Reference manual - version ored_version
#include <ored/configuration/capfloorvolcurveconfig.hpp>
Inheritance diagram for CapFloorVolatilityCurveConfig:Public Types | |
| enum class | VolatilityType { Lognormal , Normal , ShiftedLognormal } |
| The type of volatility quotes that have been configured. | |
| enum class | Type { TermAtm , TermSurface , TermSurfaceWithAtm , OptionletAtm , OptionletSurface , OptionletSurfaceWithAtm } |
| The type of structure that has been configured. | |
Public Member Functions | |
| CapFloorVolatilityCurveConfig () | |
| Default constructor. | |
| CapFloorVolatilityCurveConfig (const std::string &curveID, const std::string &curveDescription, const VolatilityType &volatilityType, bool extrapolate, bool flatExtrapolation, bool inlcudeAtm, const std::vector< std::string > &tenors, const std::vector< std::string > &strikes, const QuantLib::DayCounter &dayCounter, QuantLib::Natural settleDays, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &businessDayConvention, const std::string &index, const QuantLib::Period &rateComputationPeriod, const QuantLib::Size onCapSettlementDays, const std::string &discountCurve, const std::string &interpolationMethod="BicubicSpline", const std::string &interpolateOn="TermVolatilities", const std::string &timeInterpolation="LinearFlat", const std::string &strikeInterpolation="LinearFlat", const std::vector< std::string > &atmTenors={}, const BootstrapConfig &bootstrapConfig=BootstrapConfig(), const string &inputType="TermVolatilities") | |
| Detailed constructor. | |
| CapFloorVolatilityCurveConfig (const std::string &curveID, const std::string &curveDescription, const std::string &proxySourceCurveId, const std::string &proxySourceIndex, const std::string &proxyTargetIndex, const QuantLib::Period &proxySourceRateComputationPeriod=0 *Days, const QuantLib::Period &proxyTargetRateComputationPeriod=0 *Days) | |
| Detailled constructor for proxy config. | |
XMLSerializable interface | |
| void | fromXML (XMLNode *node) override |
| XMLNode * | toXML (XMLDocument &doc) override |
| Public Member Functions inherited from CurveConfig | |
| CurveConfig (const string &curveID, const string &curveDescription, const vector< string > "es=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. | |
Inspectors | |
| const VolatilityType & | volatilityType () const |
| MarketDatum::QuoteType | quoteType () const |
| bool | extrapolate () const |
| bool | flatExtrapolation () const |
| bool | includeAtm () const |
| const std::vector< std::string > & | tenors () const |
| const std::vector< std::string > & | strikes () const |
| bool | optionalQuotes () const |
| const QuantLib::DayCounter & | dayCounter () const |
| const QuantLib::Natural & | settleDays () const |
| const QuantLib::Calendar & | calendar () const |
| const QuantLib::BusinessDayConvention & | businessDayConvention () const |
| const std::string & | index () const |
| const QuantLib::Period & | rateComputationPeriod () const |
| QuantLib::Size | onCapSettlementDays () const |
| const std::string & | discountCurve () const |
| QuantExt::CapFloorTermVolSurfaceExact::InterpolationMethod | interpolationMethod () const |
| const std::string & | interpolateOn () const |
| const std::string & | timeInterpolation () const |
| const std::string & | strikeInterpolation () const |
| bool | quoteIncludesIndexName () const |
| const std::vector< std::string > & | atmTenors () const |
| const BootstrapConfig & | bootstrapConfig () const |
| Type | type () const |
| const string & | currency () const |
| string | indexTenor () const |
| const std::string & | proxySourceCurveId () const |
| const std::string & | proxySourceIndex () const |
| const std::string & | proxyTargetIndex () const |
| const QuantLib::Period & | proxySourceRateComputationPeriod () const |
| const QuantLib::Period & | proxyTargetRateComputationPeriod () const |
| const ReportConfig & | reportConfig () const |
| std::string | toString (VolatilityType type) const |
Convert VolatilityType type to string. | |
Additional Inherited Members | |
| Protected Attributes inherited from CurveConfig | |
| string | curveID_ |
| string | curveDescription_ |
| vector< string > | quotes_ |
| map< CurveSpec::CurveType, set< string > > | requiredCurveIds_ |
Cap floor volatility curve configuration class
