurveconfig.hpp.

                                                                        : underlyingLabel_(underlyingLabel),
        rootNodeLabel_(rootNodeLabel), marketDatumInstrumentLabel_(marketDatumInstrumentLabel),
        qualifierLabel_(qualifierLabel), allowSmile_(allowSmile), requireSwapIndexBases_(requireSwapIndexBases) {}

◆ GenericYieldVolatilityCurveConfig() [2/3]

GenericYieldVolatilityCurveConfig	(	const std::string &	underlyingLabel,
		const std::string &	rootNodeLabel,
		const std::string &	marketDatumInstrumentLabel,
		const std::string &	qualifierLabel,
		const string &	curveID,
		const string &	curveDescription,
		const string &	qualifier,
		const Dimension	dimension,
		const VolatilityType	volatilityType,
		const VolatilityType	outputVolatilityType,
		const Interpolation	interpolation,
		const Extrapolation	extrapolation,
		const vector< string > &	optionTenors,
		const vector< string > &	underlyingTenors,
		const DayCounter &	dayCounter,
		const Calendar &	calendar,
		const BusinessDayConvention &	businessDayConvention,
		const string &	shortSwapIndexBase = `""`,
		const string &	swapIndexBase = `""`,
		const vector< string > &	smileOptionTenors = `vector<string>()`,
		const vector< string > &	smileUnderlyingTenors = `vector<string>()`,
		const vector< string > &	smileSpreads = `vector<string>()`,
		const boost::optional< ParametricSmileConfiguration > &	parametricSmileConfiguration = `boost::none`
	)

Detailed constructor.

Definition at line 44 of file genericyieldvolcurveconfig.cpp.

    : CurveConfig(curveID, curveDescription), underlyingLabel_(underlyingLabel), rootNodeLabel_(rootNodeLabel),
      marketDatumInstrumentLabel_(marketDatumInstrumentLabel), qualifierLabel_(qualifierLabel), allowSmile_(true),
      requireSwapIndexBases_(false), qualifier_(qualifier), dimension_(dimension), volatilityType_(volatilityType),
      interpolation_(interpolation), extrapolation_(extrapolation), optionTenors_(optionTenors),
      underlyingTenors_(underlyingTenors), dayCounter_(dayCounter), calendar_(calendar),
      businessDayConvention_(businessDayConvention), shortSwapIndexBase_(shortSwapIndexBase),
      swapIndexBase_(swapIndexBase), smileOptionTenors_(smileOptionTenors),
      smileUnderlyingTenors_(smileUnderlyingTenors), smileSpreads_(smileSpreads),
      parametricSmileConfiguration_(parametricSmileConfiguration) {
 
    QL_REQUIRE(dimension == Dimension::ATM || dimension == Dimension::Smile, "Invalid dimension");
 
    if (dimension != Dimension::Smile) {
        QL_REQUIRE(smileOptionTenors.size() == 0 && smileUnderlyingTenors.size() == 0 && smileSpreads.size() == 0,
                   "Smile tenors/strikes/spreads should only be set when dim=Smile");
    }
 
    if (qualifier_.empty()) {
        qualifier_ = ccyFromSwapIndexBase(swapIndexBase_);
    }
}

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◆ GenericYieldVolatilityCurveConfig() [3/3]

GenericYieldVolatilityCurveConfig	(	const std::string &	underlyingLabel,
		const std::string &	rootNodeLabel,
		const std::string &	qualifierLabel,
		const string &	curveID,
		const string &	curveDescription,
		const string &	qualifier,
		const std::string &	proxySourceCurveId,
		const std::string &	proxySourceShortSwapIndexBase,
		const std::string &	proxySourceSwapIndexBase,
		const std::string &	proxyTargetShortSwapIndexBase,
		const std::string &	proxyTargetSwapIndexBase
	)

Detailed contructor for proxy config.

Definition at line 76 of file genericyieldvolcurveconfig.cpp.

    : CurveConfig(curveID, curveDescription), underlyingLabel_(underlyingLabel), rootNodeLabel_(rootNodeLabel),
      qualifierLabel_(qualifierLabel), allowSmile_(true), requireSwapIndexBases_(false),
      proxySourceShortSwapIndexBase_(proxySourceShortSwapIndexBase),
      proxySourceSwapIndexBase_(proxySourceSwapIndexBase),
      proxyTargetShortSwapIndexBase_(proxyTargetShortSwapIndexBase),
      proxyTargetSwapIndexBase_(proxyTargetSwapIndexBase) {
 
    if (qualifier_.empty()) {
        qualifier_ = ccyFromSwapIndexBase(proxyTargetSwapIndexBase_);
    }
 
    populateRequiredCurveIds();
}

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Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 155 of file genericyieldvolcurveconfig.cpp.

