Reference manual - version ored_version
Container for storing conventions for Tenor Basis Swaps quoted as a spread of two interest rate swaps. More...
#include <ored/configuration/conventions.hpp>
Inheritance diagram for TenorBasisTwoSwapConvention:Public Member Functions | |
Constructors | |
| TenorBasisTwoSwapConvention () | |
| Default constructor. | |
| TenorBasisTwoSwapConvention (const string &id, const string &calendar, const string &longFixedFrequency, const string &longFixedConvention, const string &longFixedDayCounter, const string &longIndex, const string &shortFixedFrequency, const string &shortFixedConvention, const string &shortFixedDayCounter, const string &shortIndex, const string &longMinusShort="") | |
| Detailed constructor. | |
Inspectors | |
| const Calendar & | calendar () const |
| Frequency | longFixedFrequency () const |
| BusinessDayConvention | longFixedConvention () const |
| const DayCounter & | longFixedDayCounter () const |
| boost::shared_ptr< IborIndex > | longIndex () const |
| Frequency | shortFixedFrequency () const |
| BusinessDayConvention | shortFixedConvention () const |
| const DayCounter & | shortFixedDayCounter () const |
| boost::shared_ptr< IborIndex > | shortIndex () const |
| bool | longMinusShort () const |
| Public Member Functions inherited from Convention | |
| virtual | ~Convention () |
| Default destructor. | |
| const string & | id () const |
| Type | type () const |
| Public Member Functions inherited from XMLSerializable | |
| void | fromFile (const std::string &filename) |
| void | toFile (const std::string &filename) |
| void | fromXMLString (const std::string &xml) |
| Parse from XML string. | |
| std::string | toXMLString () |
| Parse from XML string. | |
Serialisation | |
| virtual void | fromXML (XMLNode *node) override |
| virtual XMLNode * | toXML (XMLDocument &doc) override |
| virtual void | build () override |
Additional Inherited Members | |
| Public Types inherited from Convention | |
| enum class | Type { Zero , Deposit , Future , FRA , OIS , Swap , AverageOIS , TenorBasisSwap , TenorBasisTwoSwap , BMABasisSwap , FX , CrossCcyBasis , CrossCcyFixFloat , CDS , IborIndex , OvernightIndex , SwapIndex , ZeroInflationIndex , InflationSwap , SecuritySpread , CMSSpreadOption , CommodityForward , CommodityFuture , FxOption , BondYield } |
| Supported convention types. | |
| Protected Member Functions inherited from Convention | |
| Convention () | |
| Convention (const string &id, Type type) | |
| Protected Attributes inherited from Convention | |
| Type | type_ |
| string | id_ |
Container for storing conventions for Tenor Basis Swaps quoted as a spread of two interest rate swaps.
