VolatilityCurveConfig Class Reference

#include <ored/configuration/volatilityconfig.hpp>

Inheritance diagram for VolatilityCurveConfig:

Collaboration diagram for VolatilityCurveConfig:

Public Member Functions
	VolatilityCurveConfig (MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, bool enforceMontoneVariance=true, std::string calendarStr=std::string(), QuantLib::Natural priority=0)
	Default constructor. More...
	VolatilityCurveConfig (const std::vector< std::string > &quotes, const std::string &interpolation, const std::string &extrapolation, MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, bool enforceMontoneVariance=true, std::string calendarStr=std::string(), QuantLib::Natural priority=0)
	Explicit constructor. More...
Inspectors
const std::vector< std::string > &	quotes () const
const std::string &	interpolation () const
const std::string &	extrapolation () const
bool	enforceMontoneVariance () 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 >	quotes_
std::string	interpolation_
std::string	extrapolation_
bool	enforceMontoneVariance_
void	fromXML (ore::data::XMLNode *node) override
ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override

Detailed Description

Volatility configuration for a 1-D volatility curve

Definition at line 163 of file volatilityconfig.hpp.

Constructor & Destructor Documentation

VolatilityCurveConfig() [1/2]

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

Default constructor.

VolatilityCurveConfig() [2/2]

VolatilityCurveConfig	(	const std::vector< std::string > &	quotes,
		const std::string &	interpolation,
		const std::string &	extrapolation,
		MarketDatum::QuoteType	quoteType = MarketDatum::QuoteType::RATE_LNVOL,
		QuantLib::Exercise::Type	exerciseType = QuantLib::Exercise::Type::European,
		bool	enforceMontoneVariance = true,
		std::string	calendarStr = std::string(),
		QuantLib::Natural	priority = 0
	)

Explicit constructor.

Member Function Documentation

quotes()

const vector< string > & quotes

(

)

const

Definition at line 181 of file volatilityconfig.cpp.

{ return quotes_; }

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interpolation()

const string & interpolation

(

)

const

Definition at line 183 of file volatilityconfig.cpp.

{ return interpolation_; }

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extrapolation()

const string & extrapolation

(

)

const

Definition at line 185 of file volatilityconfig.cpp.

{ return extrapolation_; }

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enforceMontoneVariance()

bool enforceMontoneVariance

(

)

const

Definition at line 187 of file volatilityconfig.cpp.

{ return enforceMontoneVariance_; }

fromXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 189 of file volatilityconfig.cpp.

                                                 {
    XMLUtils::checkNode(node, "Curve");
    QuoteBasedVolatilityConfig::fromBaseNode(node);
    quotes_ = XMLUtils::getChildrenValues(node, "Quotes", "Quote", true);
    interpolation_ = XMLUtils::getChildValue(node, "Interpolation", true);
    extrapolation_ = XMLUtils::getChildValue(node, "Extrapolation", true);
 
    enforceMontoneVariance_ = true;
    if (XMLNode* n = XMLUtils::getChildNode(node, "EnforceMontoneVariance"))
        enforceMontoneVariance_ = parseBool(XMLUtils::getNodeValue(n));
}

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toXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 201 of file volatilityconfig.cpp.

                                                            {
    XMLNode* node = doc.allocNode("Curve");
    QuoteBasedVolatilityConfig::toBaseNode(doc, node);
    XMLUtils::addChildren(doc, node, "Quotes", "Quote", quotes_);
    XMLUtils::addChild(doc, node, "Interpolation", interpolation_);
    XMLUtils::addChild(doc, node, "Extrapolation", extrapolation_);
    XMLUtils::addChild(doc, node, "EnforceMontoneVariance", enforceMontoneVariance_);
    return node;
}

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Member Data Documentation

quotes_

std::vector<std::string> quotes_

private

Definition at line 194 of file volatilityconfig.hpp.

interpolation_

std::string interpolation_

private

Definition at line 195 of file volatilityconfig.hpp.

extrapolation_

std::string extrapolation_

private

Definition at line 196 of file volatilityconfig.hpp.

enforceMontoneVariance_

bool enforceMontoneVariance_

private

Definition at line 197 of file volatilityconfig.hpp.