CommodityFutureConvention::AveragingData Class Reference

#include <ored/configuration/conventions.hpp>

Inheritance diagram for CommodityFutureConvention::AveragingData:

Public Types
enum class	CalculationPeriod { PreviousMonth , ExpiryToExpiry }
	Indicate location of calculation period relative to the future expiry date.

Public Member Functions
Constructors
	AveragingData ()
	Default constructor.
	AveragingData (const std::string &commodityName, const std::string &period, const std::string &pricingCalendar, bool useBusinessDays, const std::string &conventionsId="", QuantLib::Natural deliveryRollDays=0, QuantLib::Natural futureMonthOffset=0, QuantLib::Natural dailyExpiryOffset=QuantLib::Null< QuantLib::Natural >())
	Detailed constructor.
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
const std::string &	commodityName () const
CalculationPeriod	period () const
const QuantLib::Calendar &	pricingCalendar () const
bool	useBusinessDays () const
const std::string &	conventionsId () const
QuantLib::Natural	deliveryRollDays () const
QuantLib::Natural	futureMonthOffset () const
QuantLib::Natural	dailyExpiryOffset () const
bool	empty () const
	Returns true if the data has not been populated.
void	fromXML (XMLNode *node) override
	Serialisation.
XMLNode *	toXML (XMLDocument &doc) override

Detailed Description

Class to hold averaging information when isAveraging_ is true. It is generally needed in the CommodityFutureConvention when referenced in piecewise price curve construction.