ProxyVolatilityConfig Class Reference

#include <ored/configuration/volatilityconfig.hpp>

Inheritance diagram for ProxyVolatilityConfig:

Collaboration diagram for ProxyVolatilityConfig:

Public Member Functions
	ProxyVolatilityConfig ()
	ProxyVolatilityConfig (const std::string &proxyVolatilityCurve, const std::string &fxVolatilityCurve="", const std::string &correlationCurve="", std::string calendarStr=std::string(), QuantLib::Natural priority=0)
Inspectors
const std::string &	proxyVolatilityCurve () const
const std::string &	fxVolatilityCurve () const
const std::string &	correlationCurve () const
Public Member Functions inherited from VolatilityConfig
	VolatilityConfig (std::string calendarStr=std::string(), QuantLib::Natural priority=0)
void	fromXMLNode (ore::data::XMLNode *node)
void	toXMLNode (XMLDocument &doc, XMLNode *node) const
QuantLib::Natural	priority () const
Calendar	calendar () 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	proxyVolatilityCurve_
std::string	fxVolatilityCurve_
std::string	correlationCurve_
void	fromXML (ore::data::XMLNode *node) override
ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

Detailed Description

Definition at line 54 of file volatilityconfig.hpp.

Constructor & Destructor Documentation

ProxyVolatilityConfig() [1/2]

ProxyVolatilityConfig

(

)

Definition at line 56 of file volatilityconfig.hpp.

{}

ProxyVolatilityConfig() [2/2]

ProxyVolatilityConfig	(	const std::string &	proxyVolatilityCurve,
		const std::string &	fxVolatilityCurve = "",
		const std::string &	correlationCurve = "",
		std::string	calendarStr = std::string(),
		QuantLib::Natural	priority = 0
	)

Definition at line 57 of file volatilityconfig.hpp.

        : VolatilityConfig(calendarStr, priority), 
        proxyVolatilityCurve_(proxyVolatilityCurve), fxVolatilityCurve_(fxVolatilityCurve),
        correlationCurve_(correlationCurve) {}

Member Function Documentation

proxyVolatilityCurve()

const std::string & proxyVolatilityCurve

(

)

const

Definition at line 73 of file volatilityconfig.cpp.

                                                                   { 
    return proxyVolatilityCurve_; 
}

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fxVolatilityCurve()

const std::string & fxVolatilityCurve

(

)

const

Definition at line 77 of file volatilityconfig.cpp.

                                                                { 
    return fxVolatilityCurve_; 
}

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correlationCurve()

const std::string & correlationCurve

(

)

const

Definition at line 81 of file volatilityconfig.cpp.

                                                               { 
    return correlationCurve_; 
}

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fromXML()

void fromXML ( ore::data::XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 54 of file volatilityconfig.cpp.

                                                 {
    XMLUtils::checkNode(node, "ProxySurface");
    VolatilityConfig::fromXMLNode(node);
    proxyVolatilityCurve_ = XMLUtils::getChildValue(node, "ProxyVolatilityCurve", false);
    fxVolatilityCurve_ = XMLUtils::getChildValue(node, "FXVolatilityCurve", false);
    correlationCurve_ = XMLUtils::getChildValue(node, "CorrelationCurve", false);
}

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toXML()

XMLNode * toXML ( ore::data::XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 62 of file volatilityconfig.cpp.

                                                            {
    XMLNode* node = doc.allocNode("ProxySurface");
    VolatilityConfig::toXMLNode(doc, node);
    XMLUtils::addChild(doc, node, "ProxyVolatilityCurve", proxyVolatilityCurve_);
    if (!fxVolatilityCurve_.empty())
        XMLUtils::addChild(doc, node, "FXVolatilityCurve", fxVolatilityCurve_);
    if (!correlationCurve_.empty())
        XMLUtils::addChild(doc, node, "CorrelationCurve", correlationCurve_);
    return node;
}

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Member Data Documentation

proxyVolatilityCurve_

std::string proxyVolatilityCurve_

private

Definition at line 78 of file volatilityconfig.hpp.

fxVolatilityCurve_

std::string fxVolatilityCurve_

private

Definition at line 79 of file volatilityconfig.hpp.

correlationCurve_

std::string correlationCurve_

private

Definition at line 80 of file volatilityconfig.hpp.