public void visit(YieldCurveSegment s)
{
// Do nothing
}
public override void FromXML(XmlNode node)
{
CheckNode(node, "YieldCurve");
// Read in the mandatory nodes.
_curveID = GetChildValue(node, "CurveId", true);
_curveDescription = GetChildValue(node, "CurveDescription", true);
_currency = GetChildValue(node, "Currency", true);
_discountCurveID = GetChildValue(node, "DiscountCurve", true);
// Read in the segments.
XmlNode segmentsNode = GetChildNode(node, "Segments");
if (segmentsNode != null)
{
XmlNode child = GetChildNode(segmentsNode, "");
while (child != null)
{
YieldCurveSegment segment = new YieldCurveSegment();
string childName = GetNodeName(child);
if (childName == "Direct")
{
segment = new DirectYieldCurveSegment();
}
else if (childName == "Simple")
{
segment = new SimpleYieldCurveSegment();
}
else if (childName == "AverageOIS")
{
segment = new AverageOISYieldCurveSegment();
}
else if (childName == "TenorBasis")
{
segment = new TenorBasisYieldCurveSegment();
}
else if (childName == "CrossCurrency")
{
segment = new CrossCcyYieldCurveSegment();
}
else if (childName == "ZeroSpread")
{
segment = new ZeroSpreadedYieldCurveSegment();
}
else
{
Utils.QL_FAIL("Yield curve segment node name not recognized.");
}
if (segment != null)
{
try
{
segment.FromXML(child);
}
catch (Exception ex)
{
//ALOG("Exception parsing yield curve segment XML Node, name = " + childName + " and curveID = " + _curveID + " : " + ex.ToString();
}
}
else
{
//LOG("Unable to build yield curve segment for name = " << childName << " and curveID = " << curveID_);
}
_curveSegments.Add(segment);
child = GetNextSibling(child, "");
}
}
else
{
Utils.QL_FAIL("No Segments node in XML doc for yield curve ID = " + _curveID);
}
// Read in the optional nodes.
// Empty strings if not there (or if there and empty).
_interpolationVariable = GetChildValue(node, "InterpolationVariable", false);
_interpolationMethod = GetChildValue(node, "InterpolationMethod", false);
_zeroDayCounter = GetChildValue(node, "YieldCurveDayCounter", false);
// Add hardcoded defaults for now.
if (_interpolationVariable == "")
{
_interpolationVariable = "Discount";
}
if (_interpolationMethod == "")
{
_interpolationMethod = _interpolationVariable == "Zero" ? "Linear" : "LogLinear";
}
if (_zeroDayCounter == "")
{
_zeroDayCounter = "A365";
}
XmlNode nodeToTest = GetChildNode(node, "Extrapolation");
if (nodeToTest != null)
{
_extrapolation = GetChildValueAsBool(node, "Extrapolation", false);
}
else
{
_extrapolation = true;
}
nodeToTest = GetChildNode(node, "Tolerance");
if (nodeToTest != null)
{
_tolerance = GetChildValueAsDouble(node, "Tolerance", false);
}
else
{
_tolerance = 1.0e-12;
}
PopulateRequiredYieldCurveIDs();
}
private void addFXForwards(YieldCurveSegment segment, RateHelper instruments)
{
}
private void addCrossCcyBasisSwaps(YieldCurveSegment segment, RateHelper instruments)
{
}
private void addTenorBasisTwoSwaps(YieldCurveSegment segment, RateHelper instruments)
{
}
private void addAverageOISs(YieldCurveSegment segment, RateHelper instruments)
{
}
private void addSwaps(YieldCurveSegment segment, RateHelper instruments)
{
}
private void addFutures(YieldCurveSegment segment, RateHelper instruments)
{
}
// Functions to build RateHelpers from yield curve segments
private void AddDeposits(YieldCurveSegment segment, List <RateHelper> instruments)
{
}
