CDSVolatilityCurveConfig Class Reference

#include <ored/configuration/cdsvolcurveconfig.hpp>

Inheritance diagram for CDSVolatilityCurveConfig:

Public Member Functions
	CDSVolatilityCurveConfig ()
	Default constructor.
	CDSVolatilityCurveConfig (const std::string &curveId, const std::string &curveDescription, const boost::shared_ptr< VolatilityConfig > &volatilityConfig, const std::string &dayCounter="A365", const std::string &calendar="NullCalendar", const std::string &strikeType="", const std::string &quoteName="", QuantLib::Real strikeFactor=1.0, const std::vector< QuantLib::Period > &terms={}, const std::vector< std::string > &termCurves={})
	Detailed constructor.
Inspectors
const boost::shared_ptr< VolatilityConfig > &	volatilityConfig () const
const std::string &	dayCounter () const
const std::string &	calendar () const
const std::string &	strikeType () const
const std::string &	quoteName () const
QuantLib::Real	strikeFactor () const
const std::vector< QuantLib::Period > &	terms () const
const std::vector< std::string > &	termCurves () const
Public Member Functions inherited from CurveConfig
	CurveConfig (const string &curveID, const string &curveDescription, const vector< string > &quotes=vector< string >())
	Detailed constructor.
	CurveConfig ()
	Default constructor.
const string &	curveID () const
const string &	curveDescription () const
const set< string > &	requiredCurveIds (const CurveSpec::CurveType &curveType) const
const map< CurveSpec::CurveType, set< string > > &	requiredCurveIds () const
string &	curveID ()
string &	curveDescription ()
set< string > &	requiredCurveIds (const CurveSpec::CurveType &curveType)
map< CurveSpec::CurveType, set< string > > &	requiredCurveIds ()
virtual const vector< string > &	quotes ()
	Return all the market quotes required for this config.
Public Member Functions inherited from XMLSerializable
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename)
void	fromXMLString (const std::string &xml)
	Parse from XML string.
std::string	toXMLString ()
	Parse from XML string.

Serialisation
void	fromXML (XMLNode *node) override
ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) override

Additional Inherited Members
Protected Attributes inherited from CurveConfig
string	curveID_
string	curveDescription_
vector< string >	quotes_
map< CurveSpec::CurveType, set< string > >	requiredCurveIds_

Detailed Description

CDS and index CDS volatility configuration