Reference manual - version ored_version
#include <ored/configuration/conventions.hpp>
Inheritance diagram for CommodityFutureConvention:Classes | |
| class | AveragingData |
| struct | BusinessDaysAfter |
| struct | CalendarDaysBefore |
| struct | DayOfMonth |
| Classes to differentiate constructors below. More... | |
| class | OffPeakPowerIndexData |
| Class to store conventions for creating an off peak power index. More... | |
| struct | OptionExpiryAnchorDateRule |
| class | ProhibitedExpiry |
| Class to hold prohibited expiry information. More... | |
| struct | WeeklyWeekday |
Public Types | |
| enum class | AnchorType { DayOfMonth , NthWeekday , CalendarDaysBefore , LastWeekday , BusinessDaysAfter , WeeklyDayOfTheWeek } |
| enum class | OptionAnchorType { DayOfMonth , NthWeekday , BusinessDaysBefore , LastWeekday , WeeklyDayOfTheWeek } |
| 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. | |
Public Member Functions | |
Constructors | |
| CommodityFutureConvention () | |
| Default constructor. | |
| CommodityFutureConvention (const std::string &id, const DayOfMonth &dayOfMonth, const std::string &contractFrequency, const std::string &calendar, const std::string &expiryCalendar="", QuantLib::Size expiryMonthLag=0, const std::string &oneContractMonth="", const std::string &offsetDays="", const std::string &bdc="", bool adjustBeforeOffset=true, bool isAveraging=false, const OptionExpiryAnchorDateRule &optionExpiryDateRule=OptionExpiryAnchorDateRule(), const std::set< ProhibitedExpiry > &prohibitedExpiries={}, QuantLib::Size optionExpiryMonthLag=0, const std::string &optionBdc="", const std::map< QuantLib::Natural, QuantLib::Natural > &futureContinuationMappings={}, const std::map< QuantLib::Natural, QuantLib::Natural > &optionContinuationMappings={}, const AveragingData &averagingData=AveragingData(), QuantLib::Natural hoursPerDay=QuantLib::Null< QuantLib::Natural >(), const boost::optional< OffPeakPowerIndexData > &offPeakPowerIndexData=boost::none, const std::string &indexName="", const std::string &optionFrequency="") | |
| Day of month based constructor. | |
| CommodityFutureConvention (const std::string &id, const std::string &nth, const std::string &weekday, const std::string &contractFrequency, const std::string &calendar, const std::string &expiryCalendar="", QuantLib::Size expiryMonthLag=0, const std::string &oneContractMonth="", const std::string &offsetDays="", const std::string &bdc="", bool adjustBeforeOffset=true, bool isAveraging=false, const OptionExpiryAnchorDateRule &optionExpiryDateRule=OptionExpiryAnchorDateRule(), const std::set< ProhibitedExpiry > &prohibitedExpiries={}, QuantLib::Size optionExpiryMonthLag=0, const std::string &optionBdc="", const std::map< QuantLib::Natural, QuantLib::Natural > &futureContinuationMappings={}, const std::map< QuantLib::Natural, QuantLib::Natural > &optionContinuationMappings={}, const AveragingData &averagingData=AveragingData(), QuantLib::Natural hoursPerDay=QuantLib::Null< QuantLib::Natural >(), const boost::optional< OffPeakPowerIndexData > &offPeakPowerIndexData=boost::none, const std::string &indexName="", const std::string &optionFrequency="") | |
| N-th weekday based constructor. | |
| CommodityFutureConvention (const std::string &id, const CalendarDaysBefore &calendarDaysBefore, const std::string &contractFrequency, const std::string &calendar, const std::string &expiryCalendar="", QuantLib::Size expiryMonthLag=0, const std::string &oneContractMonth="", const std::string &offsetDays="", const std::string &bdc="", bool adjustBeforeOffset=true, bool isAveraging=false, const OptionExpiryAnchorDateRule &optionExpiryDateRule=OptionExpiryAnchorDateRule(), const std::set< ProhibitedExpiry > &prohibitedExpiries={}, QuantLib::Size optionExpiryMonthLag=0, const std::string &optionBdc="", const std::map< QuantLib::Natural, QuantLib::Natural > &futureContinuationMappings={}, const std::map< QuantLib::Natural, QuantLib::Natural > &optionContinuationMappings={}, const AveragingData &averagingData=AveragingData(), QuantLib::Natural hoursPerDay=QuantLib::Null< QuantLib::Natural >(), const boost::optional< OffPeakPowerIndexData > &offPeakPowerIndexData=boost::none, const std::string &indexName="", const std::string &optionFrequency="") | |
