Container for storing Cross Currency Basis Swap quote conventions. More...
#include <ored/configuration/conventions.hpp>
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< IborIndex > | flatIndex () const |
boost::shared_ptr< IborIndex > | spreadIndex () 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 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 Cross Currency Basis Swap quote conventions.