#include <ored/configuration/inflationcurveconfig.hpp>

Inheritance diagram for InflationCurveConfig:

Collaboration diagram for InflationCurveConfig:

Public Types
enum class	Type { ZC , YY }

Public Member Functions
	InflationCurveConfig ()

	InflationCurveConfig (const string &curveID, const string &curveDescription, const string &nominalTermStructure, const Type type, const vector< string > &quotes, const string &conventions, const bool extrapolate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, const Frequency &frequency, const Real baseRate, const Real tolerance, const bool useLastAvailableFixingAsBaseDate, const Date &seasonalityBaseDate, const Frequency &seasonalityFrequency, const vector< string > &seasonalityFactors, const vector< double > &overrideSeasonalityFactors=std::vector< double >())

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

const string &	nominalTermStructure () const

const Type &	type () const

const string &	conventions () const

const bool &	extrapolate () const

const Calendar &	calendar () const

const DayCounter &	dayCounter () const

const Period &	lag () const

const Frequency &	frequency () const

const Real &	baseRate () const

const Real &	tolerance () const

const bool &	useLastAvailableFixingAsBaseDate () const

const Date &	seasonalityBaseDate () const

const Frequency &	seasonalityFrequency () const

const vector< string > &	seasonalityFactors () const

const vector< double > &	overrideSeasonalityFactors () const

const vector< string > &	swapQuotes ()

string &	nominalTermStructure ()

Type &	type ()

string &	conventions ()

bool &	extrapolate ()

Calendar &	calendar ()

DayCounter &	dayCounter ()

Period &	lag ()

Frequency &	frequency ()

Real &	baseRate ()

Real &	tolerance ()

bool &	useLastAvailableFixingAsBaseDate ()

Date &	seasonalityBaseDate ()

Frequency &	seasonalityFrequency ()

vector< string > &	seasonalityFactors ()

vector< double > &	overrideSeasonalityFactors ()

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 ()

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

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...

Private Member Functions
void	populateRequiredCurveIds ()

Private Attributes
vector< string >	swapQuotes_

string	nominalTermStructure_

Type	type_

string	conventions_

string	interpolationMethod_

bool	extrapolate_

Calendar	calendar_

DayCounter	dayCounter_

Period	lag_

Frequency	frequency_

Real	baseRate_

Real	tolerance_

bool	useLastAvailableFixingAsBaseDate_

Date	seasonalityBaseDate_

Frequency	seasonalityFrequency_

vector< string >	seasonalityFactors_

vector< double >	overrideSeasonalityFactors_

Additional Inherited Members
Protected Attributes inherited from CurveConfig
string	curveID_

string	curveDescription_

vector< string >	quotes_

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

Detailed Description

Definition at line 45 of file inflationcurveconfig.hpp.

Member Enumeration Documentation

◆ Type

enum class Type

strong

Enumerator
ZC
YY

Definition at line 47 of file inflationcurveconfig.hpp.

47{ ZC, YY };

ore::data::InflationCurveConfig::Type::YY

@ YY

ore::data::InflationCurveConfig::Type::ZC

@ ZC

Constructor & Destructor Documentation

◆ InflationCurveConfig() [1/2]

InflationCurveConfig ( )

Definition at line 49 of file inflationcurveconfig.hpp.

49{}

◆ InflationCurveConfig() [2/2]

InflationCurveConfig	(	const string &	curveID,
		const string &	curveDescription,
		const string &	nominalTermStructure,
		const Type	type,
		const vector< string > &	quotes,
		const string &	conventions,
		const bool	extrapolate,
		const Calendar &	calendar,
		const DayCounter &	dayCounter,
		const Period &	lag,
		const Frequency &	frequency,
		const Real	baseRate,
		const Real	tolerance,
		const bool	useLastAvailableFixingAsBaseDate,
		const Date &	seasonalityBaseDate,
		const Frequency &	seasonalityFrequency,
		const vector< string > &	seasonalityFactors,
		const vector< double > &	overrideSeasonalityFactors = `std::vector<double>()`
	)

Definition at line 31 of file inflationcurveconfig.cpp.

