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()
{
_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 virtual void Build()
{
// First check that we have an overnight index.
_index = (OvernightIndex)Parsers.ParseIborIndex(_strIndex);
Utils.QL_REQUIRE(_index != null, () => "The index string, " + _strIndex + ", does not represent an overnight index.");
_spotLag = Parsers.ParseInteger(_strSpotLag);
_fixedDayCounter = Parsers.ParseDayCounter(_strFixedDayCounter);
_paymentLag = _strPaymentLag == string.Empty ? 0 : Parsers.ParseInteger(_strPaymentLag);
_eom = _strEom == string.Empty ? false : Parsers.ParseBool(_strEom);
_fixedFrequency = _strFixedFrequency == string.Empty ? Frequency.Annual : Parsers.ParseFrequency(_strFixedFrequency);
_fixedConvention = _strFixedConvention == string.Empty ? BusinessDayConvention.Following : Parsers.ParseBusinessDayConvention(_strFixedConvention);
_fixedPaymentConvention = _strFixedPaymentConvention == string.Empty ? BusinessDayConvention.Following : Parsers.ParseBusinessDayConvention(_strFixedPaymentConvention);
//_rule = _strRule == string.Empty ? DateGeneration.Rule.Backward : Parsers.ParseDateGenerationRule(_strRule);
}
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);
}
public static MarketDatum ParseMarketDatum(Date asof, string datumName, double value)
{
List <string> tokens = datumName.Split('/').ToList();
Utils.QL_REQUIRE(tokens.Count > 2, () => "more than 2 tokens expected in " + datumName);
MarketDatum.InstrumentType instrumentType = ParseInstrumentType(tokens[0]);
MarketDatum.QuoteType quoteType = ParseQuoteType(tokens[1]);
switch (instrumentType)
{
case MarketDatum.InstrumentType.ZERO:
{
//ZERO / RATE / EUR / EUR1D / A365 / 1Y
Utils.QL_REQUIRE(quoteType == MarketDatum.QuoteType.RATE || quoteType == MarketDatum.QuoteType.YIELD_SPREAD, () => "Invalid quote type for " + datumName);
Utils.QL_REQUIRE(tokens.Count == 6, () => "6 tokens expected in " + datumName);
string ccy = tokens[2];
DayCounter dc = Parsers.ParseDayCounter(tokens[4]);
// token 5 can be a date, or tenor
Date date = new Date();
Period tenor = new Period();
bool isDate = false;
Parsers.ParseDateOrPeriod(tokens[5], date, tenor, out isDate);
return(new ZeroQuote(value, asof, datumName, quoteType, ccy, date, dc, tenor));
}
case MarketDatum.InstrumentType.DISCOUNT:
{
// DISCOUNT/RATE/EUR/EUR1D/1Y
// DISCOUNT/RATE/EUR/EUR1D/2016-12-15
Utils.QL_REQUIRE(tokens.Count == 5, () => "5 tokens expected in " + datumName);
string ccy = tokens[2];
// token 4 can be a date, or tenor
Date date = new Date();
Period tenor = new Period();
bool isDate = false;
Parsers.ParseDateOrPeriod(tokens[4], date, tenor, out isDate);
if (!isDate)
{
// we can't assume any calendar here, so we do the minimal adjustment with a weekend only calendar
Utils.QL_REQUIRE(tenor != null, () => "neither date nor tenor recognised");
date = new WeekendsOnly().adjust(asof + tenor);
}
return(new DiscountQuote(value, asof, datumName, quoteType, ccy, date));
}
//case MarketDatum.InstrumentType.MM:
// {
// QL_REQUIRE(tokens.size() == 5, "5 tokens expected in " << datumName);
// const string&ccy = tokens[2];
// Period fwdStart = parsePeriod(tokens[3]);
// Period term = parsePeriod(tokens[4]);
// return boost::make_shared<MoneyMarketQuote>(value, asof, datumName, quoteType, ccy, fwdStart, term);
// }
//case MarketDatum.InstrumentType.MM_FUTURE:
// {
// QL_REQUIRE(tokens.size() == 6, "6 tokens expected in " << datumName);
// const string&ccy = tokens[2];
// const string&expiry = tokens[3];
// const string&contract = tokens[4];
// Period term = parsePeriod(tokens[5]);
