Files | |
file | iborfallbackconfig.hpp |
ibor fallback configuration | |
file | blackscholesmodelbuilder.hpp |
builder for an array of black scholes processes | |
file | blackscholesmodelbuilderbase.hpp |
builder for an array of black scholes processes | |
file | calibrationpointcache.hpp |
cache for relevant points on curve / vol surfaces | |
file | localvolmodelbuilder.hpp |
builder for an array of local vol processes | |
file | commodityapomodelbuilder.hpp |
model builder for commodityapos | |
file | ast.hpp |
abstract syntax tree for payoff scripting | |
file | astprinter.hpp |
ast printer | |
file | asttoscriptconverter.hpp |
ast to script converter | |
file | computationgraphbuilder.hpp |
computation graph builder | |
file | context.hpp |
script engine context holding variable names and values | |
file | grammar.hpp |
payoff script grammar | |
file | amcmodel.hpp |
additional interface for amc enabled models | |
file | blackscholes.hpp |
black scholes model for n underlyings (fx, equity or commodity) | |
file | blackscholesbase.hpp |
black scholes model base class for n underlyings (fx, equity or commodity) | |
file | blackscholescg.hpp |
black scholes model for n underlyings (fx, equity or commodity) | |
file | blackscholescgbase.hpp |
black scholes model base class for n underlyings (fx, equity or commodity) | |
file | dummymodel.hpp |
dummy model implementation | |
file | gaussiancam.hpp |
gaussian cross asset model for ir, fx, eq, com | |
file | localvol.hpp |
local vol model for n underlyings (fx, equity or commodity) | |
file | model.hpp |
interface for model against which a script can be run | |
file | modelcg.hpp |
interface for model against which a script can be run | |
file | modelcgimpl.hpp |
basis implementation for a script engine model | |
file | modelimpl.hpp |
basis implementation for a script engine model | |
file | randomastgenerator.hpp |
random ast generator for testing purposes | |
file | safestack.hpp |
stack with safety checks and pop() that returns rvalue reference of top element | |
file | scriptengine.hpp |
scriptengine | |
file | scriptparser.hpp |
script parser | |
file | staticanalyser.hpp |
static script analyser | |
file | utilities.hpp |
some utility functions | |
file | value.hpp |
value type and operations | |
file | bondindexbuilder.hpp |
Interface for building a bond index. | |
file | calendaradjustmentconfig.hpp |
Interface for calendar modifications, additional holidays and business days. | |
file | calendarparser.hpp |
calendar parser singleton class | |
file | conventionsbasedfutureexpiry.hpp |
Base class for classes that perform date calculations for future contracts. | |
file | correlationmatrix.hpp |
configuration class for building correlation matrices | |
file | csvfilereader.hpp |
utility class to access CSV files | |
file | calendaradjustmentconfig.hpp |
Interface for calendar modifications, additional holidays and business days. | |
file | currencyparser.hpp |
currency parser singleton class | |
file | fileio.hpp |
Wrapper class for retrying file IO operations. | |
file | flowanalysis.hpp |
Extended QuantLib flow analysis. | |
file | indexnametranslator.hpp |
translates between QuantLib::Index::name() and ORE names | |
file | indexparser.hpp |
Map text representations to QuantLib/QuantExt types. | |
file | indexparser.hpp |
Map text representations to QuantLib/QuantExt types. | |
file | log.hpp |
Classes and functions for log message handling. | |
file | marketdata.hpp |
market data related utilties | |
file | osutils.hpp |
Various OS specific utilities. | |
file | parsers.hpp |
Map text representations to QuantLib/QuantExt types. | |
file | progressbar.hpp |
Classes for progress reporting. | |
file | serializationdate.hpp |
support for QuantLib::Date serialization | |
file | serializationdaycounter.hpp |
support for QuantLib::DayCounter serialization | |