    : CurveConfig(curveID, curveDescription), swapQuotes_(swapQuotes), nominalTermStructure_(nominalTermStructure),
      type_(type), conventions_(conventions), extrapolate_(extrapolate), calendar_(calendar), dayCounter_(dayCounter),
      lag_(lag), frequency_(frequency), baseRate_(baseRate), tolerance_(tolerance),
      useLastAvailableFixingAsBaseDate_(useLastAvailableFixingAsBaseDate),
      seasonalityBaseDate_(seasonalityBaseDate), seasonalityFrequency_(seasonalityFrequency),
      seasonalityFactors_(seasonalityFactors), overrideSeasonalityFactors_(overrideSeasonalityFactors) {
    quotes_ = swapQuotes;
    quotes_.insert(quotes_.end(), seasonalityFactors.begin(), seasonalityFactors.end());
    populateRequiredCurveIds();
}

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Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 54 of file inflationcurveconfig.cpp.

                                                {
    XMLUtils::checkNode(node, "InflationCurve");
 
    curveID_ = XMLUtils::getChildValue(node, "CurveId", true);
    curveDescription_ = XMLUtils::getChildValue(node, "CurveDescription", true);
    nominalTermStructure_ = XMLUtils::getChildValue(node, "NominalTermStructure", 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");
 
    swapQuotes_ = XMLUtils::getChildrenValues(node, "Quotes", "Quote", true);
 
    conventions_ = XMLUtils::getChildValue(node, "Conventions", true);
    extrapolate_ = XMLUtils::getChildValueAsBool(node, "Extrapolation", false);
 
    string cal = XMLUtils::getChildValue(node, "Calendar", true);
    calendar_ = parseCalendar(cal);
 
    string dc = XMLUtils::getChildValue(node, "DayCounter", true);
    dayCounter_ = parseDayCounter(dc);
 
    string lag = XMLUtils::getChildValue(node, "Lag", true);
    lag_ = parsePeriod(lag);
 
    string freq = XMLUtils::getChildValue(node, "Frequency", true);
    frequency_ = parseFrequency(freq);
 
    baseRate_ = QuantLib::Null<Real>();
    string baseZr = XMLUtils::getChildValue(node, "BaseRate", false);
    if (baseZr != "")
        baseRate_ = parseReal(baseZr);
 
    string tol = XMLUtils::getChildValue(node, "Tolerance", true);
    tolerance_ = parseReal(tol);
 
    useLastAvailableFixingAsBaseDate_ = XMLUtils::getChildValueAsBool(node, "UseLastFixingDate", false, false);
 
    XMLNode* seasonalityNode = XMLUtils::getChildNode(node, "Seasonality");
    seasonalityBaseDate_ = QuantLib::Null<Date>();
    seasonalityFrequency_ = QuantLib::NoFrequency;
    seasonalityFactors_.clear();
    quotes_ = swapQuotes_;
    if (seasonalityNode != nullptr) {
        seasonalityBaseDate_ = parseDate(XMLUtils::getChildValue(seasonalityNode, "BaseDate", true));
        seasonalityFrequency_ = parseFrequency(XMLUtils::getChildValue(seasonalityNode, "Frequency", true));
        seasonalityFactors_ = XMLUtils::getChildrenValues(seasonalityNode, "Factors", "Factor", false);
        quotes_.insert(quotes_.end(), seasonalityFactors_.begin(), seasonalityFactors_.end());
        std::string overrideFctStr = XMLUtils::getChildValue(seasonalityNode, "OverrideFactors", false);
        overrideSeasonalityFactors_ = parseListOfValues<Real>(overrideFctStr, &parseReal);
    }
    populateRequiredCurveIds();
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 112 of file inflationcurveconfig.cpp.

