VolatilityApoFutureSurfaceConfig Class Reference

#include <ored/configuration/volatilityconfig.hpp>

Inheritance diagram for VolatilityApoFutureSurfaceConfig:

Collaboration diagram for VolatilityApoFutureSurfaceConfig:

Public Member Functions
	VolatilityApoFutureSurfaceConfig (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...
	VolatilityApoFutureSurfaceConfig (const std::vector< std::string > &moneynessLevels, const std::string &baseVolatilityId, const std::string &basePriceCurveId, const std::string &baseConventionsId, const std::string &timeInterpolation, const std::string &strikeInterpolation, bool extrapolation, const std::string &timeExtrapolation, const std::string &strikeExtrapolation, QuantLib::Real beta=0.0, const std::string &maxTenor="", MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, std::string calendarStr=std::string(), QuantLib::Natural priority=0)
	Explicit constructor. More...
Inspectors
const std::vector< std::string > &	moneynessLevels () const
const std::string &	baseVolatilityId () const
const std::string &	basePriceCurveId () const
const std::string &	baseConventionsId () const
QuantLib::Real	beta () const
const std::string &	maxTenor () const
VolatilitySurfaceConfig
std::vector< std::pair< std::string, std::string > >	quotes () const override
Public Member Functions inherited from VolatilitySurfaceConfig
	VolatilitySurfaceConfig (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...
	VolatilitySurfaceConfig (const std::string &timeInterpolation, const std::string &strikeInterpolation, bool extrapolation, const std::string &timeExtrapolation, const std::string &strikeExtrapolation, MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, std::string calendarStr=std::string(), QuantLib::Natural priority=0)
	Explicit constructor. More...
const std::string &	timeInterpolation () const
const std::string &	strikeInterpolation () const
bool	extrapolation () const
const std::string &	timeExtrapolation () const
const std::string &	strikeExtrapolation () const
Public Member Functions inherited from 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. More...
const MarketDatum::QuoteType &	quoteType () const
const QuantLib::Exercise::Type &	exerciseType () const
void	fromBaseNode (ore::data::XMLNode *node)
void	toBaseNode (ore::data::XMLDocument &doc, ore::data::XMLNode *node) 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::vector< std::string >	moneynessLevels_
std::string	baseVolatilityId_
std::string	basePriceCurveId_
std::string	baseConventionsId_
QuantLib::Real	beta_
std::string	maxTenor_
void	fromXML (ore::data::XMLNode *node) override
ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

Additional Inherited Members
Protected Member Functions inherited from VolatilitySurfaceConfig
void	fromNode (ore::data::XMLNode *node)
void	addNodes (ore::data::XMLDocument &doc, ore::data::XMLNode *node) const

Detailed Description

Volatility configuration for an average future price option (APO) surface.

Definition at line 393 of file volatilityconfig.hpp.

Constructor & Destructor Documentation

VolatilityApoFutureSurfaceConfig() [1/2]

VolatilityApoFutureSurfaceConfig	(	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.

VolatilityApoFutureSurfaceConfig() [2/2]

VolatilityApoFutureSurfaceConfig	(	const std::vector< std::string > &	moneynessLevels,
		const std::string &	baseVolatilityId,
		const std::string &	basePriceCurveId,
		const std::string &	baseConventionsId,
		const std::string &	timeInterpolation,
		const std::string &	strikeInterpolation,
		bool	extrapolation,
		const std::string &	timeExtrapolation,
		const std::string &	strikeExtrapolation,
		QuantLib::Real	beta = 0.0,
		const std::string &	maxTenor = "",
		MarketDatum::QuoteType	quoteType = MarketDatum::QuoteType::RATE_LNVOL,
		QuantLib::Exercise::Type	exerciseType = QuantLib::Exercise::Type::European,
		std::string	calendarStr = std::string(),
		QuantLib::Natural	priority = 0
	)

Explicit constructor.

Member Function Documentation

moneynessLevels()

const vector< string > & moneynessLevels

(

)

const

Definition at line 458 of file volatilityconfig.cpp.

{ return moneynessLevels_; }

baseVolatilityId()

const string & baseVolatilityId

(

)

const

Definition at line 460 of file volatilityconfig.cpp.

{ return baseVolatilityId_; }

basePriceCurveId()

const string & basePriceCurveId

(

)

const

Definition at line 462 of file volatilityconfig.cpp.

{ return basePriceCurveId_; }

baseConventionsId()

const string & baseConventionsId

(

)

const

Definition at line 464 of file volatilityconfig.cpp.

{ return baseConventionsId_; }

beta()

Real beta

(

)

const

Definition at line 466 of file volatilityconfig.cpp.

{ return beta_; }

maxTenor()

const string & maxTenor

(

)

const

Definition at line 468 of file volatilityconfig.cpp.

{ return maxTenor_; }

quotes()

vector< pair< string, string > > quotes ( ) const

overridevirtual

Return a vector of pairs of expiry and strike. The first element in the pair is the expiry and the second element in the pair is the string representation of the strike. This will be useful for building the vector of quote strings in classes that have a VolatilitySurfaceConfig.

Implements VolatilitySurfaceConfig.

Definition at line 470 of file volatilityconfig.cpp.

{ return vector<pair<string, string>>(); }

fromXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 472 of file volatilityconfig.cpp.

                                                            {
    XMLUtils::checkNode(node, "ApoFutureSurface");
    QuoteBasedVolatilityConfig::fromBaseNode(node);
    moneynessLevels_ = XMLUtils::getChildrenValuesAsStrings(node, "MoneynessLevels", true);
    baseVolatilityId_ = XMLUtils::getChildValue(node, "VolatilityId", true);
    basePriceCurveId_ = XMLUtils::getChildValue(node, "PriceCurveId", true);
    baseConventionsId_ = XMLUtils::getChildValue(node, "FutureConventions", true);
    maxTenor_ = XMLUtils::getChildValue(node, "MaxTenor", false);
    beta_ = XMLUtils::getChildValueAsDouble(node, "Beta", false);
    fromNode(node);
}

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toXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 484 of file volatilityconfig.cpp.

                                                                       {
    XMLNode* node = doc.allocNode("ApoFutureSurface");
    QuoteBasedVolatilityConfig::toBaseNode(doc, node);
    XMLUtils::addGenericChildAsList(doc, node, "MoneynessLevels", moneynessLevels_);
    XMLUtils::addChild(doc, node, "VolatilityId", baseVolatilityId_);
    XMLUtils::addChild(doc, node, "PriceCurveId", basePriceCurveId_);
    XMLUtils::addChild(doc, node, "FutureConventions", baseConventionsId_);
    addNodes(doc, node);
    if (!maxTenor_.empty())
        XMLUtils::addChild(doc, node, "MaxTenor", maxTenor_);
    XMLUtils::addChild(doc, node, "Beta", beta_);
 
    return node;
}

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Member Data Documentation

moneynessLevels_

std::vector<std::string> moneynessLevels_

private

Definition at line 433 of file volatilityconfig.hpp.

baseVolatilityId_

std::string baseVolatilityId_

private

Definition at line 434 of file volatilityconfig.hpp.

basePriceCurveId_

std::string basePriceCurveId_

private

Definition at line 435 of file volatilityconfig.hpp.

baseConventionsId_

std::string baseConventionsId_

private

Definition at line 436 of file volatilityconfig.hpp.

beta_

QuantLib::Real beta_

private

Definition at line 437 of file volatilityconfig.hpp.

maxTenor_

std::string maxTenor_

private

Definition at line 438 of file volatilityconfig.hpp.