Wrapper class for building commodity volatility structures. More...
#include <ored/marketdata/commodityvolcurve.hpp>
Public Member Functions | |
Constructors | |
CommodityVolCurve () | |
Default constructor. | |
CommodityVolCurve (const QuantLib::Date &asof, const CommodityVolatilityCurveSpec &spec, const Loader &loader, const CurveConfigurations &curveConfigs, const std::map< std::string, boost::shared_ptr< YieldCurve >> &yieldCurves={}, const std::map< std::string, boost::shared_ptr< CommodityCurve >> &commodityCurves={}, const std::map< std::string, boost::shared_ptr< CommodityVolCurve >> &commodityVolCurves={}, const map< string, boost::shared_ptr< FXVolCurve >> &fxVolCurves={}, const map< string, boost::shared_ptr< CorrelationCurve >> &correlationCurves={}, const Market *fxIndices=nullptr, const bool buildCalibrationInfo=true) | |
Detailed constructor. | |
Inspectors | |
const CommodityVolatilityCurveSpec & | spec () const |
const boost::shared_ptr< QuantLib::BlackVolTermStructure > & | volatility () |
void | buildVolCalibrationInfo (const Date &asof, boost::shared_ptr< VolatilityConfig > &volatilityConfig, const CurveConfigurations &curveConfigs, const CommodityVolatilityConfig &config) |
Build the calibration info. | |
const boost::shared_ptr< FxEqCommVolCalibrationInfo > & | calibrationInfo () const |
Wrapper class for building commodity volatility structures.