VolatilityConfigBuilder Class Reference

#include <ored/configuration/volatilityconfig.hpp>

Inheritance diagram for VolatilityConfigBuilder:

Collaboration diagram for VolatilityConfigBuilder:

Public Member Functions
	VolatilityConfigBuilder ()
void	fromXML (XMLNode *node) override
XMLNode *	toXML (ore::data::XMLDocument &doc) const override
void	loadVolatiltyConfigs (XMLNode *node)
const std::vector< QuantLib::ext::shared_ptr< VolatilityConfig > > &	volatilityConfig ()
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...

Private Attributes
std::vector< QuantLib::ext::shared_ptr< VolatilityConfig > >	volatilityConfig_

Detailed Description

Definition at line 441 of file volatilityconfig.hpp.

Constructor & Destructor Documentation

VolatilityConfigBuilder()

VolatilityConfigBuilder ( )

explicit

Definition at line 443 of file volatilityconfig.hpp.

{}

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 561 of file volatilityconfig.cpp.

                                                   {
    if (XMLNode* n = XMLUtils::getChildNode(node, "VolatilityConfig"))
        loadVolatiltyConfigs(n);
    else 
        loadVolatiltyConfigs(node);
}

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toXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 568 of file volatilityconfig.cpp.

{ return NULL; }

loadVolatiltyConfigs()

void loadVolatiltyConfigs

(

XMLNode *

node

)

Definition at line 499 of file volatilityconfig.cpp.

                                                                {
    for (XMLNode* n = XMLUtils::getChildNode(node, "Constant"); n; n = XMLUtils::getNextSibling(n, "Constant")) {
        auto vc = QuantLib::ext::make_shared<ConstantVolatilityConfig>();
        vc->fromXML(n);
        volatilityConfig_.push_back(vc);
    }
 
    for (XMLNode* n = XMLUtils::getChildNode(node, "Curve"); n; n = XMLUtils::getNextSibling(n, "Curve")) {
        auto vc = QuantLib::ext::make_shared<VolatilityCurveConfig>();
        vc->fromXML(n);
        volatilityConfig_.push_back(vc);
    }
 
    for (XMLNode* n = XMLUtils::getChildNode(node, "DeltaSurface"); n;
         n = XMLUtils::getNextSibling(n, "DeltaSurface")) {
        auto vc = QuantLib::ext::make_shared<VolatilityDeltaSurfaceConfig>();
        vc->fromXML(n);
        volatilityConfig_.push_back(vc);
    }
 
    for (XMLNode* n = XMLUtils::getChildNode(node, "StrikeSurface"); n;
         n = XMLUtils::getNextSibling(n, "StrikeSurface")) {
        auto vc = QuantLib::ext::make_shared<VolatilityStrikeSurfaceConfig>();
        vc->fromXML(n);
        volatilityConfig_.push_back(vc);
    }
 
    for (XMLNode* n = XMLUtils::getChildNode(node, "MoneynessSurface"); n;
        n = XMLUtils::getNextSibling(n, "MoneynessSurface")) {
        auto vc = QuantLib::ext::make_shared<VolatilityMoneynessSurfaceConfig>();
        vc->fromXML(n);
        volatilityConfig_.push_back(vc);
    }
 
    for (XMLNode* n = XMLUtils::getChildNode(node, "ApoFutureSurface"); n;
        n = XMLUtils::getNextSibling(n, "ApoFutureSurface")) {
        auto vc = QuantLib::ext::make_shared<VolatilityApoFutureSurfaceConfig>();
        vc->fromXML(n);
        volatilityConfig_.push_back(vc);
    }
 
    for (XMLNode* n = XMLUtils::getChildNode(node, "ProxySurface"); n;
         n = XMLUtils::getNextSibling(n, "ProxySurface")) {
        auto vc = QuantLib::ext::make_shared<ProxyVolatilityConfig>();
        vc->fromXML(n);
        volatilityConfig_.push_back(vc);
    }
 
    QL_REQUIRE(volatilityConfig_.size() > 0,
               "VolatilityConfigBuilder expects at least one child node of type: "
               "Constant, Curve, StrikeSurface, DeltaSurface, MoneynessSurface, ApoFutureSurface, ProxySurface.");
 
    // sort the volatility configs by priority
    if (volatilityConfig_.size() > 1)
        std::sort(volatilityConfig_.begin(), volatilityConfig_.end(),
                  [](const QuantLib::ext::shared_ptr<VolatilityConfig>& a, const QuantLib::ext::shared_ptr<VolatilityConfig>& b) {
                      QL_REQUIRE(a && b,
                                 "VolatilityConfigBuilder fails to sort the configs, can not compare a nullptr");
                      return *a < *b;
                  });
}

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volatilityConfig()

const std::vector< QuantLib::ext::shared_ptr< VolatilityConfig > > & volatilityConfig

(

)

Definition at line 449 of file volatilityconfig.hpp.

{ return volatilityConfig_; };

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Member Data Documentation

volatilityConfig_

std::vector<QuantLib::ext::shared_ptr<VolatilityConfig> > volatilityConfig_

private

Definition at line 452 of file volatilityconfig.hpp.