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Reference manual - version ored_version
Public Types | Public Member Functions | List of all members
InflationCapFloorVolatilityCurveConfig Class Reference

Inflation CapFloor volatility curve configuration class. More...

#include <ored/configuration/inflationcapfloorvolcurveconfig.hpp>

+ Inheritance diagram for InflationCapFloorVolatilityCurveConfig:

Public Types

enum class  Type { ZC , YY }
 
enum class  VolatilityType { Lognormal , Normal , ShiftedLognormal }
 
enum class  QuoteType { Price , Volatility }
 

Public Member Functions

 InflationCapFloorVolatilityCurveConfig (const string &curveID, const string &curveDescription, const Type type, const QuoteType &quoteType, const VolatilityType &volatilityType, const bool extrapolate, const vector< string > &tenors, const vector< string > &capStrikes, const vector< string > &floorStrikes, const vector< string > &strikes, const DayCounter &dayCounter, Natural settleDays, const Calendar &calendar, const BusinessDayConvention &businessDayConvention, const string &index, const string &indexCurve, const string &yieldTermStructure, const Period &observationLag, const std::string &quoteIndex="", const std::string &conventions="", const bool useLastAvailableFixingDate=false)
 
XMLSerializable interface
void fromXML (XMLNode *node) override
 
XMLNodetoXML (XMLDocument &doc) override
 
Inspectors
const Type & type () const
 
const QuoteType & quoteType () const
 
const VolatilityType & volatilityType () const
 
const bool & extrapolate () const
 
const vector< string > & tenors () const
 
const vector< string > & strikes () const
 
const vector< string > & capStrikes () const
 
const vector< string > & floorStrikes () const
 
const DayCounter & dayCounter () const
 
const Natural & settleDays () const
 
const Calendar & calendar () const
 
const BusinessDayConvention & businessDayConvention () const
 
const string & index () const
 
const string & indexCurve () const
 
const string & yieldTermStructure () const
 
const vector< string > & quotes () override
 Return all the market quotes required for this config.
 
const Period & observationLag () const
 
const std::string & quoteIndex () const
 
const std::string & conventions () const
 
const bool & useLastAvailableFixingDate () 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 ()
 
- 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

Type & type ()
 
QuoteType & quoteType ()
 
VolatilityType & volatilityType ()
 
bool & extrapolate ()
 
vector< string > & tenors ()
 
vector< string > & strikes ()
 
vector< string > & capStrikes ()
 
vector< string > & floorStrikes ()
 
DayCounter & dayCounter ()
 
Natural & settleDays ()
 
Calendar & calendar ()
 
string & index ()
 
string & indexCurve ()
 
string & yieldTermStructure ()
 
Period & observationLag ()
 
std::string & quoteIndex ()
 
std::string & conventions ()
 
bool & useLastAvailableFixingDate ()
 

Additional Inherited Members

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

Detailed Description

Inflation CapFloor volatility curve configuration class.