                                                             {
    XMLUtils::checkNode(node, rootNodeLabel_);
 
    curveID_ = XMLUtils::getChildValue(node, "CurveId", true);
    curveDescription_ = XMLUtils::getChildValue(node, "CurveDescription", true);
 
    if (auto p = XMLUtils::getChildNode(node, "ProxyConfig")) {
        // read in proxy config
 
        auto source = XMLUtils::getChildNode(p, "Source");
        QL_REQUIRE(source != nullptr,
                   "GenericYieldVolatilityCurveConfig::fromXML(): ProxyConfig requires child node 'Source'");
        proxySourceCurveId_ = XMLUtils::getChildValue(source, "CurveId");
        proxySourceShortSwapIndexBase_ = XMLUtils::getChildValue(source, "ShortSwapIndexBase");
        proxySourceSwapIndexBase_ = XMLUtils::getChildValue(source, "SwapIndexBase");
 
        auto target = XMLUtils::getChildNode(p, "Target");
        QL_REQUIRE(target != nullptr,
                   "GenericYieldVolatilityCurveConfig::fromXML(): ProxyConfig requires child node 'Target'");
        proxyTargetShortSwapIndexBase_ = XMLUtils::getChildValue(target, "ShortSwapIndexBase");
        proxyTargetSwapIndexBase_ = XMLUtils::getChildValue(target, "SwapIndexBase");
 
        populateRequiredCurveIds();
 
    } else {
        // read in quote-based config
        if (allowSmile_) {
            string dim = XMLUtils::getChildValue(node, "Dimension", true);
            if (dim == "ATM") {
                dimension_ = Dimension::ATM;
            } else if (dim == "Smile") {
                dimension_ = Dimension::Smile;
            } else {
                QL_FAIL("Dimension " << dim << " not recognized");
            }
        } else {
            dimension_ = Dimension::ATM;
        }
 
        string volType = XMLUtils::getChildValue(node, "VolatilityType", true);
        if (volType == "Normal") {
            volatilityType_ = VolatilityType::Normal;
        } else if (volType == "Lognormal") {
            volatilityType_ = VolatilityType::Lognormal;
        } else if (volType == "ShiftedLognormal") {
            volatilityType_ = VolatilityType::ShiftedLognormal;
        } else {
            QL_FAIL(
                "VolatilityType '" << volType
                                   << "' not recognized. Expected one of 'Normal', 'Lognormal', 'ShiftedLognormal'.");
        }
 
        string outVolType = XMLUtils::getChildValue(node, "OutputVolatilityType", false);
        if (outVolType.empty())
            outputVolatilityType_ = volatilityType_;
        else if (outVolType == "Normal") {
            outputVolatilityType_ = VolatilityType::Normal;
        } else if (outVolType == "Lognormal") {
            outputVolatilityType_ = VolatilityType::Lognormal;
        } else if (outVolType == "ShiftedLognormal") {
            outputVolatilityType_ = VolatilityType::ShiftedLognormal;
        } else {
            QL_FAIL("OutputVolatilityType '"
                    << outVolType << "' not recognized. Expected one of 'Normal', 'Lognormal', 'ShiftedLognormal'.");
        }
 
        string interp = XMLUtils::getChildValue(node, "Interpolation", false, "Linear");
        if (interp == "Linear") {
            interpolation_ = Interpolation::Linear;
        } else {
            try {
                interpolation_ = Interpolation(static_cast<int>(parseSabrParametricVolatilityModelVariant(interp)));
            } catch (const std::exception& e) {
                QL_FAIL("Interpolation '" << interp << "' not recognized. Expected 'Linear' or a SABR variant ("
                                          << e.what() << ")");
            }
        }
 
        string extr = XMLUtils::getChildValue(node, "Extrapolation", false, "Flat");
        if (extr == "Linear") {
            extrapolation_ = Extrapolation::Linear;
        } else if (extr == "Flat") {
            extrapolation_ = Extrapolation::Flat;
        } else if (extr == "None") {
            extrapolation_ = Extrapolation::None;
        } else  {
            QL_FAIL("Extrapolation " << extr << " not recognized, expected one of 'Linear', 'Flat', 'None'.");
        }
 
