VolatilityStrikeSurfaceConfig Class Reference

#include <ored/configuration/volatilityconfig.hpp>

Inheritance diagram for VolatilityStrikeSurfaceConfig:

Collaboration diagram for VolatilityStrikeSurfaceConfig:

Public Member Functions
	VolatilityStrikeSurfaceConfig (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...
	VolatilityStrikeSurfaceConfig (const std::vector< std::string > &strikes, const std::vector< std::string > &expiries, 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...
Inspectors
const std::vector< std::string > &	strikes () const
const std::vector< std::string > &	expiries () 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 >	strikes_
std::vector< std::string >	expiries_
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 absolute strike volatility surface

Definition at line 253 of file volatilityconfig.hpp.

Constructor & Destructor Documentation

VolatilityStrikeSurfaceConfig() [1/2]

VolatilityStrikeSurfaceConfig	(	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.

VolatilityStrikeSurfaceConfig() [2/2]

VolatilityStrikeSurfaceConfig	(	const std::vector< std::string > &	strikes,
		const std::vector< std::string > &	expiries,
		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.

Member Function Documentation

strikes()

const vector< string > & strikes

(

)

const

Definition at line 262 of file volatilityconfig.cpp.

{ return strikes_; }

expiries()

const vector< string > & expiries

(

)

const

Definition at line 264 of file volatilityconfig.cpp.

{ return expiries_; }

Here is the caller graph for this function:

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 266 of file volatilityconfig.cpp.

                                                                         {
 
    vector<pair<string, string>> result;
 
    for (const string& e : expiries()) {
        for (const string& s : strikes_) {
            result.push_back(make_pair(e, s));
        }
    }
 
    return result;
}

Here is the call graph for this function:

fromXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 279 of file volatilityconfig.cpp.

                                                         {
    XMLUtils::checkNode(node, "StrikeSurface");
    QuoteBasedVolatilityConfig::fromBaseNode(node);
    strikes_ = XMLUtils::getChildrenValuesAsStrings(node, "Strikes", true);
    expiries_ = XMLUtils::getChildrenValuesAsStrings(node, "Expiries", true);
    fromNode(node);
}

Here is the call graph for this function:

toXML()

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

overridevirtual

Implements XMLSerializable.

Definition at line 287 of file volatilityconfig.cpp.

                                                                    {
    XMLNode* node = doc.allocNode("StrikeSurface");
    QuoteBasedVolatilityConfig::toBaseNode(doc, node);
    XMLUtils::addGenericChildAsList(doc, node, "Strikes", strikes_);
    XMLUtils::addGenericChildAsList(doc, node, "Expiries", expiries_);
    addNodes(doc, node);
    return node;
}

Here is the call graph for this function:

Member Data Documentation

strikes_

std::vector<std::string> strikes_

private

Definition at line 287 of file volatilityconfig.hpp.

expiries_

std::vector<std::string> expiries_

private

Definition at line 288 of file volatilityconfig.hpp.