// return boost::make_shared<MMFutureQuote>(value, asof, datumName, quoteType, ccy, expiry, contract, term);
// }
case MarketDatum.InstrumentType.FRA:
{
Utils.QL_REQUIRE(tokens.Count == 5, () => "5 tokens expected in " + datumName);
string ccy = tokens[2];
Period fwdStart = Parsers.ParsePeriod(tokens[3]);
Period term = Parsers.ParsePeriod(tokens[4]);
return(new FRAQuote(value, asof, datumName, quoteType, ccy, fwdStart, term));
}
//case MarketDatum.InstrumentType.IMM_FRA:
// {
// QL_REQUIRE(tokens.size() == 5, "5 tokens expected in " << datumName);
// const string&ccy = tokens[2];
// string imm1 = tokens[3];
// string imm2 = tokens[4];
// unsigned int m1 = parseInteger(imm1);
// unsigned int m2 = parseInteger(imm2);
// QL_REQUIRE(m2 > m1, "Second IMM date must be after the first in " << datumName);
// return boost::make_shared<ImmFraQuote>(value, asof, datumName, quoteType, ccy, m1, m2);
// }
case MarketDatum.InstrumentType.IR_SWAP:
{
Utils.QL_REQUIRE(tokens.Count == 6, () => "6 tokens expected in " + datumName);
string ccy = tokens[2];
Period fwdStart = Parsers.ParsePeriod(tokens[3]);
Period tenor = Parsers.ParsePeriod(tokens[4]);
Period term = Parsers.ParsePeriod(tokens[5]);
return(new SwapQuote(value, asof, datumName, quoteType, ccy, fwdStart, term, tenor));
}
//case MarketDatum.InstrumentType.BASIS_SWAP:
// {
// QL_REQUIRE(tokens.size() == 6, "6 tokens expected in " << datumName);
// Period flatTerm = parsePeriod(tokens[2]);
// Period term = parsePeriod(tokens[3]);
// const string&ccy = tokens[4];
// Period maturity = parsePeriod(tokens[5]);
// return boost::make_shared<BasisSwapQuote>(value, asof, datumName, quoteType, flatTerm, term, ccy, maturity);
// }
case MarketDatum.InstrumentType.CC_BASIS_SWAP:
{
Utils.QL_REQUIRE(tokens.Count == 7, () => "7 tokens expected in " + datumName);
string flatCcy = tokens[2];
Period flatTerm = Parsers.ParsePeriod(tokens[3]);
string ccy = tokens[4];
Period term = Parsers.ParsePeriod(tokens[5]);
Period maturity = Parsers.ParsePeriod(tokens[6]);
return(new CrossCcyBasisSwapQuote(value, asof, datumName, quoteType, flatCcy, flatTerm, ccy, term, maturity));
}
//case MarketDatum.InstrumentType.CDS:
// {
// QL_REQUIRE(tokens.size() == 6, "6 tokens expected in " << datumName);
// const string&underlyingName = tokens[2];
// const string&seniority = tokens[3];
// const string&ccy = tokens[4];
// Period term = parsePeriod(tokens[5]);
// return boost::make_shared<CdsSpreadQuote>(value, asof, datumName, underlyingName, seniority, ccy, term);
// }
//case MarketDatum.InstrumentType.HAZARD_RATE:
// {
// QL_REQUIRE(tokens.size() == 6, "6 tokens expected in " << datumName);
// const string&underlyingName = tokens[2];
// const string&seniority = tokens[3];
// const string&ccy = tokens[4];
// Period term = parsePeriod(tokens[5]);
// return boost::make_shared<HazardRateQuote>(value, asof, datumName, underlyingName, seniority, ccy, term);
// }
//case MarketDatum.InstrumentType.RECOVERY_RATE:
// {
// QL_REQUIRE(tokens.size() == 3 || tokens.size() == 5, "3 or 5 tokens expected in " << datumName);
// const string&underlyingName = tokens[2]; // issuer name for CDS, security ID for bond specific RRs
// string seniority = "";
// string ccy = "";
// if (tokens.size() == 5)
// {
// // CDS
// seniority = tokens[3];
// ccy = tokens[4];
// }
// return boost::make_shared<RecoveryRateQuote>(value, asof, datumName, underlyingName, seniority, ccy);
// }
//case MarketDatum.InstrumentType.CAPFLOOR:
// {
// QL_REQUIRE(tokens.size() == 8 || tokens.size() == 4, "Either 4 or 8 tokens expected in " << datumName);
// const string&ccy = tokens[2];
// if (tokens.size() == 8)