file | serializationperiod.hpp |
support for QuantLib::Period serialization | |
file | strike.hpp |
strike description | |
file | timeperiod.hpp |
non-contiguous time period handling | |
file | to_string.hpp |
string conversion utilities | |
file | vectorutils.hpp |
Utilities for sorting vectors using permutations. | |
file | wildcard.hpp |
utilities for wildcard handling | |
file | xmlutils.hpp |
XML utility functions. | |
Classes | |
class | CorrelationMatrixBuilder |
class | Logger |
The Base Custom Log Handler class. More... | |
class | StderrLogger |
Stderr Logger. More... | |
class | FileLogger |
FileLogger. More... | |
class | BufferLogger |
BufferLogger. More... | |
class | IndependentLogger |
Base Log handler class that utilises Boost logging to create log sinks. More... | |
class | Log |
Global static Log class. More... | |
class | ProgressIndicator |
Abstract Base class for a Progress Indicator. More... | |
class | ProgressReporter |
Base class for a Progress Reporter. More... | |
class | SimpleProgressBar |
Simple Progress Bar. More... | |
class | ProgressLog |
Progress Logger that writes the progress using the LOG macro. More... | |
class | TimePeriod |
Handles non-contiguous time period. More... | |
class | xml_node< Ch > |
XML Node. More... | |
class | xml_document< Ch > |
XML Document. More... | |
class | XMLDocument |
Small XML Document wrapper class. More... | |
class | XMLSerializable |
Base class for all serializable classes. More... | |
class | XMLUtils |
XML Utilities Class. More... | |
Functions | |
bool | tryParseCdsInformation (std::string strInfo, CdsReferenceInformation &cdsInfo) |
std::vector< std::vector< std::string > > | flowAnalysis (const QuantLib::Leg &) |
Flow Analysis. | |
boost::shared_ptr< QuantExt::FxIndex > | parseFxIndex (const string &s, const Handle< Quote > &fxSpot=Handle< Quote >(), const Handle< YieldTermStructure > &sourceYts=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &targetYts=Handle< YieldTermStructure >(), const bool useConventions=false) |
Convert std::string to QuantExt::FxIndex. | |
boost::shared_ptr< IborIndex > | parseIborIndex (const string &s, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) |
Convert std::string to QuantLib::IborIndex. | |
boost::shared_ptr< IborIndex > | parseIborIndex (const std::string &strIndex, std::string &outTenor, const QuantLib::Handle< QuantLib::YieldTermStructure > &h=QuantLib::Handle< QuantLib::YieldTermStructure >()) |
Convert std::string to QuantLib::IborIndex and return the tenor string component of the index. More... | |
bool | tryParseIborIndex (const string &s, boost::shared_ptr< IborIndex > &index) |
Try to convert std::string to QuantLib::IborIndex. | |
bool | isGenericIborIndex (const string &indexName) |
Return true if the indexName is that of a generic ibor index, otherwise false. | |
std::pair< bool, boost::shared_ptr< QuantLib::ZeroInflationIndex > > | isInflationIndex (const std::string &indexName) |
bool | isEquityIndex (const std::string &indexName) |
Return true if the indexName is that of an EquityIndex, otherwise false. | |
bool | isCommodityIndex (const std::string &indexName) |
Return true if the indexName is that of an CommodityIndex, otherwise false. | |
bool | isGenericIndex (const std::string &indexName) |
boost::shared_ptr< QuantExt::EquityIndex2 > | parseEquityIndex (const string &s) |
Convert std::string (e.g SP5) to QuantExt::EquityIndex. | |
boost::shared_ptr< SwapIndex > | parseSwapIndex (const string &s, const Handle< YieldTermStructure > &forwarding=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &discounting=Handle< YieldTermStructure >()) |
Convert std::string to QuantLib::SwapIndex. | |
boost::shared_ptr< ZeroInflationIndex > | parseZeroInflationIndex (const string &s, const Handle< ZeroInflationTermStructure > &h=Handle< ZeroInflationTermStructure >()) |
