PriceSegment Class Reference

#include <ored/configuration/commoditycurveconfig.hpp>

Inheritance diagram for PriceSegment:

Collaboration diagram for PriceSegment:

Classes
class	OffPeakDaily
	Class to store quotes used in building daily off-peak power quotes. More...

Public Types
enum class	Type {   Future , AveragingFuture , AveragingSpot , AveragingOffPeakPower ,   OffPeakPowerDaily }
	Type of price segment being represented, i.e. type of instrument in the price segment. More...

Public Member Functions
Constructors
	PriceSegment ()
	Default constructor. More...
	PriceSegment (const std::string &type, const std::string &conventionsId, const std::vector< std::string > &quotes, const boost::optional< unsigned short > &priority=boost::none, const boost::optional< OffPeakDaily > &offPeakDaily=boost::none, const std::string &peakPriceCurveId="", const std::string &peakPriceCalendar="")
	Detailed constructor. More...
Inspectors
Type	type () const
const std::string &	conventionsId () const
const std::vector< std::string > &	quotes () const
const boost::optional< unsigned short > &	priority () const
const boost::optional< OffPeakDaily > &	offPeakDaily () const
const std::string &	peakPriceCurveId () const
const std::string &	peakPriceCalendar () const
bool	empty () const
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
std::string	strType_
std::string	conventionsId_
std::vector< std::string >	quotes_
boost::optional< unsigned short >	priority_
boost::optional< OffPeakDaily >	offPeakDaily_
std::string	peakPriceCurveId_
std::string	peakPriceCalendar_
bool	empty_
Type	type_
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
void	populateQuotes ()
	Populate quotes. More...

Detailed Description

Class for holding information on a set of instruments used in bootstrapping a piecewise price curve.

Definition at line 36 of file commoditycurveconfig.hpp.

Member Enumeration Documentation

Type

enum class Type

strong

Type of price segment being represented, i.e. type of instrument in the price segment.

Enumerator
Future
AveragingFuture
AveragingSpot
AveragingOffPeakPower
OffPeakPowerDaily

Definition at line 39 of file commoditycurveconfig.hpp.

{ Future, AveragingFuture, AveragingSpot, AveragingOffPeakPower, OffPeakPowerDaily };

Constructor & Destructor Documentation

PriceSegment() [1/2]

PriceSegment

(

)

Default constructor.

Definition at line 49 of file commoditycurveconfig.cpp.

: empty_(true), type_(Type::Future) {}

PriceSegment() [2/2]

PriceSegment	(	const std::string &	type,
		const std::string &	conventionsId,
		const std::vector< std::string > &	quotes,
		const boost::optional< unsigned short > &	priority = boost::none,
		const boost::optional< OffPeakDaily > &	offPeakDaily = boost::none,
		const std::string &	peakPriceCurveId = "",
		const std::string &	peakPriceCalendar = ""
	)

Detailed constructor.

Definition at line 51 of file commoditycurveconfig.cpp.

    : strType_(type), conventionsId_(conventionsId), quotes_(quotes), priority_(priority),
      offPeakDaily_(offPeakDaily), peakPriceCurveId_(peakPriceCurveId),
      peakPriceCalendar_(peakPriceCalendar), empty_(false), type_(parsePriceSegmentType(strType_)) {
    if (type_ == Type::OffPeakPowerDaily) {
        QL_REQUIRE(offPeakDaily_, "When price segment type is OffPeakPowerDaily, OffPeakDaily is required.");
        populateQuotes();
    }
}

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Member Function Documentation

type()

PriceSegment::Type type

(

)

const

Definition at line 63 of file commoditycurveconfig.cpp.

                                          {
    return type_;
}

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conventionsId()

const string & conventionsId

(

)

const

Definition at line 67 of file commoditycurveconfig.cpp.

                                                {
    return conventionsId_;
}

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quotes()

const vector< string > & quotes

(

)

const

Definition at line 71 of file commoditycurveconfig.cpp.

                                                 {
    return quotes_;
}

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priority()

const boost::optional< unsigned short > & priority

(

)

const

Definition at line 75 of file commoditycurveconfig.cpp.

                                                                  {
    return priority_;
}

offPeakDaily()

const boost::optional< PriceSegment::OffPeakDaily > & offPeakDaily

(

)

const

Definition at line 79 of file commoditycurveconfig.cpp.

