#include <ored/configuration/volatilityconfig.hpp>
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::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 |
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 |
Volatility configuration for a 2-D absolute strike volatility surface
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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.