Inflation CapFloor volatility curve configuration class. More...
#include <ored/configuration/inflationcapfloorvolcurveconfig.hpp>
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 "eType, 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 "eIndex="", const std::string &conventions="", const bool useLastAvailableFixingDate=false) | |
XMLSerializable interface | |
void | fromXML (XMLNode *node) override |
XMLNode * | toXML (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 > "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. | |
Additional Inherited Members | |
Protected Attributes inherited from CurveConfig | |
string | curveID_ |
string | curveDescription_ |
vector< string > | quotes_ |
map< CurveSpec::CurveType, set< string > > | requiredCurveIds_ |
Inflation CapFloor volatility curve configuration class.