                                                           {
    XMLNode* node = doc.allocNode("InflationCurve");
 
    XMLUtils::addChild(doc, node, "CurveId", curveID_);
    XMLUtils::addChild(doc, node, "CurveDescription", curveDescription_);
    XMLUtils::addChild(doc, node, "NominalTermStructure", nominalTermStructure_);
 
    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 InflationCurveConfig::toXML()");
 
    XMLUtils::addChildren(doc, node, "Quotes", "Quote", swapQuotes_);
    XMLUtils::addChild(doc, node, "Conventions", conventions_);
    string extrap = (extrapolate_ ? "true" : "false");
    XMLUtils::addChild(doc, node, "Extrapolation", extrap);
 
    string baseRateStr;
    if (baseRate_ != QuantLib::Null<Real>())
        baseRateStr = to_string(baseRate_);
    else
        baseRateStr = "";
 
    XMLUtils::addChild(doc, node, "Calendar", to_string(calendar_));
    XMLUtils::addChild(doc, node, "DayCounter", to_string(dayCounter_));
    XMLUtils::addChild(doc, node, "Lag", to_string(lag_));
    XMLUtils::addChild(doc, node, "Frequency", to_string(frequency_));
    XMLUtils::addChild(doc, node, "BaseRate", baseRateStr);
    XMLUtils::addChild(doc, node, "Tolerance", tolerance_);
 
    if (useLastAvailableFixingAsBaseDate_)
        XMLUtils::addChild(doc, node, "UseLastFixingDate", to_string(useLastAvailableFixingAsBaseDate_));
 
    if (seasonalityBaseDate_ != QuantLib::Null<Date>()) {
        XMLNode* seasonalityNode = XMLUtils::addChild(doc, node, "Seasonality");
        std::ostringstream dateStr, sFreq;
        dateStr << QuantLib::io::iso_date(seasonalityBaseDate_);
        sFreq << seasonalityFrequency_;
        XMLUtils::addChild(doc, seasonalityNode, "BaseDate", dateStr.str());
        XMLUtils::addChild(doc, seasonalityNode, "Frequency", sFreq.str());
        if (!seasonalityFactors_.empty())
            XMLUtils::addChildren(doc, seasonalityNode, "Factors", "Factor", seasonalityFactors_);
        if (!overrideSeasonalityFactors_.empty())
            XMLUtils::addChild(doc, seasonalityNode, "OverrideFactors", overrideSeasonalityFactors_);
    }
 
    return node;
}

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◆ nominalTermStructure() [1/2]

const string & nominalTermStructure ( ) const

Definition at line 62 of file inflationcurveconfig.hpp.

62{ return nominalTermStructure_; }

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◆ type() [1/2]

const Type & type ( ) const

Definition at line 63 of file inflationcurveconfig.hpp.

63{ return type_; }

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◆ conventions() [1/2]

const string & conventions ( ) const

Definition at line 64 of file inflationcurveconfig.hpp.

64{ return conventions_; }

◆ extrapolate() [1/2]

const bool & extrapolate ( ) const

Definition at line 65 of file inflationcurveconfig.hpp.

65{ return extrapolate_; }

◆ calendar() [1/2]

const Calendar & calendar ( ) const

Definition at line 66 of file inflationcurveconfig.hpp.

66{ return calendar_; }

◆ dayCounter() [1/2]

const DayCounter & dayCounter ( ) const

Definition at line 67 of file inflationcurveconfig.hpp.

67{ return dayCounter_; }

◆ lag() [1/2]

const Period & lag ( ) const

Definition at line 68 of file inflationcurveconfig.hpp.

68{ return lag_; }

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◆ frequency() [1/2]

const Frequency & frequency ( ) const

Definition at line 69 of file inflationcurveconfig.hpp.

69{ return frequency_; }

◆ baseRate() [1/2]

const Real & baseRate ( ) const

Definition at line 70 of file inflationcurveconfig.hpp.

70{ return baseRate_; }

◆ tolerance() [1/2]

const Real & tolerance ( ) const

Definition at line 71 of file inflationcurveconfig.hpp.

71{ return tolerance_; }

◆ useLastAvailableFixingAsBaseDate() [1/2]

const bool & useLastAvailableFixingAsBaseDate ( ) const

Definition at line 72 of file inflationcurveconfig.hpp.