        optionTenors_ = XMLUtils::getChildrenValuesAsStrings(node, "OptionTenors", true);
        underlyingTenors_ = XMLUtils::getChildrenValuesAsStrings(node, underlyingLabel_ + "Tenors", false);
 
        string cal = XMLUtils::getChildValue(node, "Calendar", true);
        calendar_ = parseCalendar(cal);
 
        string dc = XMLUtils::getChildValue(node, "DayCounter", true);
        dayCounter_ = parseDayCounter(dc);
 
        string bdc = XMLUtils::getChildValue(node, "BusinessDayConvention", true);
        businessDayConvention_ = parseBusinessDayConvention(bdc);
 
        if (requireSwapIndexBases_ || dimension_ == Dimension::Smile) {
            shortSwapIndexBase_ = XMLUtils::getChildValue(node, "ShortSwapIndexBase", true);
            swapIndexBase_ = XMLUtils::getChildValue(node, "SwapIndexBase", true);
        }
 
        // smile data
        if (dimension_ == Dimension::Smile) {
            smileOptionTenors_ = XMLUtils::getChildrenValuesAsStrings(node, "SmileOptionTenors", true);
            smileUnderlyingTenors_ =
                XMLUtils::getChildrenValuesAsStrings(node, "Smile" + underlyingLabel_ + "Tenors", true);
            smileSpreads_ = XMLUtils::getChildrenValuesAsStrings(node, "SmileSpreads", true);
        }
 
        // read qualifier from explicit field
        if (qualifierLabel_ != "")
            qualifier_ = XMLUtils::getChildValue(node, qualifierLabel_, true);
 
        // derive qualifier (=ccy) from swapIndexBase if not given explicitly
        if (qualifier_ == "")
            qualifier_ = ccyFromSwapIndexBase(swapIndexBase_);
 
        // optional quote tag to include
        quoteTag_ = XMLUtils::getChildValue(node, "QuoteTag", false);
 
        // Optional parametric smile configuration
        if(XMLNode* n = XMLUtils::getChildNode(node, "ParametricSmileConfiguration")) {
            parametricSmileConfiguration_ = ParametricSmileConfiguration();
            parametricSmileConfiguration_->fromXML(n);
        }
    }
 
    if (auto tmp = XMLUtils::getChildNode(node, "Report")) {
        reportConfig_.fromXML(tmp);
    }
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 292 of file genericyieldvolcurveconfig.cpp.

                                                                        {
    XMLNode* node = doc.allocNode(rootNodeLabel_);
    XMLUtils::addChild(doc, node, "CurveId", curveID_);
    XMLUtils::addChild(doc, node, "CurveDescription", curveDescription_);
 
    if (!proxySourceCurveId_.empty()) {
        // write out proxy config
        auto proxy = XMLUtils::addChild(doc, node, "ProxyConfig");
        auto source = XMLUtils::addChild(doc, proxy, "Source");
        auto target = XMLUtils::addChild(doc, proxy, "Target");
        XMLUtils::addChild(doc, source, "CurveId", proxySourceCurveId_);
        XMLUtils::addChild(doc, source, "ShortSwapIndexBase", proxySourceShortSwapIndexBase_);
        XMLUtils::addChild(doc, source, "SwapIndexBase", proxySourceSwapIndexBase_);
        XMLUtils::addChild(doc, target, "ShortSwapIndexBase", proxyTargetShortSwapIndexBase_);
        XMLUtils::addChild(doc, target, "SwapIndexBase", proxyTargetSwapIndexBase_);
    } else {
        // write out quote based config
        if (qualifierLabel_ != "")
            XMLUtils::addChild(doc, node, qualifierLabel_, qualifier_);
 
        if (dimension_ == Dimension::ATM) {
            XMLUtils::addChild(doc, node, "Dimension", "ATM");
        } else if (dimension_ == Dimension::Smile) {
            XMLUtils::addChild(doc, node, "Dimension", "Smile");
        } else {
            QL_FAIL("Unknown Dimension in GenericYieldVolatilityCurveConfig::toXML()");
        }
 
        if (volatilityType_ == VolatilityType::Normal) {
            XMLUtils::addChild(doc, node, "VolatilityType", "Normal");
        } else if (volatilityType_ == VolatilityType::Lognormal) {
            XMLUtils::addChild(doc, node, "VolatilityType", "Lognormal");
        } else if (volatilityType_ == VolatilityType::ShiftedLognormal) {
            XMLUtils::addChild(doc, node, "VolatilityType", "ShiftedLognormal");
        } else {
            QL_FAIL("Unknown VolatilityType in GenericYieldVolatilityCurveConfig::toXML()");
        }
 
