Reference manual - version ored_version
Correlation curve configuration. More...
#include <ored/configuration/correlationcurveconfig.hpp>
Inheritance diagram for CorrelationCurveConfig:Public Types | |
| enum class | CorrelationType { CMSSpread , Generic } |
| supported Correlation types | |
| enum class | Dimension { ATM , Constant } |
| supported Correlation dimensions | |
Public Member Functions | |
Constructors/Destructors | |
| CorrelationCurveConfig () | |
| Default constructor. | |
| CorrelationCurveConfig (const string &curveID, const string &curveDescription, const Dimension &dimension, const CorrelationType &corrType, const string &conventions, const MarketDatum::QuoteType "eType, const bool extrapolate, const vector< string > &optionTenors, const DayCounter &dayCounter, const Calendar &calendar, const BusinessDayConvention &businessDayConvention, const string &index1, const string &index2, const string ¤cy, const string &swaptionVol="", const string &discountCurve="") | |
| Detailed constructor. | |
Serialisation | |
| void | fromXML (XMLNode *node) override |
| XMLNode * | toXML (XMLDocument &doc) override |
Inspectors | |
| const CorrelationType & | correlationType () const |
| const string & | conventions () const |
| const Dimension & | dimension () const |
| const MarketDatum::QuoteType & | quoteType () const |
| const bool & | extrapolate () const |
| const vector< string > & | optionTenors () const |
| const DayCounter & | dayCounter () const |
| const Calendar & | calendar () const |
| const BusinessDayConvention & | businessDayConvention () const |
| const string & | index1 () const |
| const string & | index2 () const |
| const string & | currency () const |
| const string & | swaptionVolatility () const |
| const string & | discountCurve () const |
| const vector< string > & | quotes () override |
| Return all the market quotes required for this config. | |
| 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 () |
| 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. | |
Setters | |
| CorrelationType & | correlationType () |
| string & | conventions () |
| Dimension & | dimension () |
| MarketDatum::QuoteType & | quoteType () |
| bool & | extrapolate () |
| vector< string > & | optionTenors () |
| DayCounter & | dayCounter () |
| Calendar & | calendar () |
| string & | index1 () |
| string & | index2 () |
| string & | currency () |
| string & | swaptionVolatility () |
| string & | discountCurve () |
Additional Inherited Members | |
| Protected Attributes inherited from CurveConfig | |
| string | curveID_ |
| string | curveDescription_ |
| vector< string > | quotes_ |
| map< CurveSpec::CurveType, set< string > > | requiredCurveIds_ |
Correlation curve configuration.
