YoYCapFloor Class Reference

#include <ored/model/calibrationinstruments/yoycapfloor.hpp>

Inheritance diagram for YoYCapFloor:

Collaboration diagram for YoYCapFloor:

Public Member Functions
	YoYCapFloor ()
	Default constructor. More...
	YoYCapFloor (QuantLib::YoYInflationCapFloor::Type type, const QuantLib::Period &tenor, const QuantLib::ext::shared_ptr< BaseStrike > &strike)
	Detailed constructor. More...
Inspectors
QuantLib::YoYInflationCapFloor::Type	type () const
const QuantLib::Period &	tenor () const
const QuantLib::ext::shared_ptr< BaseStrike > &	strike () const
Public Member Functions inherited from CalibrationInstrument
	CalibrationInstrument (const std::string &instrumentType)
	Constructor. More...
virtual	~CalibrationInstrument ()
	Destructor. More...
const std::string &	instrumentType () 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...

Serialisation
QuantLib::YoYInflationCapFloor::Type	type_
QuantLib::Period	tenor_
QuantLib::ext::shared_ptr< BaseStrike >	strike_
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
Protected Attributes inherited from CalibrationInstrument
std::string	instrumentType_

Detailed Description

Class for holding details of a year on year inflation cap floor calibration instrument.

Definition at line 37 of file yoycapfloor.hpp.

Constructor & Destructor Documentation

YoYCapFloor() [1/2]

YoYCapFloor

(

)

Default constructor.

Definition at line 29 of file yoycapfloor.cpp.

 : CalibrationInstrument("YoYCapFloor"), type_(YoYInflationCapFloor::Floor) {}

YoYCapFloor() [2/2]

YoYCapFloor	(	QuantLib::YoYInflationCapFloor::Type	type,
		const QuantLib::Period &	tenor,
		const QuantLib::ext::shared_ptr< BaseStrike > &	strike
	)

Detailed constructor.

Member Function Documentation

type()

YoYInflationCapFloor::Type type

(

)

const

Definition at line 40 of file yoycapfloor.cpp.

                                                 {
    return type_;
}

tenor()

const QuantLib::Period & tenor

(

)

const

Definition at line 44 of file yoycapfloor.cpp.

                                               {
    return tenor_;
}

strike()

const QuantLib::ext::shared_ptr< BaseStrike > & strike

(

)

const

Definition at line 48 of file yoycapfloor.cpp.

                                                                   {
    return strike_;
}

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 52 of file yoycapfloor.cpp.

                                       {
    XMLUtils::checkNode(node, instrumentType_);
    type_ = parseYoYInflationCapFloorType(XMLUtils::getChildValue(node, "Type", true));
    tenor_ = parsePeriod(XMLUtils::getChildValue(node, "Tenor", true));
    strike_ = parseBaseStrike(XMLUtils::getChildValue(node, "Strike", true));
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 59 of file yoycapfloor.cpp.

                                                  {
    XMLNode* node = doc.allocNode(instrumentType_);
    if (type_ == YoYInflationCapFloor::Cap)
        XMLUtils::addChild(doc, node, "Type", "Cap");
    else if (type_ == YoYInflationCapFloor::Floor)
        XMLUtils::addChild(doc, node, "Type", "Floor");
    else
        QL_FAIL("Failure in YoYCapFloor::toXML, unsupported YoY cap floor type.");
    XMLUtils::addChild(doc, node, "Tenor", to_string(tenor_));
    XMLUtils::addChild(doc, node, "Strike", strike_->toString());
    return node;
}

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Member Data Documentation

type_

QuantLib::YoYInflationCapFloor::Type type_

private

Definition at line 61 of file yoycapfloor.hpp.

tenor_

QuantLib::Period tenor_

private

Definition at line 62 of file yoycapfloor.hpp.

strike_

QuantLib::ext::shared_ptr<BaseStrike> strike_

private

Definition at line 63 of file yoycapfloor.hpp.