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CrossCcyBasisSwapConvention Class Reference

Container for storing Cross Currency Basis Swap quote conventions. More...

#include <ored/configuration/conventions.hpp>

+ Inheritance diagram for CrossCcyBasisSwapConvention:

Public Member Functions

Constructors
 CrossCcyBasisSwapConvention ()
 Default constructor.
 
 CrossCcyBasisSwapConvention (const string &id, const string &strSettlementDays, const string &strSettlementCalendar, const string &strRollConvention, const string &flatIndex, const string &spreadIndex, const string &strEom="", const string &strIsResettable="", const string &strFlatIndexIsResettable="", const std::string &strFlatTenor="", const std::string &strSpreadTenor="", const string &strPaymentLag="", const string &strFlatPaymentLag="", const string &strIncludeSpread="", const string &strLookback="", const string &strFixingDays="", const string &strRateCutoff="", const string &strIsAveraged="", const string &strFlatIncludeSpread="", const string &strFlatLookback="", const string &strFlatFixingDays="", const string &strFlatRateCutoff="", const string &strFlatIsAveraged="", const Conventions *conventions=nullptr)
 Detailed constructor.
 
Inspectors
Natural settlementDays () const
 
const Calendar & settlementCalendar () const
 
BusinessDayConvention rollConvention () const
 
boost::shared_ptr< IborIndexflatIndex () const
 
boost::shared_ptr< IborIndexspreadIndex () const
 
const string & flatIndexName () const
 
const string & spreadIndexName () const
 
bool eom () const
 
bool isResettable () const
 
bool flatIndexIsResettable () const
 
const QuantLib::Period & flatTenor () const
 
const QuantLib::Period & spreadTenor () const
 
Size paymentLag () const
 
Size flatPaymentLag () const
 
boost::optional< bool > includeSpread () const
 
boost::optional< QuantLib::Period > lookback () const
 
boost::optional< QuantLib::Size > fixingDays () const
 
boost::optional< Size > rateCutoff () const
 
boost::optional< bool > isAveraged () const
 
boost::optional< bool > flatIncludeSpread () const
 
boost::optional< QuantLib::Period > flatLookback () const
 
boost::optional< QuantLib::Size > flatFixingDays () const
 
boost::optional< Size > flatRateCutoff () const
 
boost::optional< bool > flatIsAveraged () 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 *node) 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 Cross Currency Basis Swap quote conventions.