parsers.hpp File Reference

Map text representations to QuantLib/QuantExt types. More...

#include <ored/configuration/commoditycurveconfig.hpp>
#include <ored/configuration/conventions.hpp>
#include <ored/portfolio/types.hpp>
#include <ored/utilities/log.hpp>
#include <qle/cashflows/commoditycashflow.hpp>
#include <qle/currencies/configurablecurrency.hpp>
#include <qle/indexes/bondindex.hpp>
#include <qle/instruments/cdsoption.hpp>
#include <qle/methods/multipathgeneratorbase.hpp>
#include <qle/models/crossassetmodel.hpp>
#include <qle/pricingengines/mcmultilegbaseengine.hpp>
#include <qle/termstructures/sabrparametricvolatility.hpp>
#include <ql/cashflows/cpicoupon.hpp>
#include <ql/compounding.hpp>
#include <ql/currency.hpp>
#include <ql/exercise.hpp>
#include <ql/instruments/doublebarriertype.hpp>
#include <ql/experimental/fx/deltavolquote.hpp>
#include <ql/instruments/averagetype.hpp>
#include <ql/instruments/barriertype.hpp>
#include <ql/instruments/bond.hpp>
#include <ql/instruments/capfloor.hpp>
#include <ql/instruments/inflationcapfloor.hpp>
#include <ql/instruments/overnightindexfuture.hpp>
#include <ql/instruments/swaption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <ql/position.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/time/businessdayconvention.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/date.hpp>
#include <ql/time/dategenerationrule.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/period.hpp>
#include <ql/types.hpp>
#include <boost/algorithm/string/trim.hpp>
#include <boost/tokenizer.hpp>
#include <boost/variant.hpp>

Go to the source code of this file.

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Enumerations
enum class	AmortizationType {   None , FixedAmount , RelativeToInitialNotional , RelativeToPreviousNotional ,   Annuity , LinearToMaturity }
enum class	AssetClass {   EQ , FX , COM , IR ,   INF , CR , BOND , BOND_INDEX }
enum class	Extrapolation { None , UseInterpolator , Flat }
	Enumeration for holding various extrapolation settings. More...
enum class	MomentType { Variance , Volatility }
enum class	CreditPortfolioSensitivityDecomposition { Underlying , NotionalWeighted , LossWeighted , DeltaWeighted }
	Enumeration CreditPortfolioSensitivityDecomposition. More...
enum	MporCashFlowMode {   Unspecified , NonePay , BothPay , WePay ,   TheyPay }