72{ return useLastAvailableFixingAsBaseDate_; }

◆ seasonalityBaseDate() [1/2]

const Date & seasonalityBaseDate ( ) const

Definition at line 73 of file inflationcurveconfig.hpp.

73{ return seasonalityBaseDate_; }

◆ seasonalityFrequency() [1/2]

const Frequency & seasonalityFrequency ( ) const

Definition at line 74 of file inflationcurveconfig.hpp.

74{ return seasonalityFrequency_; }

◆ seasonalityFactors() [1/2]

const vector< string > & seasonalityFactors ( ) const

Definition at line 75 of file inflationcurveconfig.hpp.

75{ return seasonalityFactors_; }

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◆ overrideSeasonalityFactors() [1/2]

const vector< double > & overrideSeasonalityFactors ( ) const

Definition at line 76 of file inflationcurveconfig.hpp.

76{ return overrideSeasonalityFactors_; }

◆ swapQuotes()

const vector< string > & swapQuotes ( )

Definition at line 77 of file inflationcurveconfig.hpp.

77{ return swapQuotes_; }

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◆ nominalTermStructure() [2/2]

string & nominalTermStructure ( )

Definition at line 80 of file inflationcurveconfig.hpp.

80{ return nominalTermStructure_; }

◆ type() [2/2]

Type & type ( )

Definition at line 81 of file inflationcurveconfig.hpp.

81{ return type_; }

◆ conventions() [2/2]

string & conventions ( )

Definition at line 82 of file inflationcurveconfig.hpp.

82{ return conventions_; }

◆ extrapolate() [2/2]

bool & extrapolate ( )

Definition at line 83 of file inflationcurveconfig.hpp.

83{ return extrapolate_; }

◆ calendar() [2/2]

Calendar & calendar ( )

Definition at line 84 of file inflationcurveconfig.hpp.

84{ return calendar_; }

◆ dayCounter() [2/2]

DayCounter & dayCounter ( )

Definition at line 85 of file inflationcurveconfig.hpp.

85{ return dayCounter_; }

◆ lag() [2/2]

Period & lag ( )

Definition at line 86 of file inflationcurveconfig.hpp.

86{ return lag_; }

◆ frequency() [2/2]

Frequency & frequency ( )

Definition at line 87 of file inflationcurveconfig.hpp.

87{ return frequency_; }

◆ baseRate() [2/2]

Real & baseRate ( )

Definition at line 88 of file inflationcurveconfig.hpp.

88{ return baseRate_; }

◆ tolerance() [2/2]

Real & tolerance ( )

Definition at line 89 of file inflationcurveconfig.hpp.

89{ return tolerance_; }

◆ useLastAvailableFixingAsBaseDate() [2/2]

bool & useLastAvailableFixingAsBaseDate ( )

Definition at line 90 of file inflationcurveconfig.hpp.

90{ return useLastAvailableFixingAsBaseDate_; }

◆ seasonalityBaseDate() [2/2]

Date & seasonalityBaseDate ( )

Definition at line 91 of file inflationcurveconfig.hpp.

91{ return seasonalityBaseDate_; }

◆ seasonalityFrequency() [2/2]

Frequency & seasonalityFrequency ( )

Definition at line 92 of file inflationcurveconfig.hpp.

92{ return seasonalityFrequency_; }

◆ seasonalityFactors() [2/2]

vector< string > & seasonalityFactors ( )

Definition at line 93 of file inflationcurveconfig.hpp.

93{ return seasonalityFactors_; }

◆ overrideSeasonalityFactors() [2/2]

vector< double > & overrideSeasonalityFactors ( )

Definition at line 94 of file inflationcurveconfig.hpp.

94{ return overrideSeasonalityFactors_; }

◆ populateRequiredCurveIds()

void populateRequiredCurveIds ( )

private

Definition at line 49 of file inflationcurveconfig.cpp.

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

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Member Data Documentation

◆ swapQuotes_

vector<string> swapQuotes_

private

Definition at line 99 of file inflationcurveconfig.hpp.

