YieldCurveConfig Class Reference

Yield Curve configuration. More...

#include <ored/configuration/yieldcurveconfig.hpp>

Inheritance diagram for YieldCurveConfig:

Collaboration diagram for YieldCurveConfig:

Public Member Functions
Constructors/Destructors
	YieldCurveConfig ()
	Default constructor. More...
	YieldCurveConfig (const string &curveID, const string &curveDescription, const string &currency, const string &discountCurveID, const vector< QuantLib::ext::shared_ptr< YieldCurveSegment > > &curveSegments, const string &interpolationVariable="Discount", const string &interpolationMethod="LogLinear", const string &zeroDayCounter="A365", bool extrapolation=true, const BootstrapConfig &bootstrapConfig=BootstrapConfig(), const Size mixedInterpolationCutoff=1)
	Detailed constructor. More...
virtual	~YieldCurveConfig ()
	Default destructor. More...
Serialization
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
Inspectors
const string &	currency () const
const string &	discountCurveID () const
const vector< QuantLib::ext::shared_ptr< YieldCurveSegment > > &	curveSegments () const
const string &	interpolationVariable () const
const string &	interpolationMethod () const
Size	mixedInterpolationCutoff () const
const string &	zeroDayCounter () const
bool	extrapolation () const
const BootstrapConfig &	bootstrapConfig () const
Public Member Functions inherited from CurveConfig
	CurveConfig (const string &curveID, const string &curveDescription, const vector< string > &quotes=vector< string >())
	Detailed constructor. More...
	CurveConfig ()
	Default constructor. More...
const string &	curveID () const
const string &	curveDescription () const
const set< string > &	requiredCurveIds (const CurveSpec::CurveType &curveType) const
const map< CurveSpec::CurveType, set< string > > &	requiredCurveIds () const
string &	curveID ()
string &	curveDescription ()
set< string > &	requiredCurveIds (const CurveSpec::CurveType &curveType)
map< CurveSpec::CurveType, set< string > > &	requiredCurveIds ()
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...

Setters
string	currency_
string	discountCurveID_
vector< QuantLib::ext::shared_ptr< YieldCurveSegment > >	curveSegments_
string	interpolationVariable_
string	interpolationMethod_
string	zeroDayCounter_
bool	extrapolation_
BootstrapConfig	bootstrapConfig_
Size	mixedInterpolationCutoff_
string &	interpolationVariable ()
string &	interpolationMethod ()
Size &	mixedInterpolationCutoff ()
string &	zeroDayCounter ()
bool &	extrapolation ()
void	setBootstrapConfig (const BootstrapConfig &bootstrapConfig)
const vector< string > &	quotes () override
	Return all the market quotes required for this config. More...
void	populateRequiredCurveIds ()

Additional Inherited Members
Protected Attributes inherited from CurveConfig
string	curveID_
string	curveDescription_
vector< string >	quotes_
map< CurveSpec::CurveType, set< string > >	requiredCurveIds_

Detailed Description

Yield Curve configuration.

Wrapper class containing all yield curve segments needed to build a yield curve.

Definition at line 648 of file yieldcurveconfig.hpp.

Constructor & Destructor Documentation

YieldCurveConfig() [1/2]

YieldCurveConfig

(

)

Default constructor.

Definition at line 653 of file yieldcurveconfig.hpp.

{}

YieldCurveConfig() [2/2]

YieldCurveConfig	(	const string &	curveID,
		const string &	curveDescription,
		const string &	currency,
		const string &	discountCurveID,
		const vector< QuantLib::ext::shared_ptr< YieldCurveSegment > > &	curveSegments,
		const string &	interpolationVariable = "Discount",
		const string &	interpolationMethod = "LogLinear",
		const string &	zeroDayCounter = "A365",
		bool	extrapolation = true,
		const BootstrapConfig &	bootstrapConfig = BootstrapConfig(),
		const Size	mixedInterpolationCutoff = 1
	)

Detailed constructor.

Definition at line 215 of file yieldcurveconfig.cpp.

