crcirdata.hpp

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/*
 Copyright (C) 2020 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file ored/model/crcirdata.hpp
    \brief CIR credit model data
    \ingroup models
*/
 
#pragma once
 
#include <vector>
 
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/types.hpp>
 
#include <ored/configuration/conventions.hpp>
#include <ored/marketdata/market.hpp>
#include <ored/model/lgmdata.hpp>
#include <ored/utilities/xmlutils.hpp>
 
namespace ore {
namespace data {
using namespace QuantLib;
 
class CrCirData : public XMLSerializable {
public:
    enum class CalibrationStrategy { CurveAndFlatVol, None };
 
    //! Default constructor
    CrCirData() {}
 
    //! Detailed constructor
    CrCirData(std::string name, std::string currency, CalibrationType calibrationType,
              CalibrationStrategy calibrationStrategy, Real startValue, Real reversionValue, Real longTermValue,
              Real volatility, bool relaxedFeller, Real fellerFactor, Real tolerance,
              std::vector<std::string> optionExpiries = std::vector<std::string>(),
              std::vector<std::string> optionTerms = std::vector<std::string>(),
              std::vector<std::string> optionStrikes = std::vector<std::string>())
        : name_(name), currency_(currency), calibrationType_(calibrationType), calibrationStrategy_(calibrationStrategy),
          startValue_(startValue), reversionValue_(reversionValue), longTermValue_(longTermValue),
          volatility_(volatility), relaxedFeller_(relaxedFeller), fellerFactor_(fellerFactor), tolerance_(tolerance),
          optionExpiries_(optionExpiries), optionTerms_(optionTerms), optionStrikes_(optionStrikes) {}
 
    //! \name Serialisation
    //@{
    void fromXML(XMLNode* node) override;
    XMLNode* toXML(XMLDocument& doc) const override;
    //@}
 
    //! setter/getter for qualifier in derived classes
 
    //! \name Setters/Getters
    //@{
    std::string& name() { return name_; }
    std::string& currency() { return currency_; }
    CalibrationType& calibrationType() { return calibrationType_; }
    CalibrationStrategy& calibrationStrategy() { return calibrationStrategy_; }
    Real& startValue() { return startValue_; }
    Real& reversionValue() { return reversionValue_; }
    Real& longTermValue() { return longTermValue_; }
    Real& volatility() { return volatility_; }
    std::vector<std::string>& optionExpiries() { return optionExpiries_; }
    std::vector<std::string>& optionTerms() { return optionTerms_; }
    std::vector<std::string>& optionStrikes() { return optionStrikes_; }
    bool& relaxedFeller() { return relaxedFeller_; }
    Real& fellerFactor() { return fellerFactor_; }
    Real& tolerance() { return tolerance_; }
    //@}
 
    //! \name Operators
    //@{
    bool operator==(const CrCirData& rhs);
    bool operator!=(const CrCirData& rhs);
    //@}
 
private:
    std::string name_;
    std::string currency_;
    CalibrationType calibrationType_;
    CalibrationStrategy calibrationStrategy_;
    Real startValue_, reversionValue_, longTermValue_, volatility_;
    bool relaxedFeller_;
    Real fellerFactor_;
    Real tolerance_;
    std::vector<std::string> optionExpiries_;
    std::vector<std::string> optionTerms_;
    std::vector<std::string> optionStrikes_;
};
 
CrCirData::CalibrationStrategy parseCirCalibrationStrategy(const string& s);
std::ostream& operator<<(std::ostream& oss, const CrCirData::CalibrationStrategy& s);
 
} // namespace data
} // namespace ore