VolatilityMoneynessSurfaceConfig Class Reference

#include <ored/configuration/volatilityconfig.hpp>

Inheritance diagram for VolatilityMoneynessSurfaceConfig:

Collaboration diagram for VolatilityMoneynessSurfaceConfig:

Public Member Functions
	VolatilityMoneynessSurfaceConfig (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...
	VolatilityMoneynessSurfaceConfig (const std::string &moneynessType, const std::vector< std::string > &moneynessLevels, const std::vector< std::string > &expiries, const std::string &timeInterpolation, const std::string &strikeInterpolation, bool extrapolation, const std::string &timeExtrapolation, const std::string &strikeExtrapolation, 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 &	moneynessType () const
const std::vector< std::string > &	moneynessLevels () const
const std::vector< std::string > &	expiries () 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	moneynessType_
std::vector< std::string >	moneynessLevels_
std::vector< std::string >	expiries_
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 moneyness volatility surface

Definition at line 347 of file volatilityconfig.hpp.

Constructor & Destructor Documentation

VolatilityMoneynessSurfaceConfig() [1/2]

VolatilityMoneynessSurfaceConfig	(	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.

VolatilityMoneynessSurfaceConfig() [2/2]

VolatilityMoneynessSurfaceConfig	(	const std::string &	moneynessType,
		const std::vector< std::string > &	moneynessLevels,
		const std::vector< std::string > &	expiries,
		const std::string &	timeInterpolation,
		const std::string &	strikeInterpolation,
		bool	extrapolation,
		const std::string &	timeExtrapolation,
		const std::string &	strikeExtrapolation,
		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

moneynessType()

const string & moneynessType

(

)

const

Definition at line 395 of file volatilityconfig.cpp.

{ return moneynessType_; }

moneynessLevels()

const vector< string > & moneynessLevels

(

)

const

Definition at line 397 of file volatilityconfig.cpp.

{ return moneynessLevels_; }

expiries()

const vector< string > & expiries

(

)

const

Definition at line 399 of file volatilityconfig.cpp.

{ return expiries_; }

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futurePriceCorrection()

bool futurePriceCorrection

(

)

const

Definition at line 401 of file volatilityconfig.cpp.

{ return futurePriceCorrection_; }

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 403 of file volatilityconfig.cpp.

                                                                            {
 
    vector<pair<string, string>> result;
 
    // Moneyness stem
    string stem = "MNY/" + moneynessType_ + "/";
 
    for (const string& e : expiries()) {
        for (const string& m : moneynessLevels_) {
            result.push_back(make_pair(e, stem + m));
        }
    }
 
    return result;
}

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fromXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 419 of file volatilityconfig.cpp.

                                                            {
    XMLUtils::checkNode(node, "MoneynessSurface");
    QuoteBasedVolatilityConfig::fromBaseNode(node);
    moneynessType_ = XMLUtils::getChildValue(node, "MoneynessType", true);
    moneynessLevels_ = XMLUtils::getChildrenValuesAsStrings(node, "MoneynessLevels", 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 431 of file volatilityconfig.cpp.

                                                                       {
    XMLNode* node = doc.allocNode("MoneynessSurface");
    QuoteBasedVolatilityConfig::toBaseNode(doc, node);
    XMLUtils::addChild(doc, node, "MoneynessType", moneynessType_);
    XMLUtils::addGenericChildAsList(doc, node, "MoneynessLevels", moneynessLevels_);
    XMLUtils::addGenericChildAsList(doc, node, "Expiries", expiries_);
    addNodes(doc, node);
    XMLUtils::addChild(doc, node, "FuturePriceCorrection", futurePriceCorrection_);
 
    return node;
}

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Member Data Documentation

moneynessType_

std::string moneynessType_

private

Definition at line 384 of file volatilityconfig.hpp.

moneynessLevels_

std::vector<std::string> moneynessLevels_

private

Definition at line 385 of file volatilityconfig.hpp.

expiries_

std::vector<std::string> expiries_

private

Definition at line 386 of file volatilityconfig.hpp.

futurePriceCorrection_

bool futurePriceCorrection_

private

Definition at line 387 of file volatilityconfig.hpp.