// {
// Period term = parsePeriod(tokens[3]);
// Period tenor = parsePeriod(tokens[4]);
// bool atm = parseBool(tokens[5].c_str());
// bool relative = parseBool(tokens[6].c_str());
// Real strike = parseReal(tokens[7]);
// return boost::make_shared<CapFloorQuote>(value, asof, datumName, quoteType, ccy, term, tenor, atm, relative,
// strike);
// }
// else
// {
// Period indexTenor = parsePeriod(tokens[3]);
// return boost::make_shared<CapFloorShiftQuote>(value, asof, datumName, quoteType, ccy, indexTenor);
// }
// }
case MarketDatum.InstrumentType.SWAPTION:
{
Utils.QL_REQUIRE(tokens.Count == 4 || tokens.Count == 6 || tokens.Count == 7, () => "4, 6 or 7 tokens expected in " + datumName);
string ccy = tokens[2];
Period expiry = tokens.Count >= 6 ? Parsers.ParsePeriod(tokens[3]) : new Period(0, TimeUnit.Days);
Period term = tokens.Count >= 6 ? Parsers.ParsePeriod(tokens[4]) : Parsers.ParsePeriod(tokens[3]);
if (tokens.Count >= 6)
{ // volatility
string dimension = tokens[5];
double strike = 0.0;
if (dimension == "ATM")
{
Utils.QL_REQUIRE(tokens.Count == 6, () => "6 tokens expected in ATM quote " + datumName);
}
else if (dimension == "Smile")
{
Utils.QL_REQUIRE(tokens.Count == 7, () => "7 tokens expected in Smile quote " + datumName);
strike = Parsers.ParseDouble(tokens[6]);
}
else
{
Utils.QL_FAIL("Swaption vol quote dimension " + dimension + " not recognised");
}
return(new SwaptionQuote(value, asof, datumName, quoteType, ccy, expiry, term, dimension, strike));
}
else
{ // SLN volatility shift
return(null);
//return new SwaptionShiftQuote(value, asof, datumName, quoteType, ccy, term);
}
}
case MarketDatum.InstrumentType.FX_SPOT:
{
Utils.QL_REQUIRE(tokens.Count == 4, () => "4 tokens expected in " + datumName);
string unitCcy = tokens[2];
string ccy = tokens[3];
return(new FXSpotQuote(value, asof, datumName, quoteType, unitCcy, ccy));
}
case MarketDatum.InstrumentType.FX_FWD:
{
Utils.QL_REQUIRE(tokens.Count == 5, () => "5 tokens expected in " + datumName);
string unitCcy = tokens[2];
string ccy = tokens[3];
Period term = Parsers.ParsePeriod(tokens[4]);
return(new FXForwardQuote(value, asof, datumName, quoteType, unitCcy, ccy, term));
}
case MarketDatum.InstrumentType.FX_OPTION:
{
Utils.QL_REQUIRE(tokens.Count == 6, () => "6 tokens expected in " + datumName);
string unitCcy = tokens[2];
string ccy = tokens[3];
Period expiry = Parsers.ParsePeriod(tokens[4]);
string strike = tokens[5];
return(new FXOptionQuote(value, asof, datumName, quoteType, unitCcy, ccy, expiry, strike));
}
//case MarketDatum.InstrumentType.ZC_INFLATIONSWAP:
// {
// QL_REQUIRE(tokens.size() == 4, "4 tokens expected in " << datumName);
// const string&index = tokens[2];
// Period term = parsePeriod(tokens[3]);
// return boost::make_shared<ZcInflationSwapQuote>(value, asof, datumName, index, term);
// }
//case MarketDatum.InstrumentType.YY_INFLATIONSWAP:
// {
// QL_REQUIRE(tokens.size() == 4, "4 tokens expected in " << datumName);
// const string&index = tokens[2];
// Period term = parsePeriod(tokens[3]);
// return boost::make_shared<YoYInflationSwapQuote>(value, asof, datumName, index, term);
// }
//case MarketDatum.InstrumentType.ZC_INFLATIONCAPFLOOR:
// {
// QL_REQUIRE(tokens.size() == 6, "6 tokens expected in " << datumName);
// const string&index = tokens[2];
// Period term = parsePeriod(tokens[3]);
// QL_REQUIRE(tokens[4] == "C" || tokens[4] == "F",
// "excepted C or F for Cap or Floor at position 5 in " << datumName);
// bool isCap = tokens[4] == "C";
// string strike = tokens[5];
// return boost::make_shared<ZcInflationCapFloorQuote>(value, asof, datumName, quoteType, index, term, isCap,
