Base class for yield curve segments. More...

#include <ored/configuration/yieldcurveconfig.hpp>

Inheritance diagram for YieldCurveSegment:

Collaboration diagram for YieldCurveSegment:

Public Types
enum class	Type { Zero , ZeroSpread , Discount , Deposit , FRA , Future , OIS , Swap , AverageOIS , TenorBasis , TenorBasisTwo , BMABasis , FXForward , CrossCcyBasis , CrossCcyFixFloat , DiscountRatio , FittedBond , WeightedAverage , YieldPlusDefault , IborFallback , BondYieldShifted }
	supported segment types More...

Public Member Functions
virtual	~YieldCurveSegment ()
	Default destructor. More...

Serialisation
virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

Inspectors
Type	type () const

const string &	typeID () const

const string &	conventionsID () const

const QuantLib::Pillar::Choice	pillarChoice () const

Size	priority () const

Size	minDistance () const

const vector< pair< string, bool > > &	quotes () const

Visitability
virtual void	accept (AcyclicVisitor &)

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...

Constructors
vector< pair< string, bool > >	quotes_
	Quote and optional flag pair. More...

Type	type_

string	typeID_

string	conventionsID_

QuantLib::Pillar::Choice	pillarChoice_ = QuantLib::Pillar::LastRelevantDate

Size	priority_ = 0

Size	minDistance_ = 1

	YieldCurveSegment ()
	Default constructor. More...

	YieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > &quotes)
	Detailed constructor - assumes all quotes are mandatory. More...

pair< string, bool >	quote (const string &name, bool opt=false)
	Utility to build a quote, optional flag defaults to false. More...

Detailed Description

Base class for yield curve segments.

Definition at line 58 of file yieldcurveconfig.hpp.

Member Enumeration Documentation

◆ Type

enum class Type

strong

supported segment types

Enumerator
Zero
ZeroSpread
Discount
Deposit
FRA
Future
OIS
Swap
AverageOIS
TenorBasis
TenorBasisTwo
BMABasis
FXForward
CrossCcyBasis
CrossCcyFixFloat
DiscountRatio
FittedBond
WeightedAverage
YieldPlusDefault
IborFallback
BondYieldShifted

Definition at line 61 of file yieldcurveconfig.hpp.

                    {
        Zero,
        ZeroSpread,
        Discount,
        Deposit,
        FRA,
        Future,
        OIS,
        Swap,
        AverageOIS,
        TenorBasis,
        TenorBasisTwo,
        BMABasis,
        FXForward,
        CrossCcyBasis,
        CrossCcyFixFloat,
        DiscountRatio,
        FittedBond,
        WeightedAverage,
        YieldPlusDefault,
        IborFallback,
        BondYieldShifted
    };

Constructor & Destructor Documentation

◆ ~YieldCurveSegment()

virtual ~YieldCurveSegment ( )

virtual

Default destructor.

Definition at line 85 of file yieldcurveconfig.hpp.

85{}

◆ YieldCurveSegment() [1/2]

YieldCurveSegment ( )

protected

Default constructor.

Definition at line 114 of file yieldcurveconfig.hpp.

114{}

◆ YieldCurveSegment() [2/2]

YieldCurveSegment	(	const string &	typeID,
		const string &	conventionsID,
		const vector< string > &	quotes
	)

protected

Detailed constructor - assumes all quotes are mandatory.

Definition at line 378 of file yieldcurveconfig.cpp.

    : type_(parseYieldCurveSegment(typeID)), typeID_(typeID), conventionsID_(conventionsID) {
    for (auto q : quoteNames)
        quotes_.emplace_back(quote(q));
}

Here is the call graph for this function:

Member Function Documentation

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Reimplemented in DirectYieldCurveSegment, SimpleYieldCurveSegment, AverageOISYieldCurveSegment, TenorBasisYieldCurveSegment, CrossCcyYieldCurveSegment, ZeroSpreadedYieldCurveSegment, WeightedAverageYieldCurveSegment, YieldPlusDefaultYieldCurveSegment, DiscountRatioYieldCurveSegment, FittedBondYieldCurveSegment, IborFallbackCurveSegment, and BondYieldShiftedYieldCurveSegment.

Definition at line 385 of file yieldcurveconfig.cpp.

