Wrapper class for building Yield volatility structures. More...

#include <ored/marketdata/yieldvolcurve.hpp>

Inheritance diagram for YieldVolCurve:

Collaboration diagram for YieldVolCurve:

Public Member Functions
Constructors
	YieldVolCurve ()
	Default constructor. More...

	YieldVolCurve (Date asof, YieldVolatilityCurveSpec spec, const Loader &loader, const CurveConfigurations &curveConfigs, const bool buildCalibrationInfo)
	Detailed constructor. More...

Public Member Functions inherited from GenericYieldVolCurve
	GenericYieldVolCurve ()
	Default constructor. More...

virtual	~GenericYieldVolCurve ()
	dtor More...

	GenericYieldVolCurve (const Date &asof, const Loader &loader, const CurveConfigurations &curveConfigs, const QuantLib::ext::shared_ptr< GenericYieldVolatilityCurveConfig > &config, const map< string, QuantLib::ext::shared_ptr< SwapIndex > > &requiredSwapIndices, const map< string, QuantLib::ext::shared_ptr< GenericYieldVolCurve > > &requiredVolCurves, const std::function< bool(const QuantLib::ext::shared_ptr< MarketDatum > &md, Period &expiry, Period &term)> &matchAtmQuote, const std::function< bool(const QuantLib::ext::shared_ptr< MarketDatum > &md, Period &expiry, Period &term, Real &strike)> &matchSmileQuote, const std::function< bool(const QuantLib::ext::shared_ptr< MarketDatum > &md, Period &term)> &matchShiftQuote, const bool buildCalibrationInfo)
	Detailed constructor. More...

const QuantLib::ext::shared_ptr< SwaptionVolatilityStructure > &	volTermStructure ()

QuantLib::ext::shared_ptr< IrVolCalibrationInfo >	calibrationInfo () const

Inspectors
YieldVolatilityCurveSpec	spec_

const YieldVolatilityCurveSpec &	spec () const

Detailed Description

Wrapper class for building Yield volatility structures.

Definition at line 38 of file yieldvolcurve.hpp.

Constructor & Destructor Documentation

◆ YieldVolCurve() [1/2]

YieldVolCurve ( )

Default constructor.

Definition at line 43 of file yieldvolcurve.hpp.

43{}

◆ YieldVolCurve() [2/2]

YieldVolCurve	(	Date	asof,
		YieldVolatilityCurveSpec	spec,
		const Loader &	loader,
		const CurveConfigurations &	curveConfigs,
		const bool	buildCalibrationInfo
	)

Detailed constructor.

Definition at line 28 of file yieldvolcurve.cpp.

    : GenericYieldVolCurve(
          asof, loader, curveConfigs, curveConfigs.yieldVolCurveConfig(spec.curveConfigID()), {}, {},
          [](const QuantLib::ext::shared_ptr<MarketDatum>& md, Period& expiry, Period& term) -> bool {
              QuantLib::ext::shared_ptr<BondOptionQuote> q = QuantLib::ext::dynamic_pointer_cast<BondOptionQuote>(md);
              if (q == nullptr)
                  return false;
              expiry = q->expiry();
              term = q->term();
              return q->instrumentType() == MarketDatum::InstrumentType::BOND_OPTION;
          },
          [](const QuantLib::ext::shared_ptr<MarketDatum>& md, Period& expiry, Period& term, Real& strike) {
              QuantLib::ext::shared_ptr<SwaptionQuote> q = QuantLib::ext::dynamic_pointer_cast<SwaptionQuote>(md);
              return false;
          },
          [](const QuantLib::ext::shared_ptr<MarketDatum>& md, Period& term) {
              QuantLib::ext::shared_ptr<SwaptionShiftQuote> q = QuantLib::ext::dynamic_pointer_cast<SwaptionShiftQuote>(md);
              if (q == nullptr)
                  return false;
              term = q->term();
              return true;
          },
          buildCalibrationInfo),
      spec_(spec) {}

Member Function Documentation

◆ spec()

const YieldVolatilityCurveSpec & spec ( ) const

Definition at line 51 of file yieldvolcurve.hpp.

51{ return spec_; }

Member Data Documentation

◆ spec_

YieldVolatilityCurveSpec spec_

private

Definition at line 55 of file yieldvolcurve.hpp.

Public Member Functions

Inspectors