Reference manual - version ored_version
Container for storing Credit Default Swap quote conventions. More...
#include <ored/configuration/conventions.hpp>
Inheritance diagram for CdsConvention:Public Member Functions | |
Constructors | |
| CdsConvention () | |
| Default constructor. | |
| CdsConvention (const string &id, const string &strSettlementDays, const string &strCalendar, const string &strFrequency, const string &strPaymentConvention, const string &strRule, const string &dayCounter, const string &settlesAccrual, const string &paysAtDefaultTime, const string &strUpfrontSettlementDays="", const string &lastPeriodDayCounter="") | |
| Detailed constructor. | |
Inspectors | |
| Natural | settlementDays () const |
| const Calendar & | calendar () const |
| Frequency | frequency () const |
| BusinessDayConvention | paymentConvention () const |
| DateGeneration::Rule | rule () const |
| const DayCounter & | dayCounter () const |
| bool | settlesAccrual () const |
| bool | paysAtDefaultTime () const |
| Natural | upfrontSettlementDays () const |
| const DayCounter & | lastPeriodDayCounter () 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) const |
| void | fromXMLString (const std::string &xml) |
| Parse from XML string. | |
| std::string | toXMLString () const |
| Parse from XML string. | |
Serialisation | |
| virtual void | fromXML (XMLNode *node0) override |
| virtual XMLNode * | toXML (XMLDocument &doc) const 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 Credit Default Swap quote conventions.
