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Reference manual - version ored_version
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CdsConvention Class Reference

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)
 
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 XMLNodetoXML (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_
 

Detailed Description

Container for storing Credit Default Swap quote conventions.