#include <ored/configuration/volatilityconfig.hpp>

Inheritance diagram for VolatilityDeltaSurfaceConfig:

Collaboration diagram for VolatilityDeltaSurfaceConfig:

Public Member Functions
	VolatilityDeltaSurfaceConfig (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...

	VolatilityDeltaSurfaceConfig (const std::string &deltaType, const std::string &atmType, const std::vector< std::string > &putDeltas, const std::vector< std::string > &callDeltas, const std::vector< std::string > &expiries, const std::string &timeInterpolation, const std::string &strikeInterpolation, bool extrapolation, const std::string &timeExtrapolation, const std::string &strikeExtrapolation, const std::string &atmDeltaType="", bool futurePriceCorrection=true, 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::string &	deltaType () const

const std::string &	atmType () const

const std::vector< std::string > &	putDeltas () const

const std::vector< std::string > &	callDeltas () const

const std::vector< std::string > &	expiries () const

const std::string &	atmDeltaType () const

bool	futurePriceCorrection () 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::string	deltaType_

std::string	atmType_

std::vector< std::string >	putDeltas_

std::vector< std::string >	callDeltas_

std::vector< std::string >	expiries_

std::string	atmDeltaType_

bool	futurePriceCorrection_

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 a 2-D delta volatility surface

Definition at line 294 of file volatilityconfig.hpp.

Constructor & Destructor Documentation

◆ VolatilityDeltaSurfaceConfig() [1/2]

VolatilityDeltaSurfaceConfig	(	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.

◆ VolatilityDeltaSurfaceConfig() [2/2]

VolatilityDeltaSurfaceConfig	(	const std::string &	deltaType,
		const std::string &	atmType,
		const std::vector< std::string > &	putDeltas,
		const std::vector< std::string > &	callDeltas,
		const std::vector< std::string > &	expiries,
		const std::string &	timeInterpolation,
		const std::string &	strikeInterpolation,
		bool	extrapolation,
		const std::string &	timeExtrapolation,
		const std::string &	strikeExtrapolation,
		const std::string &	atmDeltaType = `""`,
		bool	futurePriceCorrection = `true`,
		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

◆ deltaType()

const string & deltaType ( ) const

Definition at line 311 of file volatilityconfig.cpp.

311{ return deltaType_; }

ore::data::VolatilityDeltaSurfaceConfig::deltaType_

std::string deltaType_

Definition: volatilityconfig.hpp:335

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◆ atmType()

const string & atmType ( ) const

Definition at line 313 of file volatilityconfig.cpp.

313{ return atmType_; }

ore::data::VolatilityDeltaSurfaceConfig::atmType_

std::string atmType_

Definition: volatilityconfig.hpp:336

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◆ putDeltas()

const vector< string > & putDeltas ( ) const

Definition at line 315 of file volatilityconfig.cpp.

315{ return putDeltas_; }

ore::data::VolatilityDeltaSurfaceConfig::putDeltas_

std::vector< std::string > putDeltas_

Definition: volatilityconfig.hpp:337

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◆ callDeltas()

const vector< string > & callDeltas ( ) const

Definition at line 317 of file volatilityconfig.cpp.

317{ return callDeltas_; }

ore::data::VolatilityDeltaSurfaceConfig::callDeltas_

std::vector< std::string > callDeltas_

Definition: volatilityconfig.hpp:338

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◆ expiries()

const vector< string > & expiries ( ) const

Definition at line 319 of file volatilityconfig.cpp.

319{ return expiries_; }

ore::data::VolatilityDeltaSurfaceConfig::expiries_

std::vector< std::string > expiries_

Definition: volatilityconfig.hpp:339

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◆ atmDeltaType()

const string & atmDeltaType ( ) const

Definition at line 321 of file volatilityconfig.cpp.

321{ return atmDeltaType_; }

ore::data::VolatilityDeltaSurfaceConfig::atmDeltaType_

std::string atmDeltaType_

Definition: volatilityconfig.hpp:340

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◆ futurePriceCorrection()

bool futurePriceCorrection ( ) const

Definition at line 323 of file volatilityconfig.cpp.

