parsers.hpp File Reference

Map text representations to QuantLib/QuantExt types. More...

#include <ored/configuration/commoditycurveconfig.hpp>
#include <ored/configuration/conventions.hpp>
#include <ored/portfolio/types.hpp>
#include <ored/utilities/log.hpp>
#include <ql/cashflows/cpicoupon.hpp>
#include <ql/compounding.hpp>
#include <ql/currency.hpp>
#include <ql/exercise.hpp>
#include <ql/instruments/doublebarriertype.hpp>
#include <ql/experimental/fx/deltavolquote.hpp>
#include <ql/instruments/averagetype.hpp>
#include <ql/instruments/barriertype.hpp>
#include <ql/instruments/bond.hpp>
#include <ql/instruments/capfloor.hpp>
#include <ql/instruments/inflationcapfloor.hpp>
#include <ql/instruments/overnightindexfuture.hpp>
#include <ql/instruments/swaption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <ql/position.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/time/businessdayconvention.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/date.hpp>
#include <ql/time/dategenerationrule.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/period.hpp>
#include <ql/types.hpp>
#include <qle/cashflows/commoditycashflow.hpp>
#include <qle/currencies/configurablecurrency.hpp>
#include <qle/indexes/bondindex.hpp>
#include <qle/instruments/cdsoption.hpp>
#include <qle/methods/multipathgeneratorbase.hpp>
#include <qle/models/crossassetmodel.hpp>
#include <boost/algorithm/string/trim.hpp>
#include <boost/tokenizer.hpp>
#include <boost/variant.hpp>

Namespaces
	ore
	Serializable Credit Default Swap.
	ore::data

Enumerations
enum class	AmortizationType {   None , FixedAmount , RelativeToInitialNotional , RelativeToPreviousNotional ,   Annuity , LinearToMaturity }
enum class	AssetClass {   EQ , FX , COM , IR ,   INF , CR , BOND , BOND_INDEX }
enum class	Extrapolation { None , UseInterpolator , Flat }
	Enumeration for holding various extrapolation settings.
enum class	MomentType { Variance , Volatility }
enum class	CreditPortfolioSensitivityDecomposition { Underlying , NotionalWeighted , LossWeighted , DeltaWeighted }
	Enumeration CreditPortfolioSensitivityDecomposition.