| Calendar days before based constructor. | |
| CommodityFutureConvention (const std::string &id, const BusinessDaysAfter &businessDaysAfter, const std::string &contractFrequency, const std::string &calendar, const std::string &expiryCalendar="", QuantLib::Size expiryMonthLag=0, const std::string &oneContractMonth="", const std::string &offsetDays="", const std::string &bdc="", bool adjustBeforeOffset=true, bool isAveraging=false, const OptionExpiryAnchorDateRule &optionExpiryDateRule=OptionExpiryAnchorDateRule(), const std::set< ProhibitedExpiry > &prohibitedExpiries={}, QuantLib::Size optionExpiryMonthLag=0, const std::string &optionBdc="", const std::map< QuantLib::Natural, QuantLib::Natural > &futureContinuationMappings={}, const std::map< QuantLib::Natural, QuantLib::Natural > &optionContinuationMappings={}, const AveragingData &averagingData=AveragingData(), QuantLib::Natural hoursPerDay=QuantLib::Null< QuantLib::Natural >(), const boost::optional< OffPeakPowerIndexData > &offPeakPowerIndexData=boost::none, const std::string &indexName="", const std::string &optionFrequency="") | |
| Business days before based constructor. | |
| 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. | |
Inspectors | |
| AnchorType | anchorType () const |
| QuantLib::Natural | dayOfMonth () const |
| QuantLib::Natural | nth () const |
| QuantLib::Weekday | weekday () const |
| QuantLib::Natural | calendarDaysBefore () const |
| QuantLib::Integer | businessDaysAfter () const |
| QuantLib::Frequency | contractFrequency () const |
| const QuantLib::Calendar & | calendar () const |
| const QuantLib::Calendar & | expiryCalendar () const |
| QuantLib::Size | expiryMonthLag () const |
| QuantLib::Month | oneContractMonth () const |
| QuantLib::Integer | offsetDays () const |
| QuantLib::BusinessDayConvention | businessDayConvention () const |
| bool | adjustBeforeOffset () const |
| bool | isAveraging () const |
| QuantLib::Natural | optionExpiryOffset () const |
| const std::set< ProhibitedExpiry > & | prohibitedExpiries () const |
| QuantLib::Size | optionExpiryMonthLag () const |
| QuantLib::Natural | optionExpiryDay () const |
| QuantLib::BusinessDayConvention | optionBusinessDayConvention () const |
| const std::map< QuantLib::Natural, QuantLib::Natural > & | futureContinuationMappings () const |
| const std::map< QuantLib::Natural, QuantLib::Natural > & | optionContinuationMappings () const |
| const AveragingData & | averagingData () const |
| QuantLib::Natural | hoursPerDay () const |
| const boost::optional< OffPeakPowerIndexData > & | offPeakPowerIndexData () const |
| const std::string & | indexName () const |
| QuantLib::Frequency | optionContractFrequency () const |
| OptionAnchorType | optionAnchorType () const |
| QuantLib::Natural | optionNth () const |
| QuantLib::Weekday | optionWeekday () const |
| const std::string & | savingsTime () const |
| const std::set< QuantLib::Month > & | validContractMonths () const |
| bool | balanceOfTheMonth () const |
| Calendar | balanceOfTheMonthPricingCalendar () const |
| const std::string & | optionUnderlyingFutureConvention () const |
| void | fromXML (XMLNode *node) override |
| Serialisation. | |
| XMLNode * | toXML (XMLDocument &doc) override |
| void | build () override |
| Implementation. | |
Additional Inherited Members | |
| 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 commodity future conventions
|
strong |
The anchor day type of commodity future convention