◆ nominalTermStructure_

string nominalTermStructure_

private

Definition at line 100 of file inflationcurveconfig.hpp.

◆ type_

Type type_

private

Definition at line 101 of file inflationcurveconfig.hpp.

◆ conventions_

string conventions_

private

Definition at line 102 of file inflationcurveconfig.hpp.

◆ interpolationMethod_

string interpolationMethod_

private

Definition at line 103 of file inflationcurveconfig.hpp.

◆ extrapolate_

bool extrapolate_

private

Definition at line 104 of file inflationcurveconfig.hpp.

◆ calendar_

Calendar calendar_

private

Definition at line 105 of file inflationcurveconfig.hpp.

◆ dayCounter_

DayCounter dayCounter_

private

Definition at line 106 of file inflationcurveconfig.hpp.

◆ lag_

Period lag_

private

Definition at line 107 of file inflationcurveconfig.hpp.

◆ frequency_

Frequency frequency_

private

Definition at line 108 of file inflationcurveconfig.hpp.

◆ baseRate_

Real baseRate_

private

Definition at line 109 of file inflationcurveconfig.hpp.

◆ tolerance_

Real tolerance_

private

Definition at line 110 of file inflationcurveconfig.hpp.

◆ useLastAvailableFixingAsBaseDate_

bool useLastAvailableFixingAsBaseDate_

private

Definition at line 111 of file inflationcurveconfig.hpp.

◆ seasonalityBaseDate_

Date seasonalityBaseDate_

private

Definition at line 112 of file inflationcurveconfig.hpp.

◆ seasonalityFrequency_

Frequency seasonalityFrequency_

private

Definition at line 113 of file inflationcurveconfig.hpp.

◆ seasonalityFactors_

vector<string> seasonalityFactors_

private

Definition at line 114 of file inflationcurveconfig.hpp.

◆ overrideSeasonalityFactors_

vector<double> overrideSeasonalityFactors_

private

Definition at line 115 of file inflationcurveconfig.hpp.

Public Types

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ Type

Constructor & Destructor Documentation

◆ InflationCurveConfig() [1/2]

◆ InflationCurveConfig() [2/2]

Member Function Documentation

◆ fromXML()

◆ toXML()

◆ nominalTermStructure() [1/2]

◆ type() [1/2]

◆ conventions() [1/2]

◆ extrapolate() [1/2]

◆ calendar() [1/2]

◆ dayCounter() [1/2]

◆ lag() [1/2]

◆ frequency() [1/2]

◆ baseRate() [1/2]

◆ tolerance() [1/2]

◆ useLastAvailableFixingAsBaseDate() [1/2]

◆ seasonalityBaseDate() [1/2]

◆ seasonalityFrequency() [1/2]

◆ seasonalityFactors() [1/2]

◆ overrideSeasonalityFactors() [1/2]

◆ swapQuotes()

◆ nominalTermStructure() [2/2]

◆ type() [2/2]

◆ conventions() [2/2]

◆ extrapolate() [2/2]

◆ calendar() [2/2]

◆ dayCounter() [2/2]

◆ lag() [2/2]

◆ frequency() [2/2]

◆ baseRate() [2/2]

◆ tolerance() [2/2]

◆ useLastAvailableFixingAsBaseDate() [2/2]

◆ seasonalityBaseDate() [2/2]

◆ seasonalityFrequency() [2/2]

◆ seasonalityFactors() [2/2]

◆ overrideSeasonalityFactors() [2/2]

◆ populateRequiredCurveIds()

Member Data Documentation

◆ swapQuotes_

◆ nominalTermStructure_

◆ type_

◆ conventions_

◆ interpolationMethod_

◆ extrapolate_

◆ calendar_

◆ dayCounter_

◆ lag_

◆ frequency_

◆ baseRate_

◆ tolerance_

◆ useLastAvailableFixingAsBaseDate_

◆ seasonalityBaseDate_

◆ seasonalityFrequency_

◆ seasonalityFactors_

◆ overrideSeasonalityFactors_