VolatilitySurfaceConfig Class Reference

#include <ored/configuration/volatilityconfig.hpp>

Inheritance diagram for VolatilitySurfaceConfig:

Collaboration diagram for VolatilitySurfaceConfig:

Public Member Functions
	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...
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...

Inspectors
std::string	timeInterpolation_
std::string	strikeInterpolation_
bool	extrapolation_
std::string	timeExtrapolation_
std::string	strikeExtrapolation_
const std::string &	timeInterpolation () const
const std::string &	strikeInterpolation () const
bool	extrapolation () const
const std::string &	timeExtrapolation () const
const std::string &	strikeExtrapolation () const
virtual std::vector< std::pair< std::string, std::string > >	quotes () const =0
void	fromNode (ore::data::XMLNode *node)
void	addNodes (ore::data::XMLDocument &doc, ore::data::XMLNode *node) const

Detailed Description

Base volatility configuration for a 2-D volatility surface

Definition at line 203 of file volatilityconfig.hpp.

Constructor & Destructor Documentation

VolatilitySurfaceConfig() [1/2]

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.

VolatilitySurfaceConfig() [2/2]

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.

Member Function Documentation

timeInterpolation()

const string & timeInterpolation

(

)

const

Definition at line 223 of file volatilityconfig.cpp.

{ return timeInterpolation_; }

Here is the caller graph for this function:

strikeInterpolation()

const string & strikeInterpolation

(

)

const

Definition at line 225 of file volatilityconfig.cpp.

{ return strikeInterpolation_; }

Here is the caller graph for this function:

extrapolation()

bool extrapolation

(

)

const

Definition at line 227 of file volatilityconfig.cpp.

{ return extrapolation_; }

Here is the caller graph for this function:

timeExtrapolation()

const string & timeExtrapolation

(

)

const

Definition at line 229 of file volatilityconfig.cpp.

{ return timeExtrapolation_; }

Here is the caller graph for this function:

strikeExtrapolation()

const string & strikeExtrapolation

(

)

const

Definition at line 231 of file volatilityconfig.cpp.

{ return strikeExtrapolation_; }

Here is the caller graph for this function:

quotes()

virtual std::vector< std::pair< std::string, std::string > > quotes ( ) const

pure virtual

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.

Implemented in VolatilityStrikeSurfaceConfig, VolatilityDeltaSurfaceConfig, VolatilityMoneynessSurfaceConfig, and VolatilityApoFutureSurfaceConfig.

fromNode()

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

protected

Populate members from the provided node. Can be called by fromXML in derived classes.

Definition at line 233 of file volatilityconfig.cpp.

                                                    {
    timeInterpolation_ = XMLUtils::getChildValue(node, "TimeInterpolation", true);
    strikeInterpolation_ = XMLUtils::getChildValue(node, "StrikeInterpolation", true);
    extrapolation_ = parseBool(XMLUtils::getChildValue(node, "Extrapolation", true));
    timeExtrapolation_ = XMLUtils::getChildValue(node, "TimeExtrapolation", true);
    strikeExtrapolation_ = XMLUtils::getChildValue(node, "StrikeExtrapolation", true);
}

Here is the call graph for this function:

Here is the caller graph for this function:

addNodes()

void addNodes ( ore::data::XMLDocument &  doc, ore::data::XMLNode *  node  ) const

protected

Add members to the provided node. Can be called by toXML in derived classes.

Definition at line 241 of file volatilityconfig.cpp.

                                                                            {
    XMLUtils::addChild(doc, node, "TimeInterpolation", timeInterpolation_);
    XMLUtils::addChild(doc, node, "StrikeInterpolation", strikeInterpolation_);
    XMLUtils::addChild(doc, node, "Extrapolation", extrapolation_);
    XMLUtils::addChild(doc, node, "TimeExtrapolation", timeExtrapolation_);
    XMLUtils::addChild(doc, node, "StrikeExtrapolation", strikeExtrapolation_);
}

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

timeInterpolation_

std::string timeInterpolation_

private

Definition at line 243 of file volatilityconfig.hpp.

strikeInterpolation_

std::string strikeInterpolation_

private

Definition at line 244 of file volatilityconfig.hpp.

extrapolation_

bool extrapolation_

private

Definition at line 245 of file volatilityconfig.hpp.

timeExtrapolation_

std::string timeExtrapolation_

private

Definition at line 246 of file volatilityconfig.hpp.

strikeExtrapolation_

std::string strikeExtrapolation_

private

Definition at line 247 of file volatilityconfig.hpp.