InflationCapFloorVolatilityCurveConfig Class Reference

Inflation CapFloor volatility curve configuration class. More...

#include <ored/configuration/inflationcapfloorvolcurveconfig.hpp>

Inheritance diagram for InflationCapFloorVolatilityCurveConfig:

Collaboration diagram for InflationCapFloorVolatilityCurveConfig:

Public Types
enum class	Type { ZC , YY }
enum class	VolatilityType { Lognormal , Normal , ShiftedLognormal }
enum class	QuoteType { Price , Volatility }

Public Member Functions
	InflationCapFloorVolatilityCurveConfig ()
	InflationCapFloorVolatilityCurveConfig (const string &curveID, const string &curveDescription, const Type type, const QuoteType &quoteType, const VolatilityType &volatilityType, const bool extrapolate, const vector< string > &tenors, const vector< string > &capStrikes, const vector< string > &floorStrikes, const vector< string > &strikes, const DayCounter &dayCounter, Natural settleDays, const Calendar &calendar, const BusinessDayConvention &businessDayConvention, const string &index, const string &indexCurve, const string &yieldTermStructure, const Period &observationLag, const std::string &quoteIndex="", const std::string &conventions="", const bool useLastAvailableFixingDate=false)
XMLSerializable interface
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
Inspectors
const Type &	type () const
const QuoteType &	quoteType () const
const VolatilityType &	volatilityType () const
const bool &	extrapolate () const
const vector< string > &	tenors () const
const vector< string > &	strikes () const
const vector< string > &	capStrikes () const
const vector< string > &	floorStrikes () const
const DayCounter &	dayCounter () const
const Natural &	settleDays () const
const Calendar &	calendar () const
const BusinessDayConvention &	businessDayConvention () const
const string &	index () const
const string &	indexCurve () const
const string &	yieldTermStructure () const
const vector< string > &	quotes () override
	Return all the market quotes required for this config. More...
const Period &	observationLag () const
const std::string &	quoteIndex () const
const std::string &	conventions () const
const bool &	useLastAvailableFixingDate () 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
Type	type_
QuoteType	quoteType_
VolatilityType	volatilityType_
bool	extrapolate_
vector< string >	tenors_
vector< string >	capStrikes_
vector< string >	floorStrikes_
vector< string >	strikes_
DayCounter	dayCounter_
Natural	settleDays_
Calendar	calendar_
BusinessDayConvention	businessDayConvention_
string	index_
string	indexCurve_
string	yieldTermStructure_
Period	observationLag_
std::string	quoteIndex_
std::string	conventions_
bool	useLastAvailableFixingDate_
Type &	type ()
QuoteType &	quoteType ()
VolatilityType &	volatilityType ()
bool &	extrapolate ()
vector< string > &	tenors ()
vector< string > &	strikes ()
vector< string > &	capStrikes ()
vector< string > &	floorStrikes ()
DayCounter &	dayCounter ()
Natural &	settleDays ()
Calendar &	calendar ()
string &	index ()
string &	indexCurve ()
string &	yieldTermStructure ()
Period &	observationLag ()
std::string &	quoteIndex ()
std::string &	conventions ()
bool &	useLastAvailableFixingDate ()
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

Inflation CapFloor volatility curve configuration class.

Definition at line 47 of file inflationcapfloorvolcurveconfig.hpp.

Member Enumeration Documentation

Type

enum class Type

strong

Enumerator
ZC
YY

Definition at line 49 of file inflationcapfloorvolcurveconfig.hpp.

{ ZC, YY };

VolatilityType

enum class VolatilityType

strong

Enumerator
Lognormal
Normal
ShiftedLognormal

Definition at line 50 of file inflationcapfloorvolcurveconfig.hpp.

{ Lognormal, Normal, ShiftedLognormal };

QuoteType

enum class QuoteType

strong

Enumerator
Price
Volatility

Definition at line 51 of file inflationcapfloorvolcurveconfig.hpp.

