QPR-12325 add parametric smile config

Author: pcaspers

OREData/ored/CMakeLists.txt

@@ -19,6 +19,7 @@ configuration/iborfallbackconfig.cpp
 configuration/inflationcapfloorvolcurveconfig.cpp
 configuration/inflationcurveconfig.cpp
 configuration/onedimsolverconfig.cpp
+configuration/parametricsmileconfiguration.cpp
 configuration/reportconfig.cpp
 configuration/volatilityconfig.cpp
 configuration/yieldcurveconfig.cpp
@@ -399,6 +400,7 @@ configuration/iborfallbackconfig.hpp
 configuration/inflationcapfloorvolcurveconfig.hpp
 configuration/inflationcurveconfig.hpp
 configuration/onedimsolverconfig.hpp
+configuration/parametricsmileconfiguration.hpp
 configuration/reportconfig.hpp
 configuration/securityconfig.hpp
 configuration/swaptionvolcurveconfig.hpp

OREData/ored/configuration/parametricsmileconfiguration.cpp

@@ -0,0 +1,105 @@
+/*
+ Copyright (C) 2024 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of ORE, a free-software/open-source library
+ for transparent pricing and risk analysis - http://opensourcerisk.org
+
+ ORE is free software: you can redistribute it and/or modify it
+ under the terms of the Modified BSD License.  You should have received a
+ copy of the license along with this program.
+ The license is also available online at <http://opensourcerisk.org>
+
+ This program is distributed on the basis that it will form a useful
+ contribution to risk analytics and model standardisation, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+ FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
+*/
+
+#include <ored/configuration/parametricsmileconfiguration.hpp>
+#include <ored/utilities/parsers.hpp>
+
+using namespace QuantLib;
+
+namespace ore {
+namespace data {
+
+void ParametricSmileConfiguration::Parameter::fromXML(XMLNode* node) {
+    XMLUtils::checkNode(node, "Parameter");
+    name = XMLUtils::getChildValue(node, "Name", true);
+    initialValue = parseReal(XMLUtils::getChildValue(node, "InitialValue", true));
+    isFixed = parseBool(XMLUtils::getChildValue(node, "IsFixed", true));
+}
+
+XMLNode* ParametricSmileConfiguration::Parameter::toXML(XMLDocument& doc) const {
+    XMLNode* n = doc.allocNode("Parameter");
+    XMLUtils::addChild(doc, n, "Name", name);
+    XMLUtils::addChild(doc, n, "InitialValue", initialValue);
+    XMLUtils::addChild(doc, n, "IsFixed", isFixed);
+    return n;
+}
+
+void ParametricSmileConfiguration::Calibration::fromXML(XMLNode* node) {
+    XMLUtils::checkNode(node, "Calibration");
+    maxCalibrationAttempts = parseInteger(XMLUtils::getChildValue(node, "MaxCalibrationAttempts", true));
+    exitEarlyErrorThreshold = parseReal(XMLUtils::getChildValue(node, "ExitEarlyErrorThreshold", true));
+    maxAcceptableError = parseBool(XMLUtils::getChildValue(node, "MaxAcceptableError", true));
+}
+
+XMLNode* ParametricSmileConfiguration::Calibration::toXML(XMLDocument& doc) const {
+    XMLNode* n = doc.allocNode("Calibration");
+    XMLUtils::addChild(doc, n, "MaxCalibrationAttempts", (Integer)maxCalibrationAttempts);
+    XMLUtils::addChild(doc, n, "ExitEarlyErrorThreshold", exitEarlyErrorThreshold);
+    XMLUtils::addChild(doc, n, "MaxAcceptableError", maxAcceptableError);
+    return n;
+}
+
+ParametricSmileConfiguration::ParametricSmileConfiguration(std::vector<Parameter> parameters, Calibration calibration)
+    : parameters_(std::move(parameters)), calibration_(std::move(calibration)) {}
+
+void ParametricSmileConfiguration::fromXML(XMLNode* node) {
+
+    XMLUtils::checkNode(node, "ParametricSmileConfiguration");
+
+    parameters_.clear();
+
+    if (XMLNode* n = XMLUtils::getChildNode(node, "Parameters")) {
+        for (auto m : XMLUtils::getChildrenNodes(n, "Parameter")) {
+            ParametricSmileConfiguration::Parameter p;
+            p.fromXML(m);
+            parameters_.push_back(p);
+        }
+    }
+
+    if (XMLNode* n = XMLUtils::getChildNode(node, "Calibration")) {
+        calibration_.fromXML(n);
+    }
+}
+
+XMLNode* ParametricSmileConfiguration::toXML(XMLDocument& doc) const {
+
+    XMLNode* node = doc.allocNode("ParametricSmileConfiguration");
+
+    XMLNode* m = XMLUtils::addChild(doc, node, "Parameters");
+    for (auto const& p : parameters_) {
+        XMLUtils::appendNode(m, p.toXML(doc));
+    }
+
+    XMLUtils::appendNode(node, calibration_.toXML(doc));
+
+    return node;
+}
+
+const ParametricSmileConfiguration::Parameter& ParametricSmileConfiguration::parameter(const std::string& name) const {
+    auto p =
+        std::find_if(parameters_.begin(), parameters_.end(), [&name](const Parameter& p) { return p.name == name; });
+    QL_REQUIRE(p != parameters_.end(), "ParametricSmileConfiguration: parameter '" << name << "' is not present.");
+    return p->second;
+}
+
+const ParametricSmileConfiguration::Calibration& ParametricSmileConfiguration::calibration() const {
+    return calibration_;
+}
+
+} // namespace data
+} // namespace ore

