fxbsdata.cpp

Go to the documentation of this file.

/*
 Copyright (C) 2016 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.
*/
 
#include <ored/model/fxbsdata.hpp>
#include <ored/utilities/log.hpp>
#include <ored/utilities/parsers.hpp>
 
namespace ore {
namespace data {
 
bool FxBsData::operator==(const FxBsData& rhs) {
 
    if (foreignCcy_ != rhs.foreignCcy_ || domesticCcy_ != rhs.domesticCcy_ ||
        calibrationType_ != rhs.calibrationType_ || calibrateSigma_ != rhs.calibrateSigma_ ||
        sigmaType_ != rhs.sigmaType_ || sigmaTimes_ != rhs.sigmaTimes_ || sigmaValues_ != rhs.sigmaValues_ ||
        optionExpiries_ != rhs.optionExpiries_ || optionStrikes_ != rhs.optionStrikes_) {
        return false;
    }
    return true;
}
 
bool FxBsData::operator!=(const FxBsData& rhs) { return !(*this == rhs); }
 
void FxBsData::fromXML(XMLNode* node) {
    foreignCcy_ = XMLUtils::getAttribute(node, "foreignCcy");
    LOG("CC-LGM foreignCcy = " << foreignCcy_);
 
    domesticCcy_ = XMLUtils::getChildValue(node, "DomesticCcy", true);
    LOG("CC-LGM domesticCcy = " << domesticCcy_);
 
    std::string calibTypeString = XMLUtils::getChildValue(node, "CalibrationType", true);
    calibrationType_ = parseCalibrationType(calibTypeString);
    LOG("CC-LGM calibration type = " << calibTypeString);
 
    XMLNode* sigmaNode = XMLUtils::getChildNode(node, "Sigma");
    calibrateSigma_ = XMLUtils::getChildValueAsBool(sigmaNode, "Calibrate", true);
    LOG("CC-LGM Sigma calibrate = " << calibrateSigma_);
 
    std::string sigmaTypeString = XMLUtils::getChildValue(sigmaNode, "ParamType", true);
    sigmaType_ = parseParamType(sigmaTypeString);
    LOG("CC-LGM Sigma parameter type = " << sigmaTypeString);
 
    sigmaTimes_ = XMLUtils::getChildrenValuesAsDoublesCompact(sigmaNode, "TimeGrid", true);
    LOG("CC-LGM Sigma time grid size = " << sigmaTimes_.size());
 
    sigmaValues_ = XMLUtils::getChildrenValuesAsDoublesCompact(sigmaNode, "InitialValue", true);
    LOG("CC-LGM Sigma initial values size = " << sigmaValues_.size());
 
    // Add FX Option calibration instruments
    if (XMLNode* optionsNode = XMLUtils::getChildNode(node, "CalibrationOptions")) {
        optionExpiries_ = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Expiries", false);
        optionStrikes_ = XMLUtils::getChildrenValuesAsStrings(optionsNode, "Strikes", false);
        if (optionStrikes_.size() > 0) {
            QL_REQUIRE(optionExpiries_.size() == optionStrikes_.size(),
                       "size mismatch in FX option expiries/strike for foreign ccy " << foreignCcy_);
        } else {
            optionStrikes_.resize(optionExpiries_.size(), "ATMF");
        }
    }
}
 
XMLNode* FxBsData::toXML(XMLDocument& doc) {
 
    XMLNode* crossCcyLGMNode = doc.allocNode("CrossCcyLGM");
    XMLUtils::addAttribute(doc, crossCcyLGMNode, "foreignCcy", foreignCcy_);
 
    XMLUtils::addChild(doc, crossCcyLGMNode, "DomesticCcy", domesticCcy_);
    XMLUtils::addGenericChild(doc, crossCcyLGMNode, "CalibrationType", calibrationType_);
 
    XMLNode* sigmaNode = XMLUtils::addChild(doc, crossCcyLGMNode, "Sigma");
    XMLUtils::addChild(doc, sigmaNode, "Calibrate", calibrateSigma_);
    XMLUtils::addGenericChild(doc, sigmaNode, "ParamType", sigmaType_);
    XMLUtils::addGenericChildAsList(doc, sigmaNode, "TimeGrid", sigmaTimes_);
    XMLUtils::addGenericChildAsList(doc, sigmaNode, "InitialValue", sigmaValues_);
 
    XMLNode* calibrationOptionsNode = XMLUtils::addChild(doc, crossCcyLGMNode, "CalibrationOptions");
    XMLUtils::addGenericChildAsList(doc, calibrationOptionsNode, "Expiries", optionExpiries_);
    XMLUtils::addGenericChildAsList(doc, calibrationOptionsNode, "Strikes", optionStrikes_);
 
    return crossCcyLGMNode;
}
} // namespace data
} // namespace ore