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

#include <ored/configuration/volatilityconfig.hpp>

+ Inheritance diagram for VolatilityCurveConfig:

Public Member Functions

 VolatilityCurveConfig (MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, bool enforceMontoneVariance=true, std::string calendarStr=std::string(), QuantLib::Natural priority=0)
 Default constructor.
 
 VolatilityCurveConfig (const std::vector< std::string > &quotes, const std::string &interpolation, const std::string &extrapolation, MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, bool enforceMontoneVariance=true, std::string calendarStr=std::string(), QuantLib::Natural priority=0)
 Explicit constructor.
 
Inspectors
const std::vector< std::string > & quotes () const
 
const std::string & interpolation () const
 
const std::string & extrapolation () const
 
bool enforceMontoneVariance () const
 
- Public Member Functions inherited from QuoteBasedVolatilityConfig
 QuoteBasedVolatilityConfig (MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, std::string calendarStr=std::string(), QuantLib::Natural priority=0)
 Default constructor.
 
const MarketDatum::QuoteTypequoteType () const
 
const QuantLib::Exercise::Type & exerciseType () const
 
void fromBaseNode (ore::data::XMLNode *node)
 
void toBaseNode (ore::data::XMLDocument &doc, ore::data::XMLNode *node)
 
- Public Member Functions inherited from VolatilityConfig
 VolatilityConfig (std::string calendarStr=std::string(), QuantLib::Natural priority=0)
 
void fromXMLNode (ore::data::XMLNode *node)
 
void toXMLNode (XMLDocument &doc, XMLNode *node)
 
QuantLib::Natural priority () const
 
Calendar calendar () 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.
 

Serialisation

void fromXML (ore::data::XMLNode *node) override
 
ore::data::XMLNodetoXML (ore::data::XMLDocument &doc) override
 

Detailed Description

Volatility configuration for a 1-D volatility curve