                                                                                {
    return offPeakDaily_;
}

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peakPriceCurveId()

const string & peakPriceCurveId

(

)

const

Definition at line 83 of file commoditycurveconfig.cpp.

                                                   {
    return peakPriceCurveId_;
}

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peakPriceCalendar()

const string & peakPriceCalendar

(

)

const

Definition at line 87 of file commoditycurveconfig.cpp.

                                                    {
    return peakPriceCalendar_;
}

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empty()

bool empty

(

)

const

Definition at line 91 of file commoditycurveconfig.cpp.

                               {
    return empty_;
}

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 95 of file commoditycurveconfig.cpp.

                                        {
 
    XMLUtils::checkNode(node, "PriceSegment");
    strType_ = XMLUtils::getChildValue(node, "Type", true);
    type_ = parsePriceSegmentType(strType_);
    conventionsId_ = XMLUtils::getChildValue(node, "Conventions", true);
 
    if (XMLNode* n = XMLUtils::getChildNode(node, "Priority")) {
        priority_ = parseInteger(XMLUtils::getNodeValue(n));
    }
 
    if (type_ != Type::OffPeakPowerDaily) {
        quotes_ = XMLUtils::getChildrenValues(node, "Quotes", "Quote", true);
        peakPriceCurveId_ = XMLUtils::getChildValue(node, "PeakPriceCurveId", false);
        peakPriceCalendar_ = XMLUtils::getChildValue(node, "PeakPriceCalendar", false);
    } else {
        XMLNode* n = XMLUtils::getChildNode(node, "OffPeakDaily");
        QL_REQUIRE(n, "When price segment type is OffPeakPowerDaily, an OffPeakDaily node is required.");
        offPeakDaily_ = OffPeakDaily();
        offPeakDaily_->fromXML(n);
        populateQuotes();
    }
 
    empty_ = false;
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 130 of file commoditycurveconfig.cpp.

                                                   {
 
    XMLNode* node = doc.allocNode("PriceSegment");
    XMLUtils::addChild(doc, node, "Type", strType_);
    if (priority_) {
        XMLUtils::addChild(doc, node, "Priority", *priority_);
    }
    XMLUtils::addChild(doc, node, "Conventions", conventionsId_);
    
 
    if (type_ != Type::OffPeakPowerDaily) {
        XMLUtils::addChildren(doc, node, "Quotes", "Quote", quotes_);
        if (!peakPriceCurveId_.empty()) {
            XMLUtils::addChild(doc, node, "PeakPriceCurveId", peakPriceCurveId_);
        }
        if (!peakPriceCalendar_.empty()) {
            XMLUtils::addChild(doc, node, "PeakPriceCalendar", peakPriceCalendar_);
        }
    } else {
        XMLUtils::appendNode(node, offPeakDaily_->toXML(doc));
    }
 
    return node;
}

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populateQuotes()

void populateQuotes ( )

private

Populate quotes.

Definition at line 121 of file commoditycurveconfig.cpp.

                                  {
    // Populate the quotes_ with the off-peak and peak quotes
    const auto& opqs = offPeakDaily_->offPeakQuotes();
    set<string> quotes{ opqs.begin(), opqs.end() };
    const auto& pqs = offPeakDaily_->peakQuotes();
    quotes.insert(pqs.begin(), pqs.end());
    quotes_.assign(quotes.begin(), quotes.end());
}

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Member Data Documentation

strType_

std::string strType_

private

Definition at line 99 of file commoditycurveconfig.hpp.

conventionsId_

std::string conventionsId_

private

Definition at line 100 of file commoditycurveconfig.hpp.

quotes_

std::vector<std::string> quotes_

private

Definition at line 101 of file commoditycurveconfig.hpp.

priority_

boost::optional<unsigned short> priority_

private

Definition at line 102 of file commoditycurveconfig.hpp.

offPeakDaily_

boost::optional<OffPeakDaily> offPeakDaily_

private

Definition at line 103 of file commoditycurveconfig.hpp.

peakPriceCurveId_

std::string peakPriceCurveId_

private

Definition at line 104 of file commoditycurveconfig.hpp.

peakPriceCalendar_

std::string peakPriceCalendar_

private

Definition at line 105 of file commoditycurveconfig.hpp.

empty_

bool empty_

private

Definition at line 107 of file commoditycurveconfig.hpp.

type_

Type type_

private

Definition at line 108 of file commoditycurveconfig.hpp.