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

#include <ored/configuration/volatilityconfig.hpp>

+ Inheritance diagram for VolatilityStrikeSurfaceConfig:

Public Member Functions

 VolatilityStrikeSurfaceConfig (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.
 
 VolatilityStrikeSurfaceConfig (const std::vector< std::string > &strikes, const std::vector< std::string > &expiries, const std::string &timeInterpolation, const std::string &strikeInterpolation, bool extrapolation, const std::string &timeExtrapolation, const std::string &strikeExtrapolation, MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, std::string calendarStr=std::string(), QuantLib::Natural priority=0)
 Explicit constructor.
 
Inspectors
const std::vector< std::string > & strikes () const
 
const std::vector< std::string > & expiries () const
 
VolatilitySurfaceConfig
std::vector< std::pair< std::string, std::string > > quotes () const override
 
- Public Member Functions inherited from VolatilitySurfaceConfig
 VolatilitySurfaceConfig (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.
 
 VolatilitySurfaceConfig (const std::string &timeInterpolation, const std::string &strikeInterpolation, bool extrapolation, const std::string &timeExtrapolation, const std::string &strikeExtrapolation, MarketDatum::QuoteType quoteType=MarketDatum::QuoteType::RATE_LNVOL, QuantLib::Exercise::Type exerciseType=QuantLib::Exercise::Type::European, std::string calendarStr=std::string(), QuantLib::Natural priority=0)
 Explicit constructor.
 
const std::string & timeInterpolation () const
 
const std::string & strikeInterpolation () const
 
bool extrapolation () const
 
const std::string & timeExtrapolation () const
 
const std::string & strikeExtrapolation () 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
 

Additional Inherited Members

- Protected Member Functions inherited from VolatilitySurfaceConfig
void fromNode (ore::data::XMLNode *node)
 
void addNodes (ore::data::XMLDocument &doc, ore::data::XMLNode *node) const
 

Detailed Description

Volatility configuration for a 2-D absolute strike volatility surface

Member Function Documentation

◆ quotes()

std::vector<std::pair<std::string, std::string> > quotes ( ) const
overridevirtual

Return a vector of pairs of expiry and strike. The first element in the pair is the expiry and the second element in the pair is the string representation of the strike. This will be useful for building the vector of quote strings in classes that have a VolatilitySurfaceConfig.

Implements VolatilitySurfaceConfig.