OREData/ored/configuration/parametricsmileconfiguration.hpp

@@ -0,0 +1,77 @@
+/*
+ Copyright (C) 2024 Quaternion Risk Management Ltd
+ All rights reserved.
+
+ This file is part of ORE, a free-software/open-source library
+ for transparent pricing and risk analysis - http://opensourcerisk.org
+
+ ORE is free software: you can redistribute it and/or modify it
+ under the terms of the Modified BSD License.  You should have received a
+ copy of the license along with this program.
+ The license is also available online at <http://opensourcerisk.org>
+
+ This program is distributed on the basis that it will form a useful
+ contribution to risk analytics and model standardisation, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+ FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
+*/
+
+/*! \file ored/configuration/parametricsmileconfiguration.hpp
+    \brief Class for holding parametric smile configurations
+    \ingroup configuration
+*/
+
+#pragma once
+
+#include <ored/utilities/xmlutils.hpp>
+#include <ql/utilities/null.hpp>
+
+namespace ore {
+namespace data {
+
+/*! Serializable parametric smile configuration
+    \ingroup configuration
+*/
+class ParametricSmileConfiguration : public XMLSerializable {
+public:
+    class Parameter : public XMLSerializable {
+    public:
+        void fromXML(ore::data::XMLNode* node) override;
+        ore::data::XMLNode* toXML(ore::data::XMLDocument& doc) const override;
+
+        std::string name;
+        double initialValue;
+        bool isFixed;
+    };
+
+    class Calibration : public XMLSerializable {
+    public:
+        void fromXML(ore::data::XMLNode* node) override;
+        ore::data::XMLNode* toXML(ore::data::XMLDocument& doc) const override;
+
+        std::size_t maxCalibrationAttempts;
+        double exitEarlyErrorThreshold;
+        double maxAcceptableError;
+    };
+
+    ParametricSmileConfiguration(std::vector<Parameter> parameters, Calibration calibration);
+
+    //! \name XMLSerializable interface
+    //@{
+    void fromXML(ore::data::XMLNode* node) override;
+    ore::data::XMLNode* toXML(ore::data::XMLDocument& doc) const override;
+    //@}
+
+    //! \name Inspectors
+    //@{
+    const Parameter& parameter(const std::string& name) const;
+    const Calibration& calibration() const;
+    //@}
+
+private:
+    std::vector<Parameter> parameters_;
+    Calibration calibration_;
+};
+
+} // namespace data
+} // namespace ore