        if (outputVolatilityType_ == VolatilityType::Normal) {
            XMLUtils::addChild(doc, node, "OutputVolatilityType", "Normal");
        } else if (outputVolatilityType_ == VolatilityType::Lognormal) {
            XMLUtils::addChild(doc, node, "OutputVolatilityType", "Lognormal");
        } else if (outputVolatilityType_ == VolatilityType::ShiftedLognormal) {
            XMLUtils::addChild(doc, node, "OutputVolatilityType", "ShiftedLognormal");
        } else {
            QL_FAIL("Unknown OutputVolatilityType in GenericYieldVolatilityCurveConfig::toXML()");
        }
 
        std::string extr_string;
        if (extrapolation_ == Extrapolation::None) {
            extr_string = "None";
        } else if (extrapolation_ == Extrapolation::Linear) {
            extr_string = "Linear";
        } else if (extrapolation_ == Extrapolation::Flat) {
            extr_string = "Flat";
        }
        XMLUtils::addChild(doc, node, "Extrapolation", extr_string);
 
        XMLUtils::addChild(doc, node, "DayCounter", to_string(dayCounter_));
        XMLUtils::addChild(doc, node, "Calendar", to_string(calendar_));
        XMLUtils::addChild(doc, node, "BusinessDayConvention", to_string(businessDayConvention_));
        XMLUtils::addGenericChildAsList(doc, node, "OptionTenors", optionTenors_);
        XMLUtils::addGenericChildAsList(doc, node, underlyingLabel_ + "Tenors", underlyingTenors_);
 
        if (requireSwapIndexBases_ || dimension_ == Dimension::Smile) {
            XMLUtils::addChild(doc, node, "ShortSwapIndexBase", shortSwapIndexBase_);
            XMLUtils::addChild(doc, node, "SwapIndexBase", swapIndexBase_);
        }
 
        if (dimension_ == Dimension::Smile) {
            XMLUtils::addGenericChildAsList(doc, node, "SmileOptionTenors", smileOptionTenors_);
            XMLUtils::addGenericChildAsList(doc, node, "Smile" + underlyingLabel_ + "Tenors", smileUnderlyingTenors_);
            XMLUtils::addGenericChildAsList(doc, node, "SmileSpreads", smileSpreads_);
        }
 
        if (!quoteTag_.empty()) {
            XMLUtils::addChild(doc, node, "QuoteTag", quoteTag_);
        }
    }
 
    XMLUtils::appendNode(node, reportConfig_.toXML(doc));
 
    return node;
}

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◆ qualifier() [1/2]

const string & qualifier ( ) const

Definition at line 114 of file genericyieldvolcurveconfig.hpp.

114{ return qualifier_; }

◆ dimension() [1/2]

Dimension dimension ( ) const

Definition at line 115 of file genericyieldvolcurveconfig.hpp.

115{ return dimension_; }

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◆ volatilityType() [1/2]

VolatilityType volatilityType ( ) const

Definition at line 116 of file genericyieldvolcurveconfig.hpp.

116{ return volatilityType_; }

◆ outputVolatilityType() [1/2]

VolatilityType outputVolatilityType ( ) const

Definition at line 117 of file genericyieldvolcurveconfig.hpp.

117{ return outputVolatilityType_; }

◆ interpolation() [1/2]

Interpolation interpolation ( ) const

Definition at line 118 of file genericyieldvolcurveconfig.hpp.

118{ return interpolation_; }

◆ extrapolation() [1/2]

Extrapolation extrapolation ( ) const

Definition at line 119 of file genericyieldvolcurveconfig.hpp.

119{ return extrapolation_; }

◆ optionTenors() [1/2]

const vector< string > & optionTenors ( ) const

Definition at line 120 of file genericyieldvolcurveconfig.hpp.

120{ return optionTenors_; }

◆ underlyingTenors() [1/2]

const vector< string > & underlyingTenors ( ) const

Definition at line 121 of file genericyieldvolcurveconfig.hpp.

121{ return underlyingTenors_; }

◆ dayCounter() [1/2]

const DayCounter & dayCounter ( ) const

Definition at line 122 of file genericyieldvolcurveconfig.hpp.

122{ return dayCounter_; }

◆ calendar() [1/2]

const Calendar & calendar ( ) const

Definition at line 123 of file genericyieldvolcurveconfig.hpp.