                                             {
    typeID_ = XMLUtils::getChildValue(node, "Type", true);
    string name = XMLUtils::getNodeName(node);
 
    // Check if curve type is valid for the given segment name
    std::map<std::string, std::list<std::string>> validSegmentTypes = {
        {"Direct", {"Zero", "Discount"}},
        {"Simple", {"Deposit", "FRA", "Future", "OIS", "Swap", "BMA Basis Swap"}},
        {"AverageOIS", {"Average OIS"}},
        {"TenorBasis", {"Tenor Basis Swap", "Tenor Basis Two Swaps"}},
        {"CrossCurrency", {"FX Forward", "Cross Currency Basis Swap", "Cross Currency Fix Float Swap"}},
        {"ZeroSpread", {"Zero Spread"}},
        {"FittedBond", {"FittedBond"}},
        {"YieldPlusDefault", {"Yield Plus Default"}},
        {"WeightedAverage", {"Weighted Average"}},
        {"DiscountRatio", {"Discount Ratio"}},
        {"IborFallback", {"Ibor Fallback"}},
        {"BondYieldShifted", {"Bond Yield Shifted"}}
        };
 
    std::list<std::string> validTypes = validSegmentTypes.at(name);
    QL_REQUIRE(std::find(validTypes.begin(), validTypes.end(), typeID_) != validTypes.end(),
               "The curve type " << typeID_ << " is not a valid " << name << " curve segment type");
 
    quotes_.clear();
    if (name == "AverageOIS") {
        XMLNode* quotesNode = XMLUtils::getChildNode(node, "Quotes");
        if (quotesNode) {
            for (XMLNode* child = XMLUtils::getChildNode(quotesNode, "CompositeQuote"); child;
                 child = XMLUtils::getNextSibling(child)) {
                quotes_.push_back(quote(XMLUtils::getChildValue(child, "RateQuote", true)));
                quotes_.push_back(quote(XMLUtils::getChildValue(child, "SpreadQuote", true)));
            }
        } else {
            QL_FAIL("No Quotes in segment. Remove segment or add quotes.");
        }
    } else {
        XMLNode* quotesNode = XMLUtils::getChildNode(node, "Quotes");
        if (quotesNode) {
            for (auto n : XMLUtils::getChildrenNodes(quotesNode, "Quote")) {
                string attr = XMLUtils::getAttribute(n, "optional"); // return "" if not present
                bool opt = (!attr.empty() && parseBool(attr));
                quotes_.emplace_back(quote(XMLUtils::getNodeValue(n), opt));
            }
        }
    }
    type_ = parseYieldCurveSegment(typeID_);
    conventionsID_ = XMLUtils::getChildValue(node, "Conventions", false);
    pillarChoice_ = parsePillarChoice(XMLUtils::getChildValue(node, "PillarChoice", false, "LastRelevantDate"));
    QL_REQUIRE(pillarChoice_ == QuantLib::Pillar::MaturityDate || pillarChoice_ == QuantLib::Pillar::LastRelevantDate,
               "PillarChoice " << pillarChoice_ << " not supported, expected MaturityDate, LastRelevantDate");
    priority_ = XMLUtils::getChildValueAsInt(node, "Priority", false, 0);
    minDistance_ = XMLUtils::getChildValueAsInt(node, "MinDistance", false, 1);
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Reimplemented in DirectYieldCurveSegment, SimpleYieldCurveSegment, AverageOISYieldCurveSegment, TenorBasisYieldCurveSegment, CrossCcyYieldCurveSegment, ZeroSpreadedYieldCurveSegment, WeightedAverageYieldCurveSegment, YieldPlusDefaultYieldCurveSegment, DiscountRatioYieldCurveSegment, FittedBondYieldCurveSegment, IborFallbackCurveSegment, and BondYieldShiftedYieldCurveSegment.

Definition at line 440 of file yieldcurveconfig.cpp.

                                                        {
    XMLNode* node = doc.allocNode("Segment");
    XMLUtils::addChild(doc, node, "Type", typeID_);
    if (!quotes_.empty()) {
        XMLNode* quotesNode = doc.allocNode("Quotes");
        // Special case handling for AverageOIS where the quotes are stored as pairs
        // Spread and Rate.
        if (type_ == YieldCurveSegment::Type::AverageOIS) {
            QL_REQUIRE(quotes_.size() % 2 == 0, "Invalid quotes vector should be even");
            for (Size i = 0; i < quotes_.size(); i = i + 2) {
                string rateQuote = quotes_[i].first;
                string spreadQuote = quotes_[i + 1].first;
 
