InfDkData Class Reference

#include <ored/model/inflation/infdkdata.hpp>

Inheritance diagram for InfDkData:

Collaboration diagram for InfDkData:

Public Member Functions
	InfDkData ()
	Default constructor. More...
	InfDkData (CalibrationType calibrationType, const std::vector< CalibrationBasket > &calibrationBaskets, const std::string &currency, const std::string &index, const ReversionParameter &reversion, const VolatilityParameter &volatility, const LgmReversionTransformation &reversionTransformation=LgmReversionTransformation(), const bool ignoreDuplicateCalibrationExpiryTimes=false)
	Detailed constructor. More...
Inspectors
const ReversionParameter &	reversion () const
const VolatilityParameter &	volatility () const
const LgmReversionTransformation &	reversionTransformation () const
Public Member Functions inherited from InflationModelData
	InflationModelData ()
	Default constructor. The currency and inflation index are empty. More...
	InflationModelData (CalibrationType calibrationType, const std::vector< CalibrationBasket > &calibrationBaskets, const std::string &currency, const std::string &index, const bool ignoreDuplicateCalibrationExpiryTimes)
const std::string &	currency () const
const std::string &	index () const
bool	ignoreDuplicateCalibrationExpiryTimes () const
void	fromXML (XMLNode *node) override
Public Member Functions inherited from ModelData
	ModelData ()
	Default constructor. More...
	ModelData (CalibrationType calibrationType, const std::vector< CalibrationBasket > &calibrationBaskets)
	Detailed constructor. More...
CalibrationType	calibrationType () const
const std::vector< CalibrationBasket > &	calibrationBaskets () const
void	fromXML (XMLNode *node) override
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...

Serialisation
ReversionParameter	reversion_
VolatilityParameter	volatility_
LgmReversionTransformation	reversionTransformation_
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
void	populateCalibrationBaskets (XMLNode *node)
	Support legacy XML interface for reading calibration instruments. More...

Additional Inherited Members
Protected Member Functions inherited from InflationModelData
void	append (XMLDocument &doc, XMLNode *node) const override
	Method used by toXML in derived classes to add the members here to a node. More...
Protected Member Functions inherited from ModelData
Protected Attributes inherited from ModelData
std::vector< CalibrationBasket >	calibrationBaskets_

Detailed Description

Dodgson Kainth inflation model data

Model data specifying the Dodgson Kainth inflation model described in Modern Derivatives Pricing and Credit Exposure Analysis, Chapter 13.

Definition at line 43 of file infdkdata.hpp.

Constructor & Destructor Documentation

InfDkData() [1/2]

InfDkData

(

)

Default constructor.

Definition at line 28 of file infdkdata.cpp.

{}

InfDkData() [2/2]

InfDkData	(	CalibrationType	calibrationType,
		const std::vector< CalibrationBasket > &	calibrationBaskets,
		const std::string &	currency,
		const std::string &	index,
		const ReversionParameter &	reversion,
		const VolatilityParameter &	volatility,
		const LgmReversionTransformation &	reversionTransformation = LgmReversionTransformation(),
		const bool	ignoreDuplicateCalibrationExpiryTimes = false
	)

Detailed constructor.

Definition at line 30 of file infdkdata.cpp.

    : InflationModelData(calibrationType, calibrationBaskets, currency, index, ignoreDuplicateCalibrationExpiryTimes),
      reversion_(reversion),
      volatility_(volatility),
      reversionTransformation_(reversionTransformation) {}

Member Function Documentation

reversion()

const ReversionParameter & reversion

(

)

const

Definition at line 43 of file infdkdata.cpp.

                                                     {
    return reversion_;
}

volatility()

const VolatilityParameter & volatility

(

)

const

Definition at line 47 of file infdkdata.cpp.

                                                       {
    return volatility_;
}

reversionTransformation()

const LgmReversionTransformation & reversionTransformation

(

)

const

Definition at line 51 of file infdkdata.cpp.