{ Price, Volatility };

Constructor & Destructor Documentation

InflationCapFloorVolatilityCurveConfig() [1/2]

InflationCapFloorVolatilityCurveConfig

(

)

Definition at line 53 of file inflationcapfloorvolcurveconfig.hpp.

{}

InflationCapFloorVolatilityCurveConfig() [2/2]

InflationCapFloorVolatilityCurveConfig	(	const string &	curveID,
		const string &	curveDescription,
		const Type	type,
		const QuoteType &	quoteType,
		const VolatilityType &	volatilityType,
		const bool	extrapolate,
		const vector< string > &	tenors,
		const vector< string > &	capStrikes,
		const vector< string > &	floorStrikes,
		const vector< string > &	strikes,
		const DayCounter &	dayCounter,
		Natural	settleDays,
		const Calendar &	calendar,
		const BusinessDayConvention &	businessDayConvention,
		const string &	index,
		const string &	indexCurve,
		const string &	yieldTermStructure,
		const Period &	observationLag,
		const std::string &	quoteIndex = "",
		const std::string &	conventions = "",
		const bool	useLastAvailableFixingDate = false
	)

Definition at line 56 of file inflationcapfloorvolcurveconfig.cpp.

    : CurveConfig(curveID, curveDescription), type_(type), quoteType_(quoteType), volatilityType_(volatilityType),
      extrapolate_(extrapolate), tenors_(tenors), capStrikes_(capStrikes), floorStrikes_(floorStrikes),
      strikes_(strikes), dayCounter_(dayCounter), settleDays_(settleDays), calendar_(calendar),
      businessDayConvention_(businessDayConvention), index_(index), indexCurve_(indexCurve),
      yieldTermStructure_(yieldTermStructure), observationLag_(observationLag), quoteIndex_(quoteIndex),
      conventions_(conventions), useLastAvailableFixingDate_(useLastAvailableFixingDate) {
    populateRequiredCurveIds();
}

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Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 125 of file inflationcapfloorvolcurveconfig.cpp.

                                                                  {
    XMLUtils::checkNode(node, "InflationCapFloorVolatility");
 
    curveID_ = XMLUtils::getChildValue(node, "CurveId", true);
    curveDescription_ = XMLUtils::getChildValue(node, "CurveDescription", true);
 
    string type = XMLUtils::getChildValue(node, "Type", true);
    if (type == "ZC") {
        type_ = Type::ZC;
    } else if (type == "YY") {
        type_ = Type::YY;
    } else
        QL_FAIL("Type " << type << " not recognized");
 
    // Get the quote type
    string quoteType = XMLUtils::getChildValue(node, "QuoteType", true);
    if (quoteType == "Price") {
        quoteType_ = QuoteType::Price;
    } else if (quoteType == "Volatility") {
        quoteType_ = QuoteType::Volatility;
    } else {
        QL_FAIL("Quote type, " << quoteType << ", not recognized");
    }
 
    // Get the volatility type
    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("Volatility type, " << volType << ", not recognized");
    }
    extrapolate_ = XMLUtils::getChildValueAsBool(node, "Extrapolation", true);
    tenors_ = XMLUtils::getChildrenValuesAsStrings(node, "Tenors", true);
 