Convert std::string to QuantLib::ZeroInflationIndex. | |
boost::shared_ptr< QuantExt::BondIndex > | parseBondIndex (const string &s) |
Convert std::string to QuantExt::BondIndex. | |
boost::shared_ptr< QuantExt::ConstantMaturityBondIndex > | parseConstantMaturityBondIndex (const string &s) |
Convert std::string to QuantExt::ConstantMaturityBondIndex. | |
boost::shared_ptr< QuantExt::CommodityIndex > | parseCommodityIndex (const std::string &name, bool hasPrefix=true, const QuantLib::Handle< QuantExt::PriceTermStructure > &ts=QuantLib::Handle< QuantExt::PriceTermStructure >(), const QuantLib::Calendar &cal=QuantLib::NullCalendar(), const bool enforceFutureIndex=true) |
boost::shared_ptr< QuantLib::Index > | parseGenericIndex (const string &s) |
Convert std::string (GENERIC-...) to QuantExt::Index. | |
boost::shared_ptr< Index > | parseIndex (const string &s) |
Convert std::string to QuantLib::Index. | |
bool | isOvernightIndex (const std::string &indexName) |
Return true if the indexName is that of an overnight index, otherwise false. | |
bool | isBmaIndex (const std::string &indexName) |
Return true if the indexName is that of an bma/sifma index, otherwise false. | |
std::string | internalIndexName (const std::string &indexName) |
std::string | getOsName () |
Returns the OS Name. | |
std::string | getOsVersion () |
Returns the OS Version. | |
std::string | getCpuName () |
Returns the CPU name (e.g. "Intel(R) Core(TM) i7-3720QM CPU @ 2.60GHz". | |
unsigned int | getNumberCores () |
Returns the number of Cores available to the OS. | |
std::string | getMemoryRAM () |
Returns the total amount of memory available (installed RAM) | |
std::string | getMemoryUsage () |
Returns the current process memory usage. | |
std::string | getPeakMemoryUsage () |
Returns the current process peak memory usage. | |
unsigned long long | getMemoryUsageBytes () |
unsigned long long | getPeakMemoryUsageBytes () |
Returns the current process peak memory usage in bytes. | |
std::string | getUsername () |
Returns the current username. | |
std::string | getHostname () |
Returns the machine name. | |
std::string | getSystemDetails () |
Returns all the above system details in a single string. | |
QuantLib::Date | parseDate (const string &s) |
Convert std::string to QuantLib::Date. | |
QuantLib::Real | parseReal (const string &s) |
Convert text to Real. | |
bool | tryParseReal (const string &s, QuantLib::Real &result) |
Attempt to convert text to Real. More... | |
QuantLib::Integer | parseInteger (const string &s) |
Convert text to QuantLib::Integer. | |
bool | parseBool (const string &s) |
Convert text to bool. | |
QuantLib::Calendar | parseCalendar (const string &s) |
Convert text to QuantLib::Calendar. More... | |
QuantLib::Period | parsePeriod (const string &s) |
Convert text to QuantLib::Period. | |
QuantLib::BusinessDayConvention | parseBusinessDayConvention (const string &s) |
Convert text to QuantLib::BusinessDayConvention. | |
QuantLib::DayCounter | parseDayCounter (const string &s) |
Convert text to QuantLib::DayCounter. | |
QuantLib::Currency | parseCurrency (const string &s) |
Convert text to QuantLib::Currency. | |
QuantLib::Currency | parseMinorCurrency (const string &s) |
Convert text to QuantLib::Currency for minor currencies e.g GBp -> GBPCurrency() | |
QuantLib::Currency | parseCurrencyWithMinors (const string &s) |
Convert text to QuantLib::Currency. | |
std::pair< QuantLib::Currency, QuantLib::Currency > | parseCurrencyPair (const string &s, const string &delimiters) |
Convert text to std::pair<QuantLib::Currency, QuantLib::Currency> | |
bool | checkCurrency (const string &code) |
check for vaid currency code, including minors and pseudo currencies | |
bool | isPseudoCurrency (const string &code) |
check for pseudo currency = precious metal or crypto currency */ | |
bool | isPreciousMetal (const string &code) |
check for precious metal */ | |
