Reference manual - version ored_version
Average OIS yield curve segment. More...
#include <ored/configuration/yieldcurveconfig.hpp>
Inheritance diagram for AverageOISYieldCurveSegment:Public Member Functions | |
Constructors/Destructors | |
| AverageOISYieldCurveSegment () | |
| Default constructor. | |
| AverageOISYieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > "es, const string &projectionCurveID) | |
| Detailed constructor. | |
| virtual | ~AverageOISYieldCurveSegment () |
| Default destructor. | |
Serialisation | |
| virtual void | fromXML (XMLNode *node) override |
| virtual XMLNode * | toXML (XMLDocument &doc) override |
Inspectors | |
| const string & | projectionCurveID () const |
| Public Member Functions inherited from YieldCurveSegment | |
| virtual | ~YieldCurveSegment () |
| Default destructor. | |
| Type | type () const |
| const string & | typeID () const |
| const string & | conventionsID () const |
| const QuantLib::Pillar::Choice | pillarChoice () const |
| const vector< pair< string, bool > > & | quotes () 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. | |
Visitability | |
| virtual void | accept (AcyclicVisitor &) override |
Additional Inherited Members | |
| Public Types inherited from YieldCurveSegment | |
| enum class | Type { Zero , ZeroSpread , Discount , Deposit , FRA , Future , OIS , Swap , AverageOIS , TenorBasis , TenorBasisTwo , BMABasis , FXForward , CrossCcyBasis , CrossCcyFixFloat , DiscountRatio , FittedBond , WeightedAverage , YieldPlusDefault , IborFallback , BondYieldShifted } |
| supported segment types | |
| Protected Member Functions inherited from YieldCurveSegment | |
| YieldCurveSegment () | |
| Default constructor. | |
| YieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > "es) | |
| Detailed constructor - assumes all quotes are mandatory. | |
| pair< string, bool > | quote (const string &name, bool opt=false) |
| Utility to build a quote, optional flag defaults to false. | |
| void | loadQuotesFromXML (XMLNode *node) |
| Utility method to read quotes from XML. | |
| Protected Attributes inherited from YieldCurveSegment | |
| vector< pair< string, bool > > | quotes_ |
| Quote and optional flag pair. | |
Average OIS yield curve segment.
The average OIS yield curve segment is used e.g. for USD OIS curve building where the curve segment is determined by a set of composite quotes and a projection curve. The composite quote is represented here as a pair of quote strings, a tenor basis spread and an interest rate swap quote.