Functions
QuantLib::Date	parseDate (const string &s)
	Convert std::string to QuantLib::Date.
QuantLib::Real	parseReal (const string &s)
	Convert text to Real.
bool	tryParseReal (const string &s, QuantLib::Real &result)
	Attempt to convert text to Real. More...
QuantLib::Integer	parseInteger (const string &s)
	Convert text to QuantLib::Integer.
bool	parseBool (const string &s)
	Convert text to bool.
QuantLib::Calendar	parseCalendar (const string &s)
	Convert text to QuantLib::Calendar. More...
bool	isOnePeriod (const string &s)
	return true if s represents a period of the form [0-9]D|W|M|Y
QuantLib::Period	parsePeriod (const string &s)
	Convert text to QuantLib::Period.
QuantLib::BusinessDayConvention	parseBusinessDayConvention (const string &s)
	Convert text to QuantLib::BusinessDayConvention.
QuantLib::DayCounter	parseDayCounter (const string &s)
	Convert text to QuantLib::DayCounter.
QuantLib::Currency	parseCurrency (const string &s)
	Convert text to QuantLib::Currency.
QuantLib::Currency	parseMinorCurrency (const string &s)
	Convert text to QuantLib::Currency for minor currencies e.g GBp -> GBPCurrency()
QuantLib::Currency	parseCurrencyWithMinors (const string &s)
	Convert text to QuantLib::Currency.
std::pair< QuantLib::Currency, QuantLib::Currency >	parseCurrencyPair (const string &s, const string &delimiters)
	Convert text to std::pair<QuantLib::Currency, QuantLib::Currency>
bool	checkCurrency (const string &code)
	check for vaid currency code, including minors and pseudo currencies
bool	isPseudoCurrency (const string &code)
	check for pseudo currency = precious metal or crypto currency *‍/
bool	isPreciousMetal (const string &code)
	check for precious metal *‍/
bool	isCryptoCurrency (const string &code)
	check for crypto currency *‍/
QuantLib::Real	convertMinorToMajorCurrency (const std::string &s, QuantLib::Real value)
	Convert a value from a minor ccy to major. More...
QuantLib::DateGeneration::Rule	parseDateGenerationRule (const string &s)
	Convert text to QuantLib::DateGeneration::Rule.
QuantLib::Frequency	parseFrequency (const string &s)
	Convert text to QuantLib::Frequency.
QuantLib::Compounding	parseCompounding (const string &s)
	Convert text to QuantLib::Compounding;.
QuantLib::Position::Type	parsePositionType (const string &s)
	Convert text to QuantLib::Position::Type.
QuantLib::Protection::Side	parseProtectionSide (const string &s)
	Convert text to QuantLib::Protection::Side.
QuantLib::Settlement::Type	parseSettlementType (const string &s)
	Convert text to QuantLib::Settlement::Type.
QuantLib::Settlement::Method	parseSettlementMethod (const string &s)
	Convert text to QuantLib::Settlement::Method.
QuantLib::Exercise::Type	parseExerciseType (const string &s)
	Convert text to QuantLib::Exercise::Type.
QuantLib::Option::Type	parseOptionType (const string &s)
	Convert text to QuantLib::Option::Type.
QuantLib::Bond::Price::Type	parseBondPriceType (const string &s)
	Convert text to QuantLib::Bond::Price::Type.
boost::variant< QuantLib::Date, QuantLib::Period >	parseDateOrPeriod (const string &s)
	Convert text to QuantLib::Period or QuantLib::Date.
void	parseDateOrPeriod (const string &s, QuantLib::Date &d, QuantLib::Period &p, bool &isDate)
	Convert text to QuantLib::Period or QuantLib::Date (deprecated version)
QuantLib::LsmBasisSystem::PolynomialType	parsePolynomType (const std::string &s)
	Convert text to QuantLib::LsmBasisSystem::PolynomialType.
std::ostream &	operator<< (std::ostream &os, QuantLib::LsmBasisSystem::PolynomialType a)
	Write QuantLib::LsmBasisSystem::PolynomialType to stream.
QuantLib::SobolBrownianGenerator::Ordering	parseSobolBrownianGeneratorOrdering (const std::string &s)
	Convert text to QuantLib::SobolBrownianGenerator::Ordering.
QuantLib::SobolRsg::DirectionIntegers	parseSobolRsgDirectionIntegers (const std::string &s)
	Convert text to QuantLib::SobolRsg::DirectionIntegers.
QuantLib::Weekday	parseWeekday (const std::string &s)
QuantLib::Month	parseMonth (const std::string &s)
PaymentLag	parsePaymentLag (const string &s)
	Convert text to PaymentLag.
template<class T >
std::vector< T >	parseListOfValues (string s, std::function< T(string)> parser)
	Convert comma separated list of values to vector of values.
template<class T >
std::vector< T >	parseVectorOfValues (std::vector< std::string > str, std::function< T(string)> parser)
std::vector< string >	parseListOfValues (string s, const char escape='\\', const char delim=',', const char quote='\"')
AmortizationType	parseAmortizationType (const std::string &s)
QuantExt::SequenceType	parseSequenceType (const std::string &s)
	Convert string to sequence type.
QuantLib::CPI::InterpolationType	parseObservationInterpolation (const std::string &s)
	Convert string to observation interpolation.
QuantLib::FdmSchemeDesc	parseFdmSchemeDesc (const std::string &s)
	Convert string to fdm scheme desc.
AssetClass	parseAssetClass (const std::string &s)