bool | isCryptoCurrency (const string &code) |
check for crypto currency */ | |
QuantLib::Real | convertMinorToMajorCurrency (const std::string &s, QuantLib::Real value) |
Convert a value from a minor ccy to major. More... | |
QuantLib::DateGeneration::Rule | parseDateGenerationRule (const string &s) |
Convert text to QuantLib::DateGeneration::Rule. | |
QuantLib::Frequency | parseFrequency (const string &s) |
Convert text to QuantLib::Frequency. | |
QuantLib::Compounding | parseCompounding (const string &s) |
Convert text to QuantLib::Compounding;. | |
QuantLib::Position::Type | parsePositionType (const string &s) |
Convert text to QuantLib::Position::Type. | |
QuantLib::Protection::Side | parseProtectionSide (const string &s) |
Convert text to QuantLib::Protection::Side. | |
QuantLib::Settlement::Type | parseSettlementType (const string &s) |
Convert text to QuantLib::Settlement::Type. | |
QuantLib::Settlement::Method | parseSettlementMethod (const string &s) |
Convert text to QuantLib::Settlement::Method. | |
QuantLib::Exercise::Type | parseExerciseType (const string &s) |
Convert text to QuantLib::Exercise::Type. | |
QuantLib::Option::Type | parseOptionType (const string &s) |
Convert text to QuantLib::Option::Type. | |
QuantLib::Bond::Price::Type | parseBondPriceType (const string &s) |
Convert text to QuantLib::Bond::Price::Type. | |
boost::variant< QuantLib::Date, QuantLib::Period > | parseDateOrPeriod (const string &s) |
Convert text to QuantLib::Period or QuantLib::Date. | |
void | parseDateOrPeriod (const string &s, QuantLib::Date &d, QuantLib::Period &p, bool &isDate) |
Convert text to QuantLib::Period or QuantLib::Date (deprecated version) | |
QuantLib::LsmBasisSystem::PolynomialType | parsePolynomType (const std::string &s) |
Convert text to QuantLib::LsmBasisSystem::PolynomialType. | |
std::ostream & | operator<< (std::ostream &os, QuantLib::LsmBasisSystem::PolynomialType a) |
Write QuantLib::LsmBasisSystem::PolynomialType to stream. | |
QuantLib::SobolBrownianGenerator::Ordering | parseSobolBrownianGeneratorOrdering (const std::string &s) |
Convert text to QuantLib::SobolBrownianGenerator::Ordering. | |
QuantLib::SobolRsg::DirectionIntegers | parseSobolRsgDirectionIntegers (const std::string &s) |
Convert text to QuantLib::SobolRsg::DirectionIntegers. | |
QuantLib::Weekday | parseWeekday (const std::string &s) |
QuantLib::Month | parseMonth (const std::string &s) |
PaymentLag | parsePaymentLag (const string &s) |
Convert text to PaymentLag. | |
template<class T > | |
std::vector< T > | parseListOfValues (string s, std::function< T(string)> parser) |
Convert comma separated list of values to vector of values. | |
QuantExt::SequenceType | parseSequenceType (const std::string &s) |
Convert string to sequence type. | |
QuantLib::CPI::InterpolationType | parseObservationInterpolation (const std::string &s) |
Convert string to observation interpolation. | |
QuantLib::FdmSchemeDesc | parseFdmSchemeDesc (const std::string &s) |
Convert string to fdm scheme desc. | |
AssetClass | parseAssetClass (const std::string &s) |
Convert text to ore::data::AssetClass. | |
std::ostream & | operator<< (std::ostream &os, AssetClass a) |
Write ore::data::AssetClass to stream. | |
QuantLib::DeltaVolQuote::AtmType | parseAtmType (const std::string &s) |
Convert text to QuantLib::DeltaVolQuote::AtmType. | |
QuantLib::DeltaVolQuote::DeltaType | parseDeltaType (const std::string &s) |
Convert text to QuantLib::DeltaVolQuote::DeltaType. | |
QuantLib::Rounding::Type | parseRoundingType (const std::string &s) |
Convert text to QuantLib::Rounding. | |
QuantLib::Barrier::Type | parseBarrierType (const string &s) |
Convert std::string to QuantLib::BarrierType. | |
QuantLib::DoubleBarrier::Type | parseDoubleBarrierType (const string &s) |
Convert std::string to QuantLib::DoubleBarrierType. | |
template<class T > | |
