InstantaneousCorrelations Class Reference

InstantaneousCorrelations. More...

#include <ored/model/crossassetmodeldata.hpp>

Inheritance diagram for InstantaneousCorrelations:

Collaboration diagram for InstantaneousCorrelations:

Public Member Functions
Constructors
	InstantaneousCorrelations ()
	Default constructor. More...
	InstantaneousCorrelations (const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &correlations)
	Detailed constructor. More...
Serialisation
virtual void	fromXML (XMLNode *node) override
	Populate members from XML. More...
virtual XMLNode *	toXML (XMLDocument &doc) const override
	Write class members to XML. More...
Getters
const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &	correlations () const
void	clear ()
	Clear all vectors and maps. More...
Setters
void	correlations (const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &corrs)
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...

Operators
std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > >	correlations_
bool	operator== (const InstantaneousCorrelations &rhs)
bool	operator!= (const InstantaneousCorrelations &rhs)

Detailed Description

InstantaneousCorrelations.

InstantaneousCorrelations is a class to store the correlations required by the CrossAssetModelData class

Definition at line 59 of file crossassetmodeldata.hpp.

Constructor & Destructor Documentation

InstantaneousCorrelations() [1/2]

InstantaneousCorrelations

(

)

Default constructor.

Definition at line 64 of file crossassetmodeldata.hpp.

{}

InstantaneousCorrelations() [2/2]

InstantaneousCorrelations

(

const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &

correlations

)

Detailed constructor.

Definition at line 67 of file crossassetmodeldata.hpp.

        : correlations_(correlations) {}

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Populate members from XML.

Implements XMLSerializable.

Definition at line 72 of file crossassetmodeldata.cpp.

                                                     {
    // Configure correlation structure
    LOG("CrossAssetModelData: adding correlations.");
    XMLNode* correlationNode = XMLUtils::locateNode(node, "InstantaneousCorrelations");
    CorrelationMatrixBuilder cmb;
    if (correlationNode) {
        vector<XMLNode*> nodes = XMLUtils::getChildrenNodes(correlationNode, "Correlation");
        for (Size i = 0; i < nodes.size(); ++i) {
            CorrelationFactor factor_1 = fromNode(nodes[i], true);
            CorrelationFactor factor_2 = fromNode(nodes[i], false);
            Real corr = parseReal(XMLUtils::getNodeValue(nodes[i]));
            cmb.addCorrelation(factor_1, factor_2, corr);
        }
    } else {
        QL_FAIL("No InstantaneousCorrelations found in model configuration XML");
    }
 
    correlations_ = cmb.correlations();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Write class members to XML.

Implements XMLSerializable.

Definition at line 92 of file crossassetmodeldata.cpp.

                                                                {
 
    XMLNode* instantaneousCorrelationsNode = doc.allocNode("InstantaneousCorrelations");
 
    for (auto it = correlations_.begin(); it != correlations_.end(); it++) {
 
        XMLNode* node = doc.allocNode("Correlation", to_string(it->second->value()));
        XMLUtils::appendNode(instantaneousCorrelationsNode, node);
 
        CorrelationFactor f_1 = it->first.first;
        XMLUtils::addAttribute(doc, node, "factor1", to_string(f_1.type) + ":" + f_1.name);
        if (f_1.index != Null<Size>())
            XMLUtils::addAttribute(doc, node, "index1", to_string(f_1.index));
 
        CorrelationFactor f_2 = it->first.second;
        XMLUtils::addAttribute(doc, node, "factor2", to_string(f_2.type) + ":" + f_2.name);
        if (f_2.index != Null<Size>())
            XMLUtils::addAttribute(doc, node, "index2", to_string(f_2.index));
    }
 
    return instantaneousCorrelationsNode;
}

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correlations() [1/2]

const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > & correlations

(

)

const

Definition at line 82 of file crossassetmodeldata.hpp.

{ return correlations_; }

clear()

void clear

(

)

Clear all vectors and maps.

Definition at line 86 of file crossassetmodeldata.hpp.

{ correlations_.clear(); }

correlations() [2/2]

void correlations

(

const std::map< CorrelationKey, QuantLib::Handle< QuantLib::Quote > > &

corrs

)

Definition at line 91 of file crossassetmodeldata.hpp.

                                                                                          {
        correlations_ = corrs;
    }

operator==()

bool operator==

(

const InstantaneousCorrelations &

rhs

)

Definition at line 115 of file crossassetmodeldata.cpp.

                                                                               {
    // compare correlations by value (not the handle links)
    map<CorrelationKey, Handle<Quote>>::const_iterator corr1, corr2;
    for (corr1 = correlations_.begin(), corr2 = rhs.correlations_.begin();
         corr1 != correlations_.end() && corr2 != rhs.correlations_.end(); ++corr1, ++corr2) {
        if (corr1->first != corr2->first || !close_enough(corr1->second->value(), corr2->second->value()))
            return false;
    }
    if (corr1 != correlations_.end() || corr2 != rhs.correlations_.end())
        return false;
 
    return true;
}

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operator!=()

bool operator!=

(

const InstantaneousCorrelations &

rhs

)

Definition at line 129 of file crossassetmodeldata.cpp.

{ return !(*this == rhs); }

Member Data Documentation

correlations_

std::map<CorrelationKey, QuantLib::Handle<QuantLib::Quote> > correlations_

private

Definition at line 103 of file crossassetmodeldata.hpp.