public virtual void Build()
{
_calendar = Parsers.ParseCalendar(_strCalendar);
_convention = Parsers.ParseBusinessDayConvention(_strConvention);
_eom = Parsers.ParseBool(_strEom);
_dayCounter = Parsers.ParseDayCounter(_strDayCounter);
_settlementDays = Parsers.ParseInteger(_strSettlementDays);
}
public virtual void Build()
{
_spotDays = Parsers.ParseInteger(_strSpotDays);
_sourceCurrency = Parsers.ParseCurrency(_strSourceCurrency);
_targetCurrency = Parsers.ParseCurrency(_strTargetCurrency);
_pointsFactor = Parsers.ParseDouble(_strPointsFactor);
_advanceCalendar = _strAdvanceCalendar == "" ? new NullCalendar() : Parsers.ParseCalendar(_strAdvanceCalendar);
_spotRelative = _strSpotRelative == "" ? true : Parsers.ParseBool(_strSpotRelative);
}
public virtual void Build()
{
_dayCounter = Parsers.ParseDayCounter(_strDayCounter);
_compounding = _strCompounding == string.Empty ? QLNet.Compounding.Continuous : Parsers.ParseCompounding(_strCompounding);
_compoundingFrequency = _strCompoundingFrequency == string.Empty ? Frequency.Annual : Parsers.ParseFrequency(_strCompoundingFrequency);
if (_tenorBased)
{
_tenorCalendar = Parsers.ParseCalendar(_strTenorCalendar);
_spotLag = Convert.ToInt32(_strSpotLag);
_spotCalendar = Parsers.ParseCalendar(_strSpotCalendar);
_rollConvention = Parsers.ParseBusinessDayConvention(_strRollConvention);
_eom = Parsers.ParseBool(_strEom);
}
}
public override void FromXML(XmlNode node)
{
CheckNode(node, "FXVolatility");
_curveID = GetChildValue(node, "CurveId", true);
_curveDescription = GetChildValue(node, "CurveDescription", true);
string dim = GetChildValue(node, "Dimension", true);
string cal = GetChildValue(node, "Calendar");
if (cal == "")
{
cal = "TARGET";
}
_calendar = Parsers.ParseCalendar(cal);
string dc = GetChildValue(node, "DayCounter");
if (dc == "")
{
dc = "A365";
}
_dayCounter = Parsers.ParseDayCounter(dc);
if (dim == "ATM")
{
_dimension = Dimension.ATM;
}
else if (dim == "Smile")
{
_dimension = Dimension.Smile;
}
else
{
Utils.QL_FAIL("Dimension " + dim + " not supported yet");
}
_expiries = GetChildrenValuesAsPeriods(node, "Expiries", true);
if (_dimension == Dimension.Smile)
{
_fxSpotID = GetChildValue(node, "FXSpotID", true);
_fxForeignYieldCurveID = GetChildValue(node, "FXForeignCurveID", true);
_fxDomesticYieldCurveID = GetChildValue(node, "FXDomesticCurveID", true);
}
}
public virtual void Build()
{
_fixedCalendar = Parsers.ParseCalendar(_strFixedCalendar);
_fixedFrequency = Parsers.ParseFrequency(_strFixedFrequency);
_fixedConvention = Parsers.ParseBusinessDayConvention(_strFixedConvention);
_fixedDayCounter = Parsers.ParseDayCounter(_strFixedDayCounter);
_index = Parsers.ParseIborIndex(_strIndex);
if (_hasSubPeriod)
{
_floatFrequency = Parsers.ParseFrequency(_strFloatFrequency);
//_subPeriodsCouponType = Parsers.ParseSubPeriodsCouponType(_strSubPeriodsCouponType);
}
else
{
_floatFrequency = Frequency.NoFrequency;
//_subPeriodsCouponType = QuantExt::SubPeriodsCoupon::Compounding;
}
}
public override void FromXML(XmlNode node)
{
CheckNode(node, "SwaptionVolatility");
_curveID = GetChildValue(node, "CurveId", true);
_curveDescription = GetChildValue(node, "CurveDescription", true);
string dim = GetChildValue(node, "Dimension", true);
if (dim == "ATM")
{
_dimension = Dimension.ATM;
}
else if (dim == "Smile")
{
_dimension = Dimension.Smile;
}
else
{
Utils.QL_FAIL("Dimension " + dim + " not recognized");
}
string volType = GetChildValue(node, "VolatilityType", true);
if (volType == "Normal")
{
_volatilityType = VolatilityType.Normal;
}
else if (volType == "Lognormal")
{
_volatilityType = VolatilityType.Lognormal;
}
else if (volType == "ShiftedLognormal")
{
_volatilityType = VolatilityType.ShiftedLognormal;
}
else
{
Utils.QL_FAIL("Volatility type " + volType + " not recognized");
}
string extr = GetChildValue(node, "Extrapolation", true);
_extrapolate = true;
_flatExtrapolation = true;
if (extr == "Linear")
{
_flatExtrapolation = false;
}
else if (extr == "Flat")
{
_flatExtrapolation = true;
}
else if (extr == "None")
{
_extrapolate = false;
}
else
{
Utils.QL_FAIL("Extrapolation " + extr + " not recognized");
}
_optionTenors = GetChildrenValuesAsPeriods(node, "OptionTenors", true);
_swapTenors = GetChildrenValuesAsPeriods(node, "SwapTenors", true);
string cal = GetChildValue(node, "Calendar", true);
_calendar = Parsers.ParseCalendar(cal);
string dc = GetChildValue(node, "DayCounter", true);
_dayCounter = Parsers.ParseDayCounter(dc);
string bdc = GetChildValue(node, "BusinessDayConvention", true);
_businessDayConvention = Parsers.ParseBusinessDayConvention(bdc);
_shortSwapIndexBase = GetChildValue(node, "ShortSwapIndexBase", true);
_swapIndexBase = GetChildValue(node, "SwapIndexBase", true);
// optional smile stuff
_smileOptionTenors = GetChildrenValuesAsPeriods(node, "SmileOptionTenors", false);
_smileSwapTenors = GetChildrenValuesAsPeriods(node, "SmileSwapTenors", false);
_smileSpreads = GetChildrenValuesAsDoublesCompact(node, "SmileSpreads", false);
}