#include <ored/configuration/volatilityconfig.hpp>

Inheritance diagram for VolatilitySurfaceConfig:

Public Member Functions
	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.

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
virtual void	fromXML (XMLNode *node)=0

virtual XMLNode *	toXML (XMLDocument &doc)=0

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.

Inspectors
const std::string &	timeInterpolation () const

const std::string &	strikeInterpolation () const

bool	extrapolation () const

const std::string &	timeExtrapolation () const

const std::string &	strikeExtrapolation () const

virtual std::vector< std::pair< std::string, std::string > >	quotes () const =0

void	fromNode (ore::data::XMLNode *node)

void	addNodes (ore::data::XMLDocument &doc, ore::data::XMLNode *node) const

Detailed Description

Base volatility configuration for a 2-D volatility surface

Member Function Documentation

◆ quotes()

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

pure virtual

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.

Implemented in VolatilityApoFutureSurfaceConfig, VolatilityMoneynessSurfaceConfig, VolatilityDeltaSurfaceConfig, and VolatilityStrikeSurfaceConfig.

◆ fromNode()

void fromNode ( ore::data::XMLNode * node )

protected

Populate members from the provided node. Can be called by fromXML in derived classes.

◆ addNodes()

void addNodes	(	ore::data::XMLDocument &	doc,
		ore::data::XMLNode *	node
	)		const

protected

Add members to the provided node. Can be called by toXML in derived classes.

Public Member Functions

Inspectors

Detailed Description

Member Function Documentation

◆ quotes()

◆ fromNode()

◆ addNodes()