123{ return calendar_; }

◆ businessDayConvention() [1/2]

const BusinessDayConvention & businessDayConvention ( ) const

Definition at line 124 of file genericyieldvolcurveconfig.hpp.

124{ return businessDayConvention_; }

◆ shortSwapIndexBase() [1/2]

const string & shortSwapIndexBase ( ) const

Definition at line 125 of file genericyieldvolcurveconfig.hpp.

125{ return shortSwapIndexBase_; }

◆ swapIndexBase() [1/2]

const string & swapIndexBase ( ) const

Definition at line 126 of file genericyieldvolcurveconfig.hpp.

126{ return swapIndexBase_; }

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◆ smileOptionTenors() [1/2]

const vector< string > & smileOptionTenors ( ) const

Definition at line 127 of file genericyieldvolcurveconfig.hpp.

127{ return smileOptionTenors_; }

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◆ smileUnderlyingTenors() [1/2]

const vector< string > & smileUnderlyingTenors ( ) const

Definition at line 128 of file genericyieldvolcurveconfig.hpp.

128{ return smileUnderlyingTenors_; }

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◆ smileSpreads() [1/2]

const vector< string > & smileSpreads ( ) const

Definition at line 129 of file genericyieldvolcurveconfig.hpp.

129{ return smileSpreads_; }

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◆ quoteTag() [1/2]

const string & quoteTag ( ) const

Definition at line 130 of file genericyieldvolcurveconfig.hpp.

130{ return quoteTag_; }

◆ quotes()

const vector< string > & quotes ( )

overridevirtual

Return all the market quotes required for this config.

Reimplemented from CurveConfig.

Definition at line 103 of file genericyieldvolcurveconfig.cpp.

                                                                {
 
    if (quotes_.size() == 0 && proxySourceCurveId_.empty()) {
        std::stringstream ssBase;
        ssBase << marketDatumInstrumentLabel_ << "/" << volatilityType_ << "/" << qualifier_ << "/";
        if (!quoteTag_.empty())
            ssBase << quoteTag_ << "/";
        string base = ssBase.str();
 
        // add atm vols (always required)
        for (auto o : optionTenors_) {
            for (auto s : underlyingTenors_) {
                std::stringstream ss;
                ss << base << o << "/" << s << "/ATM";
                quotes_.push_back(ss.str());
            }
        }
 
        // add Smile Spreads, if dimension is Smile
        if (dimension_ == Dimension::Smile) {
            for (auto o : smileOptionTenors_) {
                for (auto s : smileUnderlyingTenors_) {
                    for (auto sp : smileSpreads_) {
                        std::stringstream ss;
                        ss << base << o << "/" << s << "/Smile/" << sp;
                        quotes_.push_back(ss.str());
                    }
                }
            }
        }
        // add SHIFT quotes, if vol type is SLN
        for (auto s : underlyingTenors_) {
            if (volatilityType_ == VolatilityType::ShiftedLognormal) {
                std::stringstream ss;
                ss << marketDatumInstrumentLabel_ << "/SHIFT/" << qualifier_ << "/"
                   << (quoteTag_.empty() ? "" : quoteTag_ + "/") << s;
                quotes_.push_back(ss.str());
            }
        }
    }
    return quotes_;
}

◆ proxySourceCurveId()

const std::string & proxySourceCurveId ( ) const

Definition at line 133 of file genericyieldvolcurveconfig.hpp.

133{ return proxySourceCurveId_; }

◆ proxySourceShortSwapIndexBase()

const std::string & proxySourceShortSwapIndexBase ( ) const

Definition at line 134 of file genericyieldvolcurveconfig.hpp.

134{ return proxySourceShortSwapIndexBase_; }

◆ proxySourceSwapIndexBase()

const std::string & proxySourceSwapIndexBase ( ) const

Definition at line 135 of file genericyieldvolcurveconfig.hpp.

135{ return proxySourceSwapIndexBase_; }

◆ proxyTargetShortSwapIndexBase()

const std::string & proxyTargetShortSwapIndexBase ( ) const

Definition at line 136 of file genericyieldvolcurveconfig.hpp.

136{ return proxyTargetShortSwapIndexBase_; }

◆ proxyTargetSwapIndexBase()

const std::string & proxyTargetSwapIndexBase ( ) const

Definition at line 137 of file genericyieldvolcurveconfig.hpp.

137{ return proxyTargetSwapIndexBase_; }

◆ parametricSmileConfiguration()

const boost::optional< ParametricSmileConfiguration > parametricSmileConfiguration ( ) const

Definition at line 139 of file genericyieldvolcurveconfig.hpp.