    // We are requiring explicit strikes so there should be at least one strike
    if (quoteType_ == QuoteType::Price) {
        capStrikes_ = XMLUtils::getChildrenValuesAsStrings(node, "CapStrikes", true);
        floorStrikes_ = XMLUtils::getChildrenValuesAsStrings(node, "FloorStrikes", true);
        QL_REQUIRE(!capStrikes_.empty() || !floorStrikes_.empty(),
                   "CapStrikes or FloorStrikes node should not be empty");
        // Set strikes to the sorted union of cap and floor strikes
        std::set<Real> strikeSet;
        for (Size i = 0; i < capStrikes_.size(); ++i)
            strikeSet.insert(parseReal(capStrikes_[i]));
        for (Size i = 0; i < floorStrikes_.size(); ++i)
            strikeSet.insert(parseReal(floorStrikes_[i]));
        strikes_.clear();
        for (auto s : strikeSet)
            strikes_.push_back(to_string(s));
        for (Size i = 0; i < strikes_.size(); ++i)
            DLOG("ZC Inflation Cap/Floor Strike " << i << " = " << strikes_[i]);
    } else {
        strikes_ = XMLUtils::getChildrenValuesAsStrings(node, "Strikes", true);
        QL_REQUIRE(!strikes_.empty(), "Strikes node should not be empty");
    }
    settleDays_ = 0; // optional
    if (XMLNode* n = XMLUtils::getChildNode(node, "SettlementDays")) {
        Integer d = parseInteger(XMLUtils::getNodeValue(n));
        QL_REQUIRE(d >= 0, "SettlementDays (" << d << ") must be non-negative");
        settleDays_ = static_cast<Natural>(d);
    }
    calendar_ = parseCalendar(XMLUtils::getChildValue(node, "Calendar", true));
    dayCounter_ = parseDayCounter(XMLUtils::getChildValue(node, "DayCounter", true));
    businessDayConvention_ = parseBusinessDayConvention(XMLUtils::getChildValue(node, "BusinessDayConvention", true));
    index_ = XMLUtils::getChildValue(node, "Index", true);
    indexCurve_ = XMLUtils::getChildValue(node, "IndexCurve", true);
    yieldTermStructure_ = XMLUtils::getChildValue(node, "YieldTermStructure", true);
    observationLag_ = parsePeriod(XMLUtils::getChildValue(node, "ObservationLag", true));
    quoteIndex_ = XMLUtils::getChildValue(node, "QuoteIndex", false);
    conventions_ = XMLUtils::getChildValue(node, "Conventions", false, "");
    useLastAvailableFixingDate_ =
        XMLUtils::getChildValueAsBool(node, "UseLastFixingDate", false, false);
    populateRequiredCurveIds();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 204 of file inflationcapfloorvolcurveconfig.cpp.

                                                                             {
    XMLNode* node = doc.allocNode("InflationCapFloorVolatility");
 
    XMLUtils::addChild(doc, node, "CurveId", curveID_);
    XMLUtils::addChild(doc, node, "CurveDescription", curveDescription_);
 
    if (type_ == Type::ZC) {
        XMLUtils::addChild(doc, node, "Type", "ZC");
    } else if (type_ == Type::YY) {
        XMLUtils::addChild(doc, node, "Type", "YY");
    } else
        QL_FAIL("Unknown Type in InflationCapFloorVolatilityCurveConfig::toXML()");
 
    if (quoteType_ == QuoteType::Price) {
        XMLUtils::addChild(doc, node, "QuoteType", "Price");
    } else if (quoteType_ == QuoteType::Volatility) {
        XMLUtils::addChild(doc, node, "QuoteType", "Volatility");
    } else {
        QL_FAIL("Unknown QuoteType in InflationCapFloorVolatilityCurveConfig::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 InflationCapFloorVolatilityCurveConfig::toXML()");
    }
 
    XMLUtils::addChild(doc, node, "Extrapolation", extrapolate_);
    XMLUtils::addGenericChildAsList(doc, node, "Tenors", tenors_);
    XMLUtils::addChild(doc, node, "SettlementDays", static_cast<int>(settleDays_));
    XMLUtils::addGenericChildAsList(doc, node, "CapStrikes", capStrikes_);
    XMLUtils::addGenericChildAsList(doc, node, "FloorStrikes", floorStrikes_);
    XMLUtils::addGenericChildAsList(doc, node, "Strikes", strikes_);
    XMLUtils::addChild(doc, node, "Calendar", to_string(calendar_));
    XMLUtils::addChild(doc, node, "DayCounter", to_string(dayCounter_));
    XMLUtils::addChild(doc, node, "BusinessDayConvention", to_string(businessDayConvention_));
    XMLUtils::addChild(doc, node, "Index", index_);
    XMLUtils::addChild(doc, node, "IndexCurve", indexCurve_);
    XMLUtils::addChild(doc, node, "ObservationLag", to_string(observationLag_));
    XMLUtils::addChild(doc, node, "YieldTermStructure", yieldTermStructure_);
    if (!quoteIndex_.empty())
        XMLUtils::addChild(doc, node, "QuoteIndex", quoteIndex_);
    if (!conventions_.empty())
        XMLUtils::addChild(doc, node, "Conventions", conventions_);
    if (useLastAvailableFixingDate_)
        XMLUtils::addChild(doc, node, "UseLastFixingDate", useLastAvailableFixingDate_);
    return node;
}