Functions
Date	parseDate (const string &s)
	Convert std::string to QuantLib::Date. More...
Real	parseReal (const string &s)
	Convert text to Real. More...
Real	parseRealOrNull (const string &s)
	Convert text to Real, empty string to Null<Real>() More...
bool	tryParseReal (const string &s, QuantLib::Real &result)
	Attempt to convert text to Real. More...
Integer	parseInteger (const string &s)
	Convert text to QuantLib::Integer. More...
bool	parseBool (const string &s)
	Convert text to bool. More...
Calendar	parseCalendar (const string &s)
	Convert text to QuantLib::Calendar. More...
bool	isOnePeriod (const string &s)
	return true if s represents a period of the form [0-9][D|W|M|Y] (i.e. 1Y6M would return false) More...
Period	parsePeriod (const string &s)
	Convert text to QuantLib::Period. More...
BusinessDayConvention	parseBusinessDayConvention (const string &s)
	Convert text to QuantLib::BusinessDayConvention. More...
DayCounter	parseDayCounter (const string &s)
	Convert text to QuantLib::DayCounter. More...
Currency	parseCurrency (const string &s)
	Convert text to QuantLib::Currency. More...
QuantExt::ConfigurableCurrency::Type	parseCurrencyType (const string &s)
	Convert text to QuantExt::ConfigurableCurrency::Type (Major, Minor, Metal, Crypto) More...
Currency	parseMinorCurrency (const string &s)
	Convert text to QuantLib::Currency for minor currencies e.g GBp -> GBPCurrency() More...
Currency	parseCurrencyWithMinors (const string &s)
	Convert text to QuantLib::Currency. More...
pair< Currency, Currency >	parseCurrencyPair (const string &s, const string &delimiters)
	Convert text to std::pair<QuantLib::Currency, QuantLib::Currency> More...
bool	checkCurrency (const string &code)
	check for vaid currency code, including minors and pseudo currencies More...
bool	isPseudoCurrency (const string &code)
	check for pseudo currency = precious metal or crypto currency *‍/ More...
bool	isPreciousMetal (const string &code)
	check for precious metal *‍/ More...
bool	isCryptoCurrency (const string &code)
	check for crypto currency *‍/ More...
QuantLib::Real	convertMinorToMajorCurrency (const std::string &s, QuantLib::Real value)
	Convert a value from a minor ccy to major. More...
DateGeneration::Rule	parseDateGenerationRule (const string &s)
	Convert text to QuantLib::DateGeneration::Rule. More...
Frequency	parseFrequency (const string &s)
	Convert text to QuantLib::Frequency. More...
Compounding	parseCompounding (const string &s)
	Convert text to QuantLib::Compounding;. More...
Position::Type	parsePositionType (const string &s)
	Convert text to QuantLib::Position::Type. More...
Protection::Side	parseProtectionSide (const string &s)
	Convert text to QuantLib::Protection::Side. More...
Settlement::Type	parseSettlementType (const string &s)
	Convert text to QuantLib::Settlement::Type. More...
Settlement::Method	parseSettlementMethod (const string &s)
	Convert text to QuantLib::Settlement::Method. More...
Exercise::Type	parseExerciseType (const string &s)
	Convert text to QuantLib::Exercise::Type. More...
Option::Type	parseOptionType (const string &s)
	Convert text to QuantLib::Option::Type. More...
QuantLib::Bond::Price::Type	parseBondPriceType (const string &s)
	Convert text to QuantLib::Bond::Price::Type. More...
boost::variant< QuantLib::Date, QuantLib::Period >	parseDateOrPeriod (const string &s)
	Convert text to QuantLib::Period or QuantLib::Date. More...
void	parseDateOrPeriod (const string &s, QuantLib::Date &d, QuantLib::Period &p, bool &isDate)
	Convert text to QuantLib::Period or QuantLib::Date (deprecated version) More...
QuantLib::LsmBasisSystem::PolynomialType	parsePolynomType (const std::string &s)
	Convert text to QuantLib::LsmBasisSystem::PolynomialType. More...
std::ostream &	operator<< (std::ostream &os, QuantLib::LsmBasisSystem::PolynomialType a)
	Write QuantLib::LsmBasisSystem::PolynomialType to stream. More...
SobolBrownianGenerator::Ordering	parseSobolBrownianGeneratorOrdering (const std::string &s)
	Convert text to QuantLib::SobolBrownianGenerator::Ordering. More...
SobolRsg::DirectionIntegers	parseSobolRsgDirectionIntegers (const std::string &s)
	Convert text to QuantLib::SobolRsg::DirectionIntegers. More...
Weekday	parseWeekday (const string &s)
Month	parseMonth (const string &s)
PaymentLag	parsePaymentLag (const string &s)
	Convert text to PaymentLag. More...
template<class T >
std::vector< T >	parseListOfValues (string s, std::function< T(string)> parser)
	Convert comma separated list of values to vector of values. More...
template<class T >
std::vector< T >	parseVectorOfValues (std::vector< std::string > str, std::function< T(string)> parser)
std::vector< string >	parseListOfValues (string s, const char escape, const char delim, const char quote)
AmortizationType	parseAmortizationType (const std::string &s)
SequenceType	parseSequenceType (const std::string &s)
	Convert string to sequence type. More...
QuantLib::CPI::InterpolationType	parseObservationInterpolation (const std::string &s)
	Convert string to observation interpolation. More...
FdmSchemeDesc	parseFdmSchemeDesc (const std::string &s)
	Convert string to fdm scheme desc. More...
AssetClass	parseAssetClass (const std::string &s)
	Convert text to ore::data::AssetClass. More...
std::ostream &	operator<< (std::ostream &os, AssetClass a)
	Write ore::data::AssetClass to stream. More...
DeltaVolQuote::AtmType	parseAtmType (const std::string &s)
	Convert text to QuantLib::DeltaVolQuote::AtmType. More...
