Container for storing Credit Default Swap quote conventions. More...
#include <ored/configuration/conventions.hpp>
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) |
void | fromXMLString (const std::string &xml) |
Parse from XML string. | |
std::string | toXMLString () |
Parse from XML string. | |
Serialisation | |
virtual void | fromXML (XMLNode *node0) 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 Credit Default Swap quote conventions.