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type() [1/2]

const Type & type

(

)

const

Definition at line 71 of file inflationcapfloorvolcurveconfig.hpp.

{ return type_; }

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quoteType() [1/2]

const QuoteType & quoteType

(

)

const

Definition at line 72 of file inflationcapfloorvolcurveconfig.hpp.

{ return quoteType_; }

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volatilityType() [1/2]

const VolatilityType & volatilityType

(

)

const

Definition at line 73 of file inflationcapfloorvolcurveconfig.hpp.

{ return volatilityType_; }

extrapolate() [1/2]

const bool & extrapolate

(

)

const

Definition at line 74 of file inflationcapfloorvolcurveconfig.hpp.

{ return extrapolate_; }

tenors() [1/2]

const vector< string > & tenors

(

)

const

Definition at line 75 of file inflationcapfloorvolcurveconfig.hpp.

{ return tenors_; }

strikes() [1/2]

const vector< string > & strikes

(

)

const

Definition at line 76 of file inflationcapfloorvolcurveconfig.hpp.

{ return strikes_; }

capStrikes() [1/2]

const vector< string > & capStrikes

(

)

const

Definition at line 77 of file inflationcapfloorvolcurveconfig.hpp.

{ return capStrikes_; }

floorStrikes() [1/2]

const vector< string > & floorStrikes

(

)

const

Definition at line 78 of file inflationcapfloorvolcurveconfig.hpp.

{ return floorStrikes_; }

dayCounter() [1/2]

const DayCounter & dayCounter

(

)

const

Definition at line 79 of file inflationcapfloorvolcurveconfig.hpp.

{ return dayCounter_; }

settleDays() [1/2]

const Natural & settleDays

(

)

const

Definition at line 80 of file inflationcapfloorvolcurveconfig.hpp.

{ return settleDays_; }

calendar() [1/2]

const Calendar & calendar

(

)

const

Definition at line 81 of file inflationcapfloorvolcurveconfig.hpp.

{ return calendar_; }

businessDayConvention()

const BusinessDayConvention & businessDayConvention

(

)

const

Definition at line 82 of file inflationcapfloorvolcurveconfig.hpp.

{ return businessDayConvention_; }

index() [1/2]

const string & index

(

)

const

Definition at line 83 of file inflationcapfloorvolcurveconfig.hpp.

{ return index_; }

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indexCurve() [1/2]

const string & indexCurve

(

)

const

Definition at line 84 of file inflationcapfloorvolcurveconfig.hpp.

{ return indexCurve_; }

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yieldTermStructure() [1/2]

const string & yieldTermStructure

(

)

const

Definition at line 85 of file inflationcapfloorvolcurveconfig.hpp.

{ return yieldTermStructure_; }

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quotes()

const vector< string > & quotes ( )

overridevirtual

Return all the market quotes required for this config.

Reimplemented from CurveConfig.

Definition at line 80 of file inflationcapfloorvolcurveconfig.cpp.