    : CurveConfig(curveID, curveDescription), currency_(currency), discountCurveID_(discountCurveID),
      curveSegments_(curveSegments), interpolationVariable_(interpolationVariable),
      interpolationMethod_(interpolationMethod), zeroDayCounter_(zeroDayCounter), extrapolation_(extrapolation),
      bootstrapConfig_(bootstrapConfig), mixedInterpolationCutoff_(mixedInterpolationCutoff) {
    populateRequiredCurveIds();
}

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~YieldCurveConfig()

virtual ~YieldCurveConfig ( )

virtual

Default destructor.

Definition at line 662 of file yieldcurveconfig.hpp.

{}

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 246 of file yieldcurveconfig.cpp.

                                            {
 
    XMLUtils::checkNode(node, "YieldCurve");
 
    // Read in the mandatory nodes.
    curveID_ = XMLUtils::getChildValue(node, "CurveId", true);
    curveDescription_ = XMLUtils::getChildValue(node, "CurveDescription", true);
    currency_ = XMLUtils::getChildValue(node, "Currency", true);
    discountCurveID_ = XMLUtils::getChildValue(node, "DiscountCurve", true);
 
    // Read in the segments.
    XMLNode* segmentsNode = XMLUtils::getChildNode(node, "Segments");
    if (segmentsNode) {
        for (XMLNode* child = XMLUtils::getChildNode(segmentsNode); child; child = XMLUtils::getNextSibling(child)) {
 
            QuantLib::ext::shared_ptr<YieldCurveSegment> segment;
            string childName = XMLUtils::getNodeName(child);
 
            if (childName == "Direct") {
                segment.reset(new DirectYieldCurveSegment());
            } else if (childName == "Simple") {
                segment.reset(new SimpleYieldCurveSegment());
            } else if (childName == "AverageOIS") {
                segment.reset(new AverageOISYieldCurveSegment());
            } else if (childName == "TenorBasis") {
                segment.reset(new TenorBasisYieldCurveSegment());
            } else if (childName == "CrossCurrency") {
                segment.reset(new CrossCcyYieldCurveSegment());
            } else if (childName == "ZeroSpread") {
                segment.reset(new ZeroSpreadedYieldCurveSegment());
            } else if (childName == "DiscountRatio") {
                segment.reset(new DiscountRatioYieldCurveSegment());
            } else if (childName == "FittedBond") {
                segment.reset(new FittedBondYieldCurveSegment());
            } else if (childName == "BondYieldShifted") {
                segment.reset(new BondYieldShiftedYieldCurveSegment());
            } else if (childName == "WeightedAverage") {
                segment.reset(new WeightedAverageYieldCurveSegment());
            } else if (childName == "YieldPlusDefault") {
                segment.reset(new YieldPlusDefaultYieldCurveSegment());
            } else if(childName == "IborFallback"){
                segment.reset(new IborFallbackCurveSegment());
            } else {
                QL_FAIL("Yield curve segment node name '" << childName << "' not recognized.");
            }
 
            if (segment) {
                try {
                    segment->fromXML(child);
                } catch (std::exception& ex) {
                    QL_FAIL("Exception parsing yield curve segment XML Node, name = "
                            << childName << " and curveID = " << curveID_ << " : " << ex.what());
                }
            } else {
                QL_FAIL("Unable to build yield curve segment for name = " << childName
                                                                          << " and curveID = " << curveID_);
            }
            curveSegments_.push_back(segment);
        }
    } else {
        QL_FAIL("No Segments node in XML doc for yield curve ID = " << curveID_);
    }
 
    // Read in the optional nodes.
 
