#include <ored/configuration/volatilityconfig.hpp>
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 > "es, 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::QuoteType & | quoteType () 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::XMLNode * | toXML (ore::data::XMLDocument &doc) override |
Volatility configuration for a 1-D volatility curve