                                                                     {
    if (quotes_.size() == 0) {
 
        string type;
        if (type_ == Type::ZC)
            type = "ZC";
        else if (type_ == Type::YY)
            type = "YY";
 
        // Determine the index string to use for the quotes.
        string index = quoteIndex_.empty() ? index_ : quoteIndex_;
 
        std::stringstream ssBase;
        if (quoteType_ == QuoteType::Price)
            ssBase << type << "_INFLATIONCAPFLOOR/PRICE/" << index << "/";
        else
            ssBase << type << "_INFLATIONCAPFLOOR/" << volatilityType_ << "/" << index << "/";
        string base = ssBase.str();
 
        // TODO: how to tell if atmFlag or relative flag should be true
        for (auto t : tenors_) {
            if (quoteType_ == QuoteType::Price) {
                for (auto s : capStrikes_) {
                    quotes_.push_back(base + t + "/C/" + s);
                }
                for (auto s : floorStrikes_) {
                    quotes_.push_back(base + t + "/F/" + s);
                }
            } else {
                for (auto s : strikes_) {
                    quotes_.push_back(base + t + "/F/" + s);
                }
            }
        }
 
        if (volatilityType_ == VolatilityType::ShiftedLognormal) {
            for (auto t : tenors_) {
                std::stringstream ss;
                quotes_.push_back(type + "_INFLATIONCAPFLOOR/SHIFT/" + index + "/" + t);
            }
        }
    }
    return quotes_;
}

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observationLag() [1/2]

const Period & observationLag

(

)

const

Definition at line 87 of file inflationcapfloorvolcurveconfig.hpp.

{ return observationLag_; }

quoteIndex() [1/2]

const std::string & quoteIndex

(

)

const

Definition at line 88 of file inflationcapfloorvolcurveconfig.hpp.

{ return quoteIndex_; }

conventions() [1/2]

const std::string & conventions

(

)

const

Definition at line 89 of file inflationcapfloorvolcurveconfig.hpp.

{ return conventions_; }

useLastAvailableFixingDate() [1/2]

const bool & useLastAvailableFixingDate

(

)

const

Definition at line 90 of file inflationcapfloorvolcurveconfig.hpp.

{ return useLastAvailableFixingDate_; }

type() [2/2]

Type & type

(

)

Definition at line 95 of file inflationcapfloorvolcurveconfig.hpp.

{ return type_; }

quoteType() [2/2]

QuoteType & quoteType

(

)

Definition at line 96 of file inflationcapfloorvolcurveconfig.hpp.

{ return quoteType_; }

volatilityType() [2/2]

VolatilityType & volatilityType

(

)

Definition at line 97 of file inflationcapfloorvolcurveconfig.hpp.

{ return volatilityType_; }

extrapolate() [2/2]

bool & extrapolate

(

)

Definition at line 98 of file inflationcapfloorvolcurveconfig.hpp.

{ return extrapolate_; }

tenors() [2/2]

vector< string > & tenors

(

)

Definition at line 99 of file inflationcapfloorvolcurveconfig.hpp.

{ return tenors_; }

strikes() [2/2]

vector< string > & strikes

(

)

Definition at line 100 of file inflationcapfloorvolcurveconfig.hpp.

{ return strikes_; }

capStrikes() [2/2]

vector< string > & capStrikes

(

)

Definition at line 101 of file inflationcapfloorvolcurveconfig.hpp.

{ return capStrikes_; }

floorStrikes() [2/2]

vector< string > & floorStrikes

(

)

Definition at line 102 of file inflationcapfloorvolcurveconfig.hpp.

{ return floorStrikes_; }

dayCounter() [2/2]

DayCounter & dayCounter

(

)

Definition at line 103 of file inflationcapfloorvolcurveconfig.hpp.

{ return dayCounter_; }

settleDays() [2/2]

Natural & settleDays

(

)

Definition at line 104 of file inflationcapfloorvolcurveconfig.hpp.

{ return settleDays_; }

calendar() [2/2]

Calendar & calendar

(

)

Definition at line 105 of file inflationcapfloorvolcurveconfig.hpp.

{ return calendar_; }

index() [2/2]

string & index

(

)

Definition at line 106 of file inflationcapfloorvolcurveconfig.hpp.

{ return index_; }

indexCurve() [2/2]

string & indexCurve

(

)

Definition at line 107 of file inflationcapfloorvolcurveconfig.hpp.