    // Empty strings if not there (or if there and empty).
    interpolationVariable_ = XMLUtils::getChildValue(node, "InterpolationVariable", false, "Discount");
    interpolationMethod_ = XMLUtils::getChildValue(node, "InterpolationMethod", false, interpolationVariable_ == "Zero" ? "Linear" : "LogLinear");
    mixedInterpolationCutoff_ = XMLUtils::getChildValueAsInt(node, "MixedInterpolationCutoff", false, 1);
    zeroDayCounter_ = XMLUtils::getChildValue(node, "YieldCurveDayCounter", false, "A365");
    extrapolation_ = XMLUtils::getChildValueAsBool(node, "Extrapolation", false, true);
 
    // Optional bootstrap configuration
    if (XMLNode* n = XMLUtils::getChildNode(node, "BootstrapConfig")) {
        bootstrapConfig_.fromXML(n);
    }
 
    // Tolerance is deprecated in favour of Accuracy in BootstrapConfig. However, if it is
    // still provided, use it as the accuracy and global accuracy in the bootstrap.
    if (XMLUtils::getChildNode(node, "Tolerance")) {
        Real accuracy = XMLUtils::getChildValueAsDouble(node, "Tolerance", false);
        bootstrapConfig_ =
            BootstrapConfig(accuracy, accuracy, bootstrapConfig_.dontThrow(), bootstrapConfig_.maxAttempts(),
                            bootstrapConfig_.maxFactor(), bootstrapConfig_.minFactor());
    }
 
    populateRequiredCurveIds();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 335 of file yieldcurveconfig.cpp.

                                                       {
    // Allocate a node.
    XMLNode* node = doc.allocNode("YieldCurve");
 
    // Add the mandatory members.
    XMLUtils::addChild(doc, node, "CurveId", curveID_);
    XMLUtils::addChild(doc, node, "CurveDescription", curveDescription_);
    XMLUtils::addChild(doc, node, "Currency", currency_);
    XMLUtils::addChild(doc, node, "DiscountCurve", discountCurveID_);
 
    // Add the segments node.
    XMLNode* segmentsNode = doc.allocNode("Segments");
    XMLUtils::appendNode(node, segmentsNode);
    for (Size i = 0; i < curveSegments_.size(); ++i) {
        XMLUtils::appendNode(segmentsNode, curveSegments_[i]->toXML(doc));
    }
 
    // Add the defaultable elements.
    XMLUtils::addChild(doc, node, "InterpolationVariable", interpolationVariable_);
    XMLUtils::addChild(doc, node, "InterpolationMethod", interpolationMethod_);
    XMLUtils::addChild(doc, node, "MixedInterpolationCutoff", (int)mixedInterpolationCutoff_);
    XMLUtils::addChild(doc, node, "YieldCurveDayCounter", zeroDayCounter_);
    XMLUtils::addChild(doc, node, "Tolerance", bootstrapConfig_.accuracy());
    XMLUtils::addChild(doc, node, "Extrapolation", extrapolation_);
    XMLUtils::appendNode(node, bootstrapConfig_.toXML(doc));
 
    return node;
}

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currency()

const string & currency

(

)

const

Definition at line 673 of file yieldcurveconfig.hpp.

{ return currency_; }

discountCurveID()

const string & discountCurveID

(

)

const

Definition at line 674 of file yieldcurveconfig.hpp.

{ return discountCurveID_; }

curveSegments()

const vector< QuantLib::ext::shared_ptr< YieldCurveSegment > > & curveSegments

(

)

const

Definition at line 675 of file yieldcurveconfig.hpp.

{ return curveSegments_; }

interpolationVariable() [1/2]

const string & interpolationVariable

(

)

const

Definition at line 676 of file yieldcurveconfig.hpp.

{ return interpolationVariable_; }

interpolationMethod() [1/2]

const string & interpolationMethod

(

)

const

Definition at line 677 of file yieldcurveconfig.hpp.

{ return interpolationMethod_; }

mixedInterpolationCutoff() [1/2]

Size mixedInterpolationCutoff

(

)

const

Definition at line 678 of file yieldcurveconfig.hpp.

{ return mixedInterpolationCutoff_; }

zeroDayCounter() [1/2]

const string & zeroDayCounter

(

)

const

Definition at line 679 of file yieldcurveconfig.hpp.

{ return zeroDayCounter_; }

extrapolation() [1/2]

bool extrapolation

(

)

const

Definition at line 680 of file yieldcurveconfig.hpp.