// strike);
// }
//case MarketDatum.InstrumentType.SEASONALITY:
// {
// QL_REQUIRE(tokens.size() == 5, "5 tokens expected in " << datumName);
// const string&index = tokens[3];
// const string&type = tokens[2];
// const string&month = tokens[4];
// return boost::make_shared<SeasonalityQuote>(value, asof, datumName, index, type, month);
// }
//case MarketDatum.InstrumentType.EQUITY_SPOT:
// {
// QL_REQUIRE(tokens.size() == 4, "4 tokens expected in " << datumName);
// QL_REQUIRE(quoteType == MarketDatum.QuoteType.PRICE, "Invalid quote type for " << datumName);
// const string&equityName = tokens[2];
// const string&ccy = tokens[3];
// return boost::make_shared<EquitySpotQuote>(value, asof, datumName, quoteType, equityName, ccy);
// }
//case MarketDatum.InstrumentType.EQUITY_FWD:
// {
// QL_REQUIRE(tokens.size() == 5, "5 tokens expected in " << datumName);
// QL_REQUIRE(quoteType == MarketDatum.QuoteType.PRICE, "Invalid quote type for " << datumName);
// const string&equityName = tokens[2];
// const string&ccy = tokens[3];
// Date expiryDate = getDateFromDateOrPeriod(tokens[4], asof);
// return boost::make_shared<EquityForwardQuote>(value, asof, datumName, quoteType, equityName, ccy, expiryDate);
// }
//case MarketDatum.InstrumentType.EQUITY_DIVIDEND:
// {
// QL_REQUIRE(tokens.size() == 5, "5 tokens expected in " << datumName);
// QL_REQUIRE(quoteType == MarketDatum.QuoteType.RATE, "Invalid quote type for " << datumName);
// const string&equityName = tokens[2];
// const string&ccy = tokens[3];
// Date tenorDate = getDateFromDateOrPeriod(tokens[4], asof);
// return boost::make_shared<EquityDividendYieldQuote>(value, asof, datumName, quoteType, equityName, ccy,
// tenorDate);
// }
//case MarketDatum.InstrumentType.EQUITY_OPTION:
// {
// QL_REQUIRE(tokens.size() == 6, "6 tokens expected in " << datumName);
// QL_REQUIRE(quoteType == MarketDatum.QuoteType.RATE_LNVOL, "Invalid quote type for " << datumName);
// const string&equityName = tokens[2];
// const string&ccy = tokens[3];
// string expiryString = tokens[4];
// const string&strike = tokens[5];
// // note how we only store the expiry string - to ensure we can support both Periods and Dates being specified in
// // the vol curve-config.
// return boost::make_shared<EquityOptionQuote>(value, asof, datumName, quoteType, equityName, ccy, expiryString,
// strike);
// }
//case MarketDatum.InstrumentType.BOND:
// {
// QL_REQUIRE(tokens.size() == 3, "3 tokens expected in " << datumName);
// const string&securityID = tokens[2];
// return boost::make_shared<SecuritySpreadQuote>(value, asof, datumName, securityID);
// }
//case MarketDatum.InstrumentType.CDS_INDEX:
// {
// QL_REQUIRE(tokens.size() == 5, "5 tokens expected in " << datumName);
// QL_REQUIRE(quoteType == MarketDatum.QuoteType.BASE_CORRELATION, "Invalid quote type for " << datumName);
// const string&cdsIndexName = tokens[2];
// Period term = parsePeriod(tokens[3]);
// Real detachmentPoint = parseReal(tokens[4]);
// return boost::make_shared<BaseCorrelationQuote>(value, asof, datumName, quoteType, cdsIndexName, term,
// detachmentPoint);
// }
//case MarketDatum.InstrumentType.INDEX_CDS_OPTION:
// {
// QL_REQUIRE(tokens.size() == 4, "4 tokens expected in " << datumName);
// QL_REQUIRE(quoteType == MarketDatum.QuoteType.RATE_LNVOL, "Invalid quote type for " << datumName);
// const string&indexName = tokens[2];
// const string&expiry = tokens[3];
// return boost::make_shared<IndexCDSOptionQuote>(value, asof, datumName, indexName, expiry);
// }
default:
//Utils.QL_FAIL("Cannot convert \"" + datumName + "\" to MarketDatum");
return(null);
}
}