Reference manual - version ored_version
Inheritance diagram for DefaultCurveConfig::Config:Public Types | |
| enum class | Type { SpreadCDS , HazardRate , Benchmark , Price , MultiSection , TransitionMatrix , Null } |
| Supported default curve types. | |
Public Member Functions | |
| Config (const Type &type, const string &discountCurveID, const string &recoveryRateQuote, const DayCounter &dayCounter, const string &conventionID, const std::vector< std::pair< std::string, bool >> &cdsQuotes={}, bool extrapolation=true, const string &benchmarkCurveID="", const string &sourceCurveID="", const std::vector< string > &pillars=std::vector< string >(), const Calendar &calendar=Calendar(), const Size spotLag=0, const QuantLib::Date &startDate=QuantLib::Date(), const BootstrapConfig &bootstrapConfig=BootstrapConfig(), QuantLib::Real runningSpread=QuantLib::Null< Real >(), const QuantLib::Period &indexTerm=0 *QuantLib::Days, const boost::optional< bool > &implyDefaultFromMarket=boost::none, const bool allowNegativeRates=false, const int priority=0) | |
| void | fromXML (XMLNode *node) override |
| XMLNode * | toXML (XMLDocument &doc) override |
Inspectors | |
| const int | priority () const |
| const Type & | type () const |
| const string & | discountCurveID () const |
| const string & | benchmarkCurveID () const |
| const string & | sourceCurveID () const |
| const string & | recoveryRateQuote () const |
| const string & | conventionID () const |
| const DayCounter & | dayCounter () const |
| const std::vector< string > & | pillars () const |
| const Calendar & | calendar () const |
| const Size & | spotLag () const |
| bool | extrapolation () const |
| const std::vector< std::pair< std::string, bool > > & | cdsQuotes () const |
| const QuantLib::Date & | startDate () const |
| const BootstrapConfig & | bootstrapConfig () const |
| const Real | runningSpread () const |
| const QuantLib::Period & | indexTerm () const |
| const boost::optional< bool > & | implyDefaultFromMarket () const |
| const vector< string > & | multiSectionSourceCurveIds () const |
| const vector< string > & | multiSectionSwitchDates () const |
| const bool | allowNegativeRates () const |
| const string & | initialState () const |
| const vector< string > & | states () const |
| 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 | |
| int & | priority () |
| Type & | type () |
| string & | discountCurveID () |
| string & | benchmarkCurveID () |
| string & | sourceCurveID () |
| string & | recoveryRateQuote () |
| string & | conventionID () |
| DayCounter & | dayCounter () |
| std::vector< string > | pillars () |
| Calendar | calendar () |
| Size | spotLag () |
| bool & | extrapolation () |
| QuantLib::Date & | startDate () |
| void | setBootstrapConfig (const BootstrapConfig &bootstrapConfig) |
| Real & | runningSpread () |
| QuantLib::Period & | indexTerm () |
| boost::optional< bool > & | implyDefaultFromMarket () |
| bool & | allowNegativeRates () |