	Convert text to ore::data::AssetClass.
std::ostream &	operator<< (std::ostream &os, AssetClass a)
	Write ore::data::AssetClass to stream.
QuantLib::DeltaVolQuote::AtmType	parseAtmType (const std::string &s)
	Convert text to QuantLib::DeltaVolQuote::AtmType.
QuantLib::DeltaVolQuote::DeltaType	parseDeltaType (const std::string &s)
	Convert text to QuantLib::DeltaVolQuote::DeltaType.
QuantLib::Rounding::Type	parseRoundingType (const std::string &s)
	Convert text to QuantLib::Rounding.
QuantLib::Barrier::Type	parseBarrierType (const string &s)
	Convert std::string to QuantLib::BarrierType.
QuantLib::DoubleBarrier::Type	parseDoubleBarrierType (const string &s)
	Convert std::string to QuantLib::DoubleBarrierType.
template<class T >
bool	tryParse (const std::string &str, T &obj, std::function< T(std::string)> parser)
bool	tryParseCurrency (const std::string &str, Currency &obj)
Extrapolation	parseExtrapolation (const std::string &s)
	Parse Extrapolation from string.
std::ostream &	operator<< (std::ostream &os, Extrapolation extrap)
	Write Extrapolation, extrap, to stream.
QuantLib::VolatilityType	parseVolatilityQuoteType (const std::string &s)
QuantLib::CapFloor::Type	parseCapFloorType (const std::string &s)
QuantLib::YoYInflationCapFloor::Type	parseYoYInflationCapFloorType (const std::string &s)
QuantExt::CrossAssetModel::AssetType	parseCamAssetType (const std::string &s)
std::pair< string, string >	parseBoostAny (const boost::any &anyType, Size precision=8)
QuantLib::RateAveraging::Type	parseOvernightIndexFutureNettingType (const std::string &s)
	Convert text to QuantLib::RateAveraging::Type.
std::ostream &	operator<< (std::ostream &os, QuantLib::RateAveraging::Type t)
	Write QuantLib::RateAveraging::Type to stream.
FutureConvention::DateGenerationRule	parseFutureDateGenerationRule (const std::string &s)
	Convert text to FutureConvention::DateGeneration.
std::ostream &	operator<< (std::ostream &os, FutureConvention::DateGenerationRule t)
	Write QuantLib::RateAveraging::Type to stream.
InflationSwapConvention::PublicationRoll	parseInflationSwapPublicationRoll (const std::string &s)
	Convert text to InflationSwapConvention::PublicationRoll.
std::ostream &	operator<< (std::ostream &os, InflationSwapConvention::PublicationRoll pr)
	Write InflationSwapConvention::PublicationRoll to stream.
std::ostream &	operator<< (std::ostream &os, SobolBrownianGenerator::Ordering t)
	Write QuantLib::SobolBrownianGenerator::Ordering to stream.
std::ostream &	operator<< (std::ostream &os, SobolRsg::DirectionIntegers t)
	Write QuantLib::SobolRsg::DirectionIntegers to stream.
std::ostream &	operator<< (std::ostream &os, QuantExt::CrossAssetModel::Discretization type)
	Enum to string used in ScenarioGeneratorData's toXML.
CommodityFutureConvention::AveragingData::CalculationPeriod	parseAveragingDataPeriod (const std::string &s)
	Convert text to CommodityFutureConvention::AveragingData::CalculationPeriod.
std::ostream &	operator<< (std::ostream &os, CommodityFutureConvention::AveragingData::CalculationPeriod cp)
	Write CommodityFutureConvention::AveragingData::CalculationPeriod to stream.
PriceSegment::Type	parsePriceSegmentType (const std::string &s)
	Convert text to PriceSegment::Type.
std::ostream &	operator<< (std::ostream &os, PriceSegment::Type pst)
	Write PriceSegment::Type to stream.
QuantExt::CommodityQuantityFrequency	parseCommodityQuantityFrequency (const std::string &s)
	Convert text to QuantExt::CommodityQuantityFrequency.
std::ostream &	operator<< (std::ostream &os, QuantExt::CommodityQuantityFrequency cqf)
	Write QuantExt::CommodityQuantityFrequency to stream.
QuantExt::CdsOption::StrikeType	parseCdsOptionStrikeType (const std::string &s)
QuantLib::Average::Type	parseAverageType (const std::string &s)
QuantExt::BondIndex::PriceQuoteMethod	parsePriceQuoteMethod (const std::string &s)
std::ostream &	operator<< (std::ostream &os, QuantExt::BondIndex::PriceQuoteMethod)
	Write PriceQuoteMethod to stream.
std::vector< std::string >	getCorrelationTokens (const std::string &name)
	Helper function to get the two tokens in a correlation name Index2:Index1.
string	fxDominance (const string &s1, const string &s2)
	Convert FX pair to market standard dominance. More...
string	normaliseFxIndex (const std::string &indexName)
	Convert FX index name to market standard dominance.
MomentType	parseMomentType (const std::string &s)
	Convert text to ore::data::MomentType.
CreditPortfolioSensitivityDecomposition	parseCreditPortfolioSensitivityDecomposition (const std::string &s)
	Convert text to CreditPortfolioSensitivitiyDecomposition.
std::ostream &	operator<< (std::ostream &os, const CreditPortfolioSensitivityDecomposition d)
	Output operator for CreditPortfolioSensitivityDecomposition.
QuantLib::Pillar::Choice	parsePillarChoice (const std::string &s)
	Convert text to QuantLib::Pillar::Choice.

Detailed Description

Map text representations to QuantLib/QuantExt types.