QuoteBasedVolatilityConfig Class Reference

#include <ored/configuration/volatilityconfig.hpp>

Inheritance diagram for QuoteBasedVolatilityConfig:

Collaboration diagram for QuoteBasedVolatilityConfig:

Public Member Functions
	QuoteBasedVolatilityConfig (MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, std::string calendarStr=std::string(), QuantLib::Natural priority=0)
	Default constructor. More...
Inspectors
const MarketDatum::QuoteType &	quoteType () const
const QuantLib::Exercise::Type &	exerciseType () 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
MarketDatum::QuoteType	quoteType_
QuantLib::Exercise::Type	exerciseType_
void	fromBaseNode (ore::data::XMLNode *node)
void	toBaseNode (ore::data::XMLDocument &doc, ore::data::XMLNode *node) const

Detailed Description

Definition at line 104 of file volatilityconfig.hpp.

Constructor & Destructor Documentation

QuoteBasedVolatilityConfig()

QuoteBasedVolatilityConfig	(	MarketDatum::QuoteType	quoteType = MarketDatum::QuoteType::RATE_LNVOL,
		QuantLib::Exercise::Type	exerciseType = QuantLib::Exercise::Type::European,
		std::string	calendarStr = std::string(),
		QuantLib::Natural	priority = 0
	)

Default constructor.

Definition at line 107 of file volatilityconfig.hpp.

        : VolatilityConfig(calendarStr, priority), quoteType_(quoteType), exerciseType_(exerciseType) {}

Member Function Documentation

quoteType()

const MarketDatum::QuoteType & quoteType

(

)

const

Definition at line 114 of file volatilityconfig.hpp.

{ return quoteType_; }

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exerciseType()

const QuantLib::Exercise::Type & exerciseType

(

)

const

Definition at line 115 of file volatilityconfig.hpp.

{ return exerciseType_; }

fromBaseNode()

void fromBaseNode

(

ore::data::XMLNode *

node

)

Definition at line 100 of file volatilityconfig.cpp.

                                                           {
    VolatilityConfig::fromXMLNode(node);
    string qType = XMLUtils::getChildValue(node, "QuoteType", false);
    if (qType == "ImpliedVolatility" || qType == "") {
        string volType = XMLUtils::getChildValue(node, "VolatilityType", false);
        if (volType == "Lognormal" || qType == "") {
            quoteType_ = MarketDatum::QuoteType::RATE_LNVOL;
        } else if (volType == "ShiftedLognormal") {
            quoteType_ = MarketDatum::QuoteType::RATE_SLNVOL;
        } else if (volType == "Normal") {
            quoteType_ = MarketDatum::QuoteType::RATE_NVOL;
        } else {
            QL_FAIL("Volatility type " << volType << " is not supported;");
        }
    } else if (qType == "Premium") {
        quoteType_ = MarketDatum::QuoteType::PRICE;
        // If we have premiums the exercise type is required
        exerciseType_ = parseExerciseType(XMLUtils::getChildValue(node, "ExerciseType", true));
    } else {
        QL_FAIL("Invalid quote type for volatility curve , quote type must be ImpliedVolatility or Premium");
    }
}

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toBaseNode()

void toBaseNode	(	ore::data::XMLDocument &	doc,
		ore::data::XMLNode *	node
	)		const

Definition at line 123 of file volatilityconfig.cpp.

                                                                                 {
    VolatilityConfig::toXMLNode(doc, node);
 
    // Check first for premium
    if (quoteType_ == MarketDatum::QuoteType::PRICE) {
        XMLUtils::addChild(doc, node, "QuoteType", "Premium");
        XMLUtils::addChild(doc, node, "ExerciseType", ore::data::to_string(exerciseType_));
        return;
    }
 
    // Must be a volatility (or possibly fail)
    XMLUtils::addChild(doc, node, "QuoteType", "ImpliedVolatility");
    if (quoteType_ == MarketDatum::QuoteType::RATE_LNVOL) {
        XMLUtils::addChild(doc, node, "VolatilityType", "Lognormal");
    } else if (quoteType_ == MarketDatum::QuoteType::RATE_SLNVOL) {
        XMLUtils::addChild(doc, node, "VolatilityType", "ShiftedLognormal");
    } else if (quoteType_ == MarketDatum::QuoteType::RATE_NVOL) {
        XMLUtils::addChild(doc, node, "VolatilityType", "Normal");
    } else {
        QL_FAIL("Invalid quote type");
    }
}

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Member Data Documentation

quoteType_

MarketDatum::QuoteType quoteType_

private

Definition at line 125 of file volatilityconfig.hpp.

exerciseType_

QuantLib::Exercise::Type exerciseType_

private

Definition at line 126 of file volatilityconfig.hpp.