{ return indexCurve_; }

yieldTermStructure() [2/2]

string & yieldTermStructure

(

)

Definition at line 108 of file inflationcapfloorvolcurveconfig.hpp.

{ return yieldTermStructure_; }

observationLag() [2/2]

Period & observationLag

(

)

Definition at line 109 of file inflationcapfloorvolcurveconfig.hpp.

{ return observationLag_; }

quoteIndex() [2/2]

std::string & quoteIndex

(

)

Definition at line 110 of file inflationcapfloorvolcurveconfig.hpp.

{ return quoteIndex_; }

conventions() [2/2]

std::string & conventions

(

)

Definition at line 111 of file inflationcapfloorvolcurveconfig.hpp.

{ return conventions_; }

useLastAvailableFixingDate() [2/2]

bool & useLastAvailableFixingDate

(

)

Definition at line 112 of file inflationcapfloorvolcurveconfig.hpp.

{ return useLastAvailableFixingDate_; }

populateRequiredCurveIds()

void populateRequiredCurveIds ( )

private

Definition at line 73 of file inflationcapfloorvolcurveconfig.cpp.

                                                                      {
    if (!yieldTermStructure().empty())
        requiredCurveIds_[CurveSpec::CurveType::Yield].insert(parseCurveSpec(yieldTermStructure())->curveConfigID());
    if (!indexCurve().empty())
        requiredCurveIds_[CurveSpec::CurveType::Inflation].insert(parseCurveSpec(indexCurve())->curveConfigID());
}

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Member Data Documentation

type_

Type type_

private

Definition at line 118 of file inflationcapfloorvolcurveconfig.hpp.

quoteType_

QuoteType quoteType_

private

Definition at line 119 of file inflationcapfloorvolcurveconfig.hpp.

volatilityType_

VolatilityType volatilityType_

private

Definition at line 120 of file inflationcapfloorvolcurveconfig.hpp.

extrapolate_

bool extrapolate_

private

Definition at line 121 of file inflationcapfloorvolcurveconfig.hpp.

tenors_

vector<string> tenors_

private

Definition at line 122 of file inflationcapfloorvolcurveconfig.hpp.

capStrikes_

vector<string> capStrikes_

private

Definition at line 123 of file inflationcapfloorvolcurveconfig.hpp.

floorStrikes_

vector<string> floorStrikes_

private

Definition at line 124 of file inflationcapfloorvolcurveconfig.hpp.

strikes_

vector<string> strikes_

private

Definition at line 125 of file inflationcapfloorvolcurveconfig.hpp.

dayCounter_

DayCounter dayCounter_

private

Definition at line 126 of file inflationcapfloorvolcurveconfig.hpp.

settleDays_

Natural settleDays_

private

Definition at line 127 of file inflationcapfloorvolcurveconfig.hpp.

calendar_

Calendar calendar_

private

Definition at line 128 of file inflationcapfloorvolcurveconfig.hpp.

businessDayConvention_

BusinessDayConvention businessDayConvention_

private

Definition at line 129 of file inflationcapfloorvolcurveconfig.hpp.

index_

string index_

private

Definition at line 130 of file inflationcapfloorvolcurveconfig.hpp.

indexCurve_

string indexCurve_

private

Definition at line 131 of file inflationcapfloorvolcurveconfig.hpp.

yieldTermStructure_

string yieldTermStructure_

private

Definition at line 132 of file inflationcapfloorvolcurveconfig.hpp.

observationLag_

Period observationLag_

private

Definition at line 133 of file inflationcapfloorvolcurveconfig.hpp.

quoteIndex_

std::string quoteIndex_

private

Definition at line 135 of file inflationcapfloorvolcurveconfig.hpp.

conventions_

std::string conventions_

private

Definition at line 136 of file inflationcapfloorvolcurveconfig.hpp.

useLastAvailableFixingDate_

bool useLastAvailableFixingDate_

private

Definition at line 137 of file inflationcapfloorvolcurveconfig.hpp.