bool | tryParse (const std::string &str, T &obj, std::function< T(std::string)> parser) |
QuantLib::VolatilityType | parseVolatilityQuoteType (const std::string &s) |
QuantLib::CapFloor::Type | parseCapFloorType (const std::string &s) |
QuantLib::YoYInflationCapFloor::Type | parseYoYInflationCapFloorType (const std::string &s) |
QuantExt::CrossAssetModel::AssetType | parseCamAssetType (const std::string &s) |
std::pair< string, string > | parseBoostAny (const boost::any &anyType, Size precision=8) |
QuantExt::CdsOption::StrikeType | parseCdsOptionStrikeType (const std::string &s) |
QuantLib::Average::Type | parseAverageType (const std::string &s) |
QuantExt::BondIndex::PriceQuoteMethod | parsePriceQuoteMethod (const std::string &s) |
string | fxDominance (const string &s1, const string &s2) |
Convert FX pair to market standard dominance. More... | |
MomentType | parseMomentType (const std::string &s) |
Convert text to ore::data::MomentType. | |
QuantLib::Pillar::Choice | parsePillarChoice (const std::string &s) |
Convert text to QuantLib::Pillar::Choice. | |
template<class Archive > | |
void | serialize (Archive &ar, QuantLib::Date &d, const unsigned int) |
Allow for serialization of QuantLib::Date without amending its class (non-intrusive) | |
template<class Archive > | |
void | serialize (Archive &ar, QuantLib::DayCounter &dc, const unsigned int) |
Allow for serialization of QuantLib::Period without amending its class (non-intrusive) | |
template<class Archive > | |
void | serialize (Archive &ar, QuantLib::Period &p, const unsigned int) |
Allow for serialization of QuantLib::Period without amending its class (non-intrusive) | |
Strike | parseStrike (const std::string &s) |
Convert text to Strike. | |
std::ostream & | operator<< (std::ostream &out, const Strike &s) |
Convert Strike to text. | |
bool | operator== (const Strike &s1, const Strike &s2) |
Logical comparison of strikes. | |
QuantLib::Real | computeAbsoluteStrike (const Strike &s, const QuantLib::Real atm, const QuantLib::Real atmf) |
Convenience function that computes an absolute strike. | |
std::string | to_string (const QuantLib::Date &date) |
Convert QuantLib::Date to std::string. More... | |
std::string | to_string (bool aBool) |
Convert bool to std::string. More... | |
std::string | to_string (const QuantLib::Period &period) |
Convert QuantLib::Period to std::string. More... | |
template<class T > | |
std::string | to_string (const std::vector< T > &vec, const std::string &sep=",") |
Convert vector to std::string. More... | |
template<class T > | |
std::string | to_string (const std::set< T > &set, const std::string &sep=",") |
Convert set to std::string. | |
template<class T > | |
std::string | to_string (const T &t) |
Convert type to std::string. More... | |
template<typename T , typename Compare > | |
std::vector< std::size_t > | sort_permutation (const std::vector< T > &vec, Compare &compare) |
template<typename T > | |
std::vector< T > | apply_permutation (const std::vector< T > &vec, const std::vector< std::size_t > &p) |
template<typename T > | |
void | apply_permutation_in_place (std::vector< T > &vec, const std::vector< std::size_t > &p) |
Grouping of all utility related classes, functions and files
bool ore::data::tryParseCdsInformation | ( | std::string | strInfo, |
CdsReferenceInformation & | cdsInfo | ||
) |
Attempt to parse string to CdsReferenceInformation
[in] | strInfo | The string we wish to convert to CdsReferenceInformation |
[out] | cdsInfo | The resulting CdsReferenceInformation if the parsing was successful. |
true
if the parsing was successful and false
if not.If the function receives a strInfo
of the form ID|TIER|CCY|DOCCLAUSE
with CCY
being a valid ISO currency code, TIER
being a valid CDS debt tier and DOCCLAUSE
being a valid CDS documentation clause, the parsing should be successful. Here, DOCCLAUSE is optional.
