swaptionvolcurve.hpp

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/*
 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.
*/
 
/*! \file ored/marketdata/swaptionvolcurve.hpp
    \brief Wrapper class for building Swaption volatility structures
    \ingroup curves
*/
 
#pragma once
 
#include <ored/configuration/curveconfigurations.hpp>
#include <ored/marketdata/genericyieldvolcurve.hpp>
 
namespace ore {
namespace data {
using ore::data::CurveConfigurations;
using QuantLib::Date;
 
//! Wrapper class for building Swaption volatility structures
/*!
  \ingroup curves
*/
class SwaptionVolCurve : public GenericYieldVolCurve {
public:
    //! \name Constructors
    //@{
    //! Default constructor
    SwaptionVolCurve() {}
    //! Detailed constructor
    SwaptionVolCurve(Date asof, SwaptionVolatilityCurveSpec spec, const Loader& loader,
                     const CurveConfigurations& curveConfigs,
                     const map<string, QuantLib::ext::shared_ptr<SwapIndex>>& requiredSwapIndices = {},
                     const map<string, QuantLib::ext::shared_ptr<GenericYieldVolCurve>>& requiredVolCurves = {},
                     const bool buildCalibrationInfo = true);
    //@}
 
    //! \name Inspectors
    //@{
    const SwaptionVolatilityCurveSpec& spec() const { return spec_; }
    //@}
 
private:
    SwaptionVolatilityCurveSpec spec_;
};
} // namespace data
} // namespace ore