YieldVolatilityCurveConfig Class Reference

Yield volatility curve configuration. More...

#include <ored/configuration/yieldvolcurveconfig.hpp>

Inheritance diagram for YieldVolatilityCurveConfig:

Collaboration diagram for YieldVolatilityCurveConfig:

Public Member Functions
	YieldVolatilityCurveConfig ()
	YieldVolatilityCurveConfig (const string &curveID, const string &curveDescription, const string &qualifier, const Dimension &dimension, const VolatilityType volatilityType, const VolatilityType outputVolatilityType, const Interpolation interpolation, const Extrapolation extrapolation, const vector< string > &optionTenors, const vector< string > &bondTenors, const DayCounter &dayCounter, const Calendar &calendar, const BusinessDayConvention &businessDayConvention)
	Detailed constructor. More...
Public Member Functions inherited from GenericYieldVolatilityCurveConfig
	GenericYieldVolatilityCurveConfig (const std::string &underlyingLabel, const std::string &rootNodeLabel, const std::string &marketDatumInstrumentLabel, const std::string &qualifierLabel, const bool allowSmile, const bool requireSwapIndexBases)
	Default constructor. More...
	GenericYieldVolatilityCurveConfig (const std::string &underlyingLabel, const std::string &rootNodeLabel, const std::string &marketDatumInstrumentLabel, const std::string &qualifierLabel, const string &curveID, const string &curveDescription, const string &qualifier, const Dimension dimension, const VolatilityType volatilityType, const VolatilityType outputVolatilityType, const Interpolation interpolation, const Extrapolation extrapolation, const vector< string > &optionTenors, const vector< string > &underlyingTenors, const DayCounter &dayCounter, const Calendar &calendar, const BusinessDayConvention &businessDayConvention, const string &shortSwapIndexBase="", const string &swapIndexBase="", const vector< string > &smileOptionTenors=vector< string >(), const vector< string > &smileUnderlyingTenors=vector< string >(), const vector< string > &smileSpreads=vector< string >(), const boost::optional< ParametricSmileConfiguration > &parametricSmileConfiguration=boost::none)
	Detailed constructor. More...
	GenericYieldVolatilityCurveConfig (const std::string &underlyingLabel, const std::string &rootNodeLabel, const std::string &qualifierLabel, const string &curveID, const string &curveDescription, const string &qualifier, const std::string &proxySourceCurveId, const std::string &proxySourceShortSwapIndexBase, const std::string &proxySourceSwapIndexBase, const std::string &proxyTargetShortSwapIndexBase, const std::string &proxyTargetSwapIndexBase)
	Detailed contructor for proxy config. More...
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
const string &	qualifier () const
Dimension	dimension () const
VolatilityType	volatilityType () const
VolatilityType	outputVolatilityType () const
Interpolation	interpolation () const
Extrapolation	extrapolation () const
const vector< string > &	optionTenors () const
const vector< string > &	underlyingTenors () const
const DayCounter &	dayCounter () const
const Calendar &	calendar () const
const BusinessDayConvention &	businessDayConvention () const
const string &	shortSwapIndexBase () const
const string &	swapIndexBase () const
const vector< string > &	smileOptionTenors () const
const vector< string > &	smileUnderlyingTenors () const
const vector< string > &	smileSpreads () const
const string &	quoteTag () const
const vector< string > &	quotes () override
	Return all the market quotes required for this config. More...
const std::string &	proxySourceCurveId () const
const std::string &	proxySourceShortSwapIndexBase () const
const std::string &	proxySourceSwapIndexBase () const
const std::string &	proxyTargetShortSwapIndexBase () const
const std::string &	proxyTargetSwapIndexBase () const
const boost::optional< ParametricSmileConfiguration >	parametricSmileConfiguration () const
const ReportConfig &	reportConfig () const
string &	qualifier ()
Dimension &	dimension ()
VolatilityType &	volatilityType ()
VolatilityType &	outputVolatilityType ()
Interpolation &	interpolation ()
Extrapolation &	extrapolation ()
vector< string > &	optionTenors ()
vector< string > &	underlyingTenors ()
DayCounter &	dayCounter ()
Calendar &	calendar ()
BusinessDayConvention &	businessDayConvention ()
string &	shortSwapIndexBase ()
string &	swapIndexBase ()
vector< string > &	smileOptionTenors ()
vector< string > &	smileUnderlyingTenors ()
vector< string > &	smileSpreads ()
string &	quoteTag ()
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...

Additional Inherited Members
Public Types inherited from GenericYieldVolatilityCurveConfig
enum class	Dimension { ATM , Smile }
	supported volatility dimensions More...
enum class	VolatilityType { Lognormal , Normal , ShiftedLognormal }
enum class	Interpolation {   Hagan2002Lognormal = 0 , Hagan2002Normal = 1 , Hagan2002NormalZeroBeta = 2 , Antonov2015FreeBoundaryNormal =3 ,   KienitzLawsonSwaynePde =4 , FlochKennedy =5 , Linear = 6 }
enum class	Extrapolation { None , Flat , Linear }
Protected Attributes inherited from CurveConfig
string	curveID_
string	curveDescription_
vector< string >	quotes_
map< CurveSpec::CurveType, set< string > >	requiredCurveIds_

Detailed Description

Yield volatility curve configuration.

Definition at line 39 of file yieldvolcurveconfig.hpp.

Constructor & Destructor Documentation

YieldVolatilityCurveConfig() [1/2]

YieldVolatilityCurveConfig

(

)

Definition at line 41 of file yieldvolcurveconfig.hpp.

        : GenericYieldVolatilityCurveConfig("Bond", "YieldVolatility", "BOND_OPTION", "Qualifier", false, false) {}

YieldVolatilityCurveConfig() [2/2]

YieldVolatilityCurveConfig	(	const string &	curveID,
		const string &	curveDescription,
		const string &	qualifier,
		const Dimension &	dimension,
		const VolatilityType	volatilityType,
		const VolatilityType	outputVolatilityType,
		const Interpolation	interpolation,
		const Extrapolation	extrapolation,
		const vector< string > &	optionTenors,
		const vector< string > &	bondTenors,
		const DayCounter &	dayCounter,
		const Calendar &	calendar,
		const BusinessDayConvention &	businessDayConvention
	)

Detailed constructor.

Definition at line 44 of file yieldvolcurveconfig.hpp.

        : GenericYieldVolatilityCurveConfig("Bond", "YieldVolatility", "BOND_OPTION", "Qualifier", curveID,
                                            curveDescription, qualifier, dimension, volatilityType,
                                            outputVolatilityType, interpolation, extrapolation, optionTenors,
                                            bondTenors, dayCounter, calendar, businessDayConvention) {}