boost::shared_ptr<IborIndex> ore::data::parseIborIndex | ( | const std::string & | strIndex, |
std::string & | outTenor, | ||
const QuantLib::Handle< QuantLib::YieldTermStructure > & | h = QuantLib::Handle< QuantLib::YieldTermStructure >() |
||
) |
Convert std::string to QuantLib::IborIndex and return the tenor string component of the index.
In some cases, after parsing the IborIndex, we would like to know the exact tenor string that was part of the strIndex
that was parsed. If we ask the resulting index for its tenor via the method Period InterestRateIndex::tenor()
, it can be difficult to deduce the original tenor string. A simple example of this is MXN-TIIE-28D
where if you call tenor()
and then to_string()
, you get 4W
which is different than the original 28D
that is passed in.
strIndex
does not have a tenor component, as is the usual case for overnight indices, outTenor
will be populated with the empty string.std::pair<bool, boost::shared_ptr<QuantLib::ZeroInflationIndex> > ore::data::isInflationIndex | ( | const std::string & | indexName | ) |
Returns true as the first element in the pair if the indexName
is that of an InflationIndex. The second element in the pair is an instance of the inflation index. If indexName
is not an inflation index, the first element in the pair is false
and the second element is a nullptr
.
If inflation indices have been set up via ZeroInflationIndex entries in the Conventions, the conventions
should be passed here. If not, the default nullptr
parameter will be sufficient.
bool ore::data::isGenericIndex | ( | const std::string & | indexName | ) |
Return true if the indexName
is that of an GenericIndex, otherwise false
boost::shared_ptr<QuantExt::CommodityIndex> ore::data::parseCommodityIndex | ( | const std::string & | name, |
bool | hasPrefix = true , |
||
const QuantLib::Handle< QuantExt::PriceTermStructure > & | ts = QuantLib::Handle< QuantExt::PriceTermStructure >() , |
||
const QuantLib::Calendar & | cal = QuantLib::NullCalendar() , |
||
const bool | enforceFutureIndex = true |
||
) |
Convert std::string to QuantExt::ComodityIndex
This function can be used to parse commodity spot indices or commodity future indices:
name
is of the form COMM-EXCHANGE:COMMODITY
name
is of the form COMM-EXCHANGE:CONTRACT:YYYY-MM
or COMM-EXCHANGE:CONTRACT:YYYY-MM-DD
std::string ore::data::internalIndexName | ( | const std::string & | indexName | ) |
In some cases, we allow multiple external ibor index names to represent the same QuantLib index. This function returns the unique index name that we use internally to represent the QuantLib index.
For example, we allow:
USD-FedFunds-1D
and USD-FedFunds
externally but we use USD-FedFunds
internallyCAD-BA-tenor
and CAD-CDOR-tenor
externally but we use CAD-CDOR-tenor
internally unsigned long long ore::data::os::getMemoryUsageBytes | ( | ) |
Returns the current process memory usage in bytes Parts of code taken from: http://nadeausoftware.com/articles/2012/07/c_c_tip_how_get_process_resident_set_size_physical_memory_use
bool ore::data::tryParseReal | ( | const string & | s, |
QuantLib::Real & | result | ||
) |
Attempt to convert text to Real.
Attempts to convert text to Real
[in] | s | The string we wish to convert to a Real |
[out] | result | The result of the conversion if it is valid. Null<Real>() if conversion fails |
QuantLib::Calendar ore::data::parseCalendar | ( | const string & | s | ) |
Convert text to QuantLib::Calendar.