                XMLNode* compositeQuoteNode = doc.allocNode("CompositeQuote");
                XMLUtils::addChild(doc, compositeQuoteNode, "SpreadQuote", spreadQuote);
                XMLUtils::addChild(doc, compositeQuoteNode, "RateQuote", rateQuote);
                XMLUtils::appendNode(quotesNode, compositeQuoteNode);
            }
        } else {
            for (auto q : quotes_) {
                XMLNode* qNode = doc.allocNode("Quote", q.first);
                if (q.second)
                    XMLUtils::addAttribute(doc, qNode, "optional", "true");
                XMLUtils::appendNode(quotesNode, qNode);
            }
        }
        XMLUtils::appendNode(node, quotesNode);
    }
 
    if (!conventionsID_.empty())
        XMLUtils::addChild(doc, node, "Conventions", conventionsID_);
    XMLUtils::addChild(doc, node, "PillarChoice", ore::data::to_string(pillarChoice_));
    XMLUtils::addChild(doc, node, "Priority", (int)priority_);
    XMLUtils::addChild(doc, node, "MinDistance", (int)minDistance_);
    return node;
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ type()

Type type ( ) const

Definition at line 95 of file yieldcurveconfig.hpp.

95{ return type_; }

Here is the caller graph for this function:

◆ typeID()

const string & typeID ( ) const

Definition at line 97 of file yieldcurveconfig.hpp.

97{ return typeID_; }

Here is the caller graph for this function:

◆ conventionsID()

const string & conventionsID ( ) const

Definition at line 98 of file yieldcurveconfig.hpp.

98{ return conventionsID_; }

Here is the caller graph for this function:

◆ pillarChoice()

const QuantLib::Pillar::Choice pillarChoice ( ) const

Definition at line 99 of file yieldcurveconfig.hpp.

99{ return pillarChoice_; }

◆ priority()

Size priority ( ) const

Definition at line 100 of file yieldcurveconfig.hpp.

100{ return priority_; }

◆ minDistance()

Size minDistance ( ) const

Definition at line 101 of file yieldcurveconfig.hpp.

101{ return minDistance_; }

◆ quotes()

const vector< pair< string, bool > > & quotes ( ) const

Definition at line 102 of file yieldcurveconfig.hpp.

102{ return quotes_; }

Here is the caller graph for this function:

◆ accept()

void accept ( AcyclicVisitor & v )

virtual

Reimplemented in DirectYieldCurveSegment, SimpleYieldCurveSegment, AverageOISYieldCurveSegment, TenorBasisYieldCurveSegment, CrossCcyYieldCurveSegment, ZeroSpreadedYieldCurveSegment, WeightedAverageYieldCurveSegment, YieldPlusDefaultYieldCurveSegment, FittedBondYieldCurveSegment, IborFallbackCurveSegment, and BondYieldShiftedYieldCurveSegment.

Definition at line 477 of file yieldcurveconfig.cpp.

                                                {
    Visitor<YieldCurveSegment>* v1 = dynamic_cast<Visitor<YieldCurveSegment>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        QL_FAIL("Not a YieldCurveSegment visitor.");
}

Here is the caller graph for this function:

◆ quote()

pair< string, bool > quote	(	const string &	name,
		bool	opt = `false`
	)

protected

Utility to build a quote, optional flag defaults to false.

Definition at line 123 of file yieldcurveconfig.hpp.

123{ return make_pair(name, opt); }

Here is the caller graph for this function:

Member Data Documentation

◆ quotes_

vector<pair<string, bool> > quotes_

protected

Quote and optional flag pair.

Definition at line 120 of file yieldcurveconfig.hpp.

◆ type_

Type type_

private

Definition at line 127 of file yieldcurveconfig.hpp.

◆ typeID_

string typeID_

private

Definition at line 128 of file yieldcurveconfig.hpp.

◆ conventionsID_

string conventionsID_

private

Definition at line 129 of file yieldcurveconfig.hpp.

◆ pillarChoice_

QuantLib::Pillar::Choice pillarChoice_ = QuantLib::Pillar::LastRelevantDate

private

Definition at line 130 of file yieldcurveconfig.hpp.

◆ priority_

Size priority_ = 0

private

Definition at line 131 of file yieldcurveconfig.hpp.

◆ minDistance_

Size minDistance_ = 1

private

Definition at line 132 of file yieldcurveconfig.hpp.

Public Types

Public Member Functions

Constructors

Detailed Description

Member Enumeration Documentation

◆ Type

Constructor & Destructor Documentation

◆ ~YieldCurveSegment()

◆ YieldCurveSegment() [1/2]

◆ YieldCurveSegment() [2/2]

Member Function Documentation

◆ fromXML()

◆ toXML()

◆ type()

◆ typeID()

◆ conventionsID()

◆ pillarChoice()

◆ priority()

◆ minDistance()

◆ quotes()

◆ accept()

◆ quote()

Member Data Documentation

◆ quotes_

◆ type_

◆ typeID_

◆ conventionsID_

◆ pillarChoice_

◆ priority_

◆ minDistance_