323{ return futurePriceCorrection_; }

ore::data::VolatilityDeltaSurfaceConfig::futurePriceCorrection_

bool futurePriceCorrection_

Definition: volatilityconfig.hpp:341

◆ 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 325 of file volatilityconfig.cpp.

                                                                        {
 
    vector<pair<string, string>> result;
 
    // ATM strike string
    string atmString = "ATM/" + atmType_;
    if (!atmDeltaType_.empty())
        atmString += "/DEL/" + atmDeltaType_;
 
    // Delta stem
    string stem = "DEL/" + deltaType_ + "/";
 
    for (const string& e : expiries()) {
        result.push_back(make_pair(e, atmString));
        for (const string& d : putDeltas_) {
            result.push_back(make_pair(e, stem + "Put/" + d));
        }
        for (const string& d : callDeltas_) {
            result.push_back(make_pair(e, stem + "Call/" + d));
        }
    }
 
    return result;
}

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◆ fromXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 350 of file volatilityconfig.cpp.

                                                        {
    XMLUtils::checkNode(node, "DeltaSurface");
    QuoteBasedVolatilityConfig::fromBaseNode(node);
    deltaType_ = XMLUtils::getChildValue(node, "DeltaType", true);
    atmType_ = XMLUtils::getChildValue(node, "AtmType", true);
    atmDeltaType_ = XMLUtils::getChildValue(node, "AtmDeltaType", false);
    putDeltas_ = XMLUtils::getChildrenValuesAsStrings(node, "PutDeltas", true);
    callDeltas_ = XMLUtils::getChildrenValuesAsStrings(node, "CallDeltas", true);
    expiries_ = XMLUtils::getChildrenValuesAsStrings(node, "Expiries", true);
    futurePriceCorrection_ = true;
    if (XMLNode* n = XMLUtils::getChildNode(node, "FuturePriceCorrection"))
        futurePriceCorrection_ = parseBool(XMLUtils::getNodeValue(n));
    fromNode(node);
}

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◆ toXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 365 of file volatilityconfig.cpp.

                                                                   {
    XMLNode* node = doc.allocNode("DeltaSurface");
    QuoteBasedVolatilityConfig::toBaseNode(doc, node);
    XMLUtils::addChild(doc, node, "DeltaType", deltaType_);
    XMLUtils::addChild(doc, node, "AtmType", atmType_);
    if (!atmDeltaType_.empty())
        XMLUtils::addChild(doc, node, "AtmDeltaType", atmDeltaType_);
    XMLUtils::addGenericChildAsList(doc, node, "PutDeltas", putDeltas_);
    XMLUtils::addGenericChildAsList(doc, node, "CallDeltas", callDeltas_);
    XMLUtils::addGenericChildAsList(doc, node, "Expiries", expiries_);
    addNodes(doc, node);
    XMLUtils::addChild(doc, node, "FuturePriceCorrection", futurePriceCorrection_);
 
    return node;
}

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Member Data Documentation

◆ deltaType_

std::string deltaType_

private

Definition at line 335 of file volatilityconfig.hpp.

◆ atmType_

std::string atmType_

private

Definition at line 336 of file volatilityconfig.hpp.

◆ putDeltas_

std::vector<std::string> putDeltas_

private

Definition at line 337 of file volatilityconfig.hpp.

◆ callDeltas_

std::vector<std::string> callDeltas_

private

Definition at line 338 of file volatilityconfig.hpp.

◆ expiries_

std::vector<std::string> expiries_

private

Definition at line 339 of file volatilityconfig.hpp.

◆ atmDeltaType_

std::string atmDeltaType_

private

Definition at line 340 of file volatilityconfig.hpp.

◆ futurePriceCorrection_

bool futurePriceCorrection_

private

Definition at line 341 of file volatilityconfig.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ VolatilityDeltaSurfaceConfig() [1/2]

◆ VolatilityDeltaSurfaceConfig() [2/2]

Member Function Documentation

◆ deltaType()

◆ atmType()

◆ putDeltas()

◆ callDeltas()

◆ expiries()

◆ atmDeltaType()

◆ futurePriceCorrection()

◆ quotes()

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ deltaType_

◆ atmType_

◆ putDeltas_

◆ callDeltas_

◆ expiries_

◆ atmDeltaType_

◆ futurePriceCorrection_