For a joint calendar, the separate calendar names should be comma-delimited.
QuantLib::Real ore::data::convertMinorToMajorCurrency | ( | const std::string & | s, |
QuantLib::Real | value | ||
) |
Convert a value from a minor ccy to major.
.i.e 100 GBp to 1 GBP
QuantLib::Weekday ore::data::parseWeekday | ( | const std::string & | s | ) |
Convert text to QuantLib::Weekday
QuantLib::Month ore::data::parseMonth | ( | const std::string & | s | ) |
Convert text to QuantLib::Month
bool ore::data::tryParse | ( | const std::string & | str, |
T & | obj, | ||
std::function< T(std::string)> | parser | ||
) |
Attempt to parse string str
to obj
of type T
using parser
[in] | str | The string we wish to parse. |
[out] | obj | The resulting object if the parsing was successful. |
[in] | parser | The function to use to attempt to parse str . This function may throw. |
true
if the parsing was successful and false
if not. QuantLib::VolatilityType ore::data::parseVolatilityQuoteType | ( | const std::string & | s | ) |
Convert text to QuantLib::VolatilityType
QuantLib::CapFloor::Type ore::data::parseCapFloorType | ( | const std::string & | s | ) |
Convert text to QuantLib::CapFloor::Type
QuantLib::YoYInflationCapFloor::Type ore::data::parseYoYInflationCapFloorType | ( | const std::string & | s | ) |
Convert text to QuantLib::YoYInflationCapFloor::Type
QuantExt::CrossAssetModel::AssetType ore::data::parseCamAssetType | ( | const std::string & | s | ) |
Convert text to QuantExt::CrossAssetModelTypes::AssetType
std::pair<string, string> ore::data::parseBoostAny | ( | const boost::any & | anyType, |
Size | precision = 8 |
||
) |
Convert boost::any to pair<string,string>, including the valueType and the value
QuantExt::CdsOption::StrikeType ore::data::parseCdsOptionStrikeType | ( | const std::string & | s | ) |
Convert text to QuantExt::CdsOption::StrikeType
QuantLib::Average::Type ore::data::parseAverageType | ( | const std::string & | s | ) |
Convert text to QuantLib::Average::Type
QuantExt::BondIndex::PriceQuoteMethod ore::data::parsePriceQuoteMethod | ( | const std::string & | s | ) |
Convert text to QuantExt::BondData::PriceQuoteMethod
string ore::data::fxDominance | ( | const string & | s1, |
const string & | s2 | ||
) |
Convert FX pair to market standard dominance.
Convert FX pair to market standard dominance, e.g. "USD" & "GBP" -> "GBPUSD", "USD" & "JPY" -> "USDJPY"
std::string ore::data::to_string | ( | const QuantLib::Date & | date | ) |
Convert QuantLib::Date to std::string.
Returns date as a string in YYYY-MM-DD format, which matches QuantLib::io::iso_date() However that function can have issues with locale so we have a local snprintf() based version.
If date == Date() returns 1900-01-01 so the above format is preserved.
std::string ore::data::to_string | ( | bool | aBool | ) |
Convert bool to std::string.
Returns "true" for true and "false" for false
std::string ore::data::to_string | ( | const QuantLib::Period & | period | ) |
Convert QuantLib::Period to std::string.
Returns Period as a string as up to QuantLib 1.25, e.g. 13M is written as 1Y1M etc.
std::string ore::data::to_string | ( | const std::vector< T > & | vec, |
const std::string & | sep = "," |
||
) |
Convert vector to std::string.
Returns a vector into a single string, with elemenst separated by Period as a string as up to QuantLib 1.25, e.g. 13M is written as 1Y1M etc.
std::string ore::data::to_string | ( | const T & | t | ) |
Convert type to std::string.
Utility to give to_string() interface to classes and enums that have ostream<< operators defined.