{ return extrapolation_; }

bootstrapConfig()

const BootstrapConfig & bootstrapConfig

(

)

const

Definition at line 681 of file yieldcurveconfig.hpp.

{ return bootstrapConfig_; }

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interpolationVariable() [2/2]

string & interpolationVariable

(

)

Definition at line 686 of file yieldcurveconfig.hpp.

{ return interpolationVariable_; }

interpolationMethod() [2/2]

string & interpolationMethod

(

)

Definition at line 687 of file yieldcurveconfig.hpp.

{ return interpolationMethod_; }

mixedInterpolationCutoff() [2/2]

Size & mixedInterpolationCutoff

(

)

Definition at line 688 of file yieldcurveconfig.hpp.

{ return mixedInterpolationCutoff_; }

zeroDayCounter() [2/2]

string & zeroDayCounter

(

)

Definition at line 689 of file yieldcurveconfig.hpp.

{ return zeroDayCounter_; }

extrapolation() [2/2]

bool & extrapolation

(

)

Definition at line 690 of file yieldcurveconfig.hpp.

{ return extrapolation_; }

setBootstrapConfig()

void setBootstrapConfig

(

const BootstrapConfig &

bootstrapConfig

)

Definition at line 691 of file yieldcurveconfig.hpp.

{ bootstrapConfig_ = bootstrapConfig; }

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quotes()

const vector< string > & quotes ( )

overridevirtual

Return all the market quotes required for this config.

Reimplemented from CurveConfig.

Definition at line 228 of file yieldcurveconfig.cpp.

                                               {
    if (quotes_.size() == 0) {
        bool addedFxSpot = false;
        for (auto c : curveSegments_) {
            for (auto segmentQuote : c->quotes())
                quotes_.push_back(segmentQuote.first);
 
            // Check if the segment is a CrossCcyYieldCurveSegment and add the FX spot rate to the
            // set of quotes needed for the YieldCurveConfig if it has not already been added.
            if (auto xccySegment = QuantLib::ext::dynamic_pointer_cast<CrossCcyYieldCurveSegment>(c)) {
                if (!addedFxSpot)
                    quotes_.push_back(xccySegment->spotRateID());
            }
        }
    }
    return quotes_;
}

populateRequiredCurveIds()

void populateRequiredCurveIds ( )

private

Definition at line 364 of file yieldcurveconfig.cpp.

                                                {
 
    requiredCurveIds_.clear();
 
    if (curveID_ != discountCurveID_ && !discountCurveID_.empty()) {
        requiredCurveIds_[CurveSpec::CurveType::Yield].insert(discountCurveID_);
    }
 
    SegmentIDGetter segmentIDGetter(curveID_, requiredCurveIds_);
    for (Size i = 0; i < curveSegments_.size(); i++) {
        curveSegments_[i]->accept(segmentIDGetter);
    }
}

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Member Data Documentation

currency_

string currency_

private

Definition at line 700 of file yieldcurveconfig.hpp.

discountCurveID_

string discountCurveID_

private

Definition at line 701 of file yieldcurveconfig.hpp.

curveSegments_

vector<QuantLib::ext::shared_ptr<YieldCurveSegment> > curveSegments_

private

Definition at line 702 of file yieldcurveconfig.hpp.

interpolationVariable_

string interpolationVariable_

private

Definition at line 705 of file yieldcurveconfig.hpp.

interpolationMethod_

string interpolationMethod_

private

Definition at line 706 of file yieldcurveconfig.hpp.

zeroDayCounter_

string zeroDayCounter_

private

Definition at line 707 of file yieldcurveconfig.hpp.

extrapolation_

bool extrapolation_

private

Definition at line 708 of file yieldcurveconfig.hpp.

bootstrapConfig_

BootstrapConfig bootstrapConfig_

private

Definition at line 709 of file yieldcurveconfig.hpp.

mixedInterpolationCutoff_

Size mixedInterpolationCutoff_

private

Definition at line 710 of file yieldcurveconfig.hpp.