                                                                           {
    return reversionTransformation_;
}

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 55 of file infdkdata.cpp.

                                     {
    
    // Check the node is not null and that name is LGM or DodgsonKainth. LGM is for backward compatibility.
    QL_REQUIRE(node, "XML Node should not be null");
    QL_REQUIRE(XMLUtils::getNodeName(node) == "LGM" || XMLUtils::getNodeName(node) == "DodgsonKainth", "Expected " <<
        "node name to be either LGM or DodgsonKainth");
 
    InflationModelData::fromXML(node);
    reversion_.fromXML(XMLUtils::getChildNode(node, "Reversion"));
    volatility_.fromXML(XMLUtils::getChildNode(node, "Volatility"));
 
    // Read in calibration instruments to create calibration baskets. We support the legacy XML interface which was 
    // a single CalibrationCapFloors node and the new interface which is a vector of serialisable CalibrationBasket 
    // objects.
    if (XMLNode* n = XMLUtils::getChildNode(node, "CalibrationCapFloors")) {
        // Check that we have not already populated the calibration baskets.
        QL_REQUIRE(calibrationBaskets_.empty(), "Calibration baskets have already been populated.");
        // Legacy interface.
        populateCalibrationBaskets(n);
    }
 
    if (XMLNode* n = XMLUtils::getChildNode(node, "ParameterTransformation")) {
        reversionTransformation_.fromXML(n);
    }
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 81 of file infdkdata.cpp.

                                                {
 
    XMLNode* node = doc.allocNode("DodgsonKainth");
    InflationModelData::append(doc, node);
    XMLUtils::appendNode(node, reversion_.toXML(doc));
    XMLUtils::appendNode(node, volatility_.toXML(doc));
    XMLUtils::appendNode(node, reversionTransformation_.toXML(doc));
 
    return node;
}

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populateCalibrationBaskets()

void populateCalibrationBaskets ( XMLNode *  node )

private

Support legacy XML interface for reading calibration instruments.

Definition at line 92 of file infdkdata.cpp.

                                                        {
 
    // Get the values from the XML
    auto type = parseCapFloorType(XMLUtils::getChildValue(node, "CapFloor", true));
    auto maturities = XMLUtils::getChildrenValuesAsStrings(node, "Expiries", true);
    auto strikes = XMLUtils::getChildrenValuesAsStrings(node, "Strikes", true);
 
    if (!strikes.empty()) {
        
        QL_REQUIRE(strikes.size() == maturities.size(), "Number of maturities and strikes for inflation index " <<
            index() << " should match but got " << strikes.size() << " strikes and " << maturities.size() <<
            " maturities.");
        
        // If any of the strikes are ATM, relabel to ATM/AtmFwd so that parseBaseStrike works below.
        for (string& s : strikes) {
            if (s == "ATM")
                s = "ATM/AtmFwd";
        }
    } else {
        // Default to ATM if no strikes provided.
        strikes.resize(maturities.size(), "ATM/AtmFwd");
    }
 
    // Create a vector of CPI cap floor calibration instruments.
    vector<QuantLib::ext::shared_ptr<CalibrationInstrument>> instruments;
    for (Size i = 0; i < maturities.size(); ++i) {
        auto p = parseDateOrPeriod(maturities[i]);
        QuantLib::ext::shared_ptr<BaseStrike> s = parseBaseStrike(strikes[i]);
        instruments.push_back(QuantLib::ext::make_shared<CpiCapFloor>(type, p, s));
    }
 
    // Populate the calibrationBaskets_ member.
    calibrationBaskets_ = { CalibrationBasket(instruments) };
}

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Member Data Documentation

reversion_

ReversionParameter reversion_

private

Definition at line 73 of file infdkdata.hpp.

volatility_

VolatilityParameter volatility_

private

Definition at line 74 of file infdkdata.hpp.

reversionTransformation_

LgmReversionTransformation reversionTransformation_

private

Definition at line 75 of file infdkdata.hpp.