DeltaVolQuote::DeltaType	parseDeltaType (const std::string &s)
	Convert text to QuantLib::DeltaVolQuote::DeltaType. More...
QuantLib::Rounding::Type	parseRoundingType (const std::string &s)
	Convert text to QuantLib::Rounding. More...
Barrier::Type	parseBarrierType (const string &s)
	Convert std::string to QuantLib::BarrierType. More...
DoubleBarrier::Type	parseDoubleBarrierType (const string &s)
	Convert std::string to QuantLib::DoubleBarrierType. More...
template<class T >
bool	tryParse (const std::string &str, T &obj, std::function< T(const std::string &)> parser)
bool	tryParseCurrency (const std::string &str, Currency &obj)
Extrapolation	parseExtrapolation (const string &s)
	Parse Extrapolation from string. More...
std::ostream &	operator<< (std::ostream &os, Extrapolation extrap)
	Write Extrapolation, extrap, to stream. More...
VolatilityType	parseVolatilityQuoteType (const string &s)
CapFloor::Type	parseCapFloorType (const string &s)
YoYInflationCapFloor::Type	parseYoYInflationCapFloorType (const string &s)
QuantExt::CrossAssetModel::AssetType	parseCamAssetType (const string &s)
pair< string, string >	parseBoostAny (const boost::any &anyType, Size precision)
QuantLib::RateAveraging::Type	parseOvernightIndexFutureNettingType (const std::string &s)
	Convert text to QuantLib::RateAveraging::Type. More...
std::ostream &	operator<< (std::ostream &os, QuantLib::RateAveraging::Type t)
	Write QuantLib::RateAveraging::Type to stream. More...
FutureConvention::DateGenerationRule	parseFutureDateGenerationRule (const std::string &s)
	Convert text to FutureConvention::DateGeneration. More...
std::ostream &	operator<< (std::ostream &os, FutureConvention::DateGenerationRule t)
	Write QuantLib::RateAveraging::Type to stream. More...
InflationSwapConvention::PublicationRoll	parseInflationSwapPublicationRoll (const std::string &s)
	Convert text to InflationSwapConvention::PublicationRoll. More...
ostream &	operator<< (std::ostream &os, InflationSwapConvention::PublicationRoll pr)
	Write InflationSwapConvention::PublicationRoll to stream. More...
std::ostream &	operator<< (std::ostream &os, SobolBrownianGenerator::Ordering t)
	Write QuantLib::SobolBrownianGenerator::Ordering to stream. More...
std::ostream &	operator<< (std::ostream &os, SobolRsg::DirectionIntegers t)
	Write QuantLib::SobolRsg::DirectionIntegers to stream. More...
std::ostream &	operator<< (std::ostream &os, QuantExt::CrossAssetModel::Discretization type)
	Enum to string used in ScenarioGeneratorData's toXML. More...
ADCP	parseAveragingDataPeriod (const std::string &s)
	Convert text to CommodityFutureConvention::AveragingData::CalculationPeriod. More...
ostream &	operator<< (std::ostream &os, CommodityFutureConvention::AveragingData::CalculationPeriod cp)
	Write CommodityFutureConvention::AveragingData::CalculationPeriod to stream. More...
PriceSegment::Type	parsePriceSegmentType (const std::string &s)
	Convert text to PriceSegment::Type. More...
ostream &	operator<< (std::ostream &os, PriceSegment::Type pst)
	Write PriceSegment::Type to stream. More...
CommodityQuantityFrequency	parseCommodityQuantityFrequency (const std::string &s)
	Convert text to QuantExt::CommodityQuantityFrequency. More...
ostream &	operator<< (std::ostream &os, QuantExt::CommodityQuantityFrequency cqf)
	Write QuantExt::CommodityQuantityFrequency to stream. More...
CdsOption::StrikeType	parseCdsOptionStrikeType (const string &s)
Average::Type	parseAverageType (const std::string &s)
QuantExt::BondIndex::PriceQuoteMethod	parsePriceQuoteMethod (const std::string &s)
std::ostream &	operator<< (std::ostream &os, QuantExt::BondIndex::PriceQuoteMethod)
	Write PriceQuoteMethod to stream. More...
std::vector< std::string >	getCorrelationTokens (const std::string &name)
	Helper function to get the two tokens in a correlation name Index2:Index1. More...
string	fxDominance (const string &s1, const string &s2)
	Convert FX pair to market standard dominance. More...
string	normaliseFxIndex (const std::string &indexName)
	Convert FX index name to market standard dominance. More...
MomentType	parseMomentType (const std::string &s)
	Convert text to ore::data::MomentType. More...
CreditPortfolioSensitivityDecomposition	parseCreditPortfolioSensitivityDecomposition (const std::string &s)
	Convert text to CreditPortfolioSensitivitiyDecomposition. More...
std::ostream &	operator<< (std::ostream &os, const CreditPortfolioSensitivityDecomposition d)
	Output operator for CreditPortfolioSensitivityDecomposition. More...
QuantLib::Pillar::Choice	parsePillarChoice (const std::string &s)
	Convert text to QuantLib::Pillar::Choice. More...
QuantExt::McMultiLegBaseEngine::RegressorModel	parseRegressorModel (const std::string &s)
	Convert text to QuantExt::McMultiLegBaseEngine::RegressorModel. More...
MporCashFlowMode	parseMporCashFlowMode (const std::string &s)
	Convert text to MporCashFlowMode. More...
std::ostream &	operator<< (std::ostream &os, MporCashFlowMode t)
	Write MporCashFlowMode to stream. More...
SabrParametricVolatility::ModelVariant	parseSabrParametricVolatilityModelVariant (const std::string &s)
	Parse SabrParametricVolatility::ModelVariant. More...
std::ostream &	operator<< (std::ostream &out, QuantExt::SabrParametricVolatility::ModelVariant m)
	Write SabrParametricVolatility::ModelVariant. More...
std::ostream &	operator<< (std::ostream &os, QuantLib::Exercise::Type type)
	Write QuantLib::Exercise::Type. More...

Detailed Description

Map text representations to QuantLib/QuantExt types.

Definition in file parsers.hpp.