                                                                                           {
        return parametricSmileConfiguration_;
    }

◆ reportConfig()

const ReportConfig & reportConfig ( ) const

Definition at line 143 of file genericyieldvolcurveconfig.hpp.

143{ return reportConfig_; }

◆ qualifier() [2/2]

string & qualifier ( )

Definition at line 148 of file genericyieldvolcurveconfig.hpp.

148{ return qualifier_; }

◆ dimension() [2/2]

Dimension & dimension ( )

Definition at line 149 of file genericyieldvolcurveconfig.hpp.

149{ return dimension_; }

◆ volatilityType() [2/2]

VolatilityType & volatilityType ( )

Definition at line 150 of file genericyieldvolcurveconfig.hpp.

150{ return volatilityType_; }

◆ outputVolatilityType() [2/2]

VolatilityType & outputVolatilityType ( )

Definition at line 151 of file genericyieldvolcurveconfig.hpp.

151{ return outputVolatilityType_; }

◆ interpolation() [2/2]

Interpolation & interpolation ( )

Definition at line 152 of file genericyieldvolcurveconfig.hpp.

152{ return interpolation_; }

◆ extrapolation() [2/2]

Extrapolation & extrapolation ( )

Definition at line 153 of file genericyieldvolcurveconfig.hpp.

153{ return extrapolation_; }

◆ optionTenors() [2/2]

vector< string > & optionTenors ( )

Definition at line 154 of file genericyieldvolcurveconfig.hpp.

154{ return optionTenors_; }

◆ underlyingTenors() [2/2]

vector< string > & underlyingTenors ( )

Definition at line 155 of file genericyieldvolcurveconfig.hpp.

155{ return underlyingTenors_; }

◆ dayCounter() [2/2]

DayCounter & dayCounter ( )

Definition at line 156 of file genericyieldvolcurveconfig.hpp.

156{ return dayCounter_; }

◆ calendar() [2/2]

Calendar & calendar ( )

Definition at line 157 of file genericyieldvolcurveconfig.hpp.

157{ return calendar_; }

◆ businessDayConvention() [2/2]

BusinessDayConvention & businessDayConvention ( )

Definition at line 158 of file genericyieldvolcurveconfig.hpp.

158{ return businessDayConvention_; }

◆ shortSwapIndexBase() [2/2]

string & shortSwapIndexBase ( )

Definition at line 159 of file genericyieldvolcurveconfig.hpp.

159{ return shortSwapIndexBase_; }

◆ swapIndexBase() [2/2]

string & swapIndexBase ( )

Definition at line 160 of file genericyieldvolcurveconfig.hpp.

160{ return swapIndexBase_; }

◆ smileOptionTenors() [2/2]

vector< string > & smileOptionTenors ( )

Definition at line 161 of file genericyieldvolcurveconfig.hpp.

161{ return smileOptionTenors_; }

◆ smileUnderlyingTenors() [2/2]

vector< string > & smileUnderlyingTenors ( )

Definition at line 162 of file genericyieldvolcurveconfig.hpp.

162{ return smileUnderlyingTenors_; }

◆ smileSpreads() [2/2]

vector< string > & smileSpreads ( )

Definition at line 163 of file genericyieldvolcurveconfig.hpp.

163{ return smileSpreads_; }

◆ quoteTag() [2/2]

string & quoteTag ( )

Definition at line 164 of file genericyieldvolcurveconfig.hpp.

164{ return quoteTag_; }

◆ populateRequiredCurveIds()

void populateRequiredCurveIds ( )

private

Definition at line 96 of file genericyieldvolcurveconfig.cpp.

                                                                 {
    if (!proxySourceCurveId_.empty()) {
        requiredCurveIds_[CurveSpec::CurveType::SwaptionVolatility].insert(
            parseCurveSpec(proxySourceCurveId_)->curveConfigID());
    }
}

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◆ ccyFromSwapIndexBase()

string ccyFromSwapIndexBase ( const std::string & swapIndexBase )

private

Definition at line 146 of file genericyieldvolcurveconfig.cpp.

                                                                                             {
    std::vector<string> tokens;
    split(tokens, swapIndexBase, boost::is_any_of("-"));
    QL_REQUIRE(!tokens.empty() && tokens[0] != "",
               "GenericYieldVolatilityCurveConfig::fromXML(): can not derive qualifier from SwapIndexBase ("
                   << swapIndexBase << ")");
    return tokens[0];
}