Cross Currency yield curve segment. More...
#include <ored/configuration/yieldcurveconfig.hpp>
Public Member Functions | |
Constructors/Destructors | |
CrossCcyYieldCurveSegment () | |
Default constructor. | |
CrossCcyYieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > "es, const string &spotRateID, const string &foreignDiscountCurveID, const string &domesticProjectionCurveID=string(), const string &foreignProjectionCurveID=string()) | |
Detailed constructor. | |
virtual | ~CrossCcyYieldCurveSegment () |
Default destructor. | |
Serialisation | |
virtual void | fromXML (XMLNode *node) override |
virtual XMLNode * | toXML (XMLDocument &doc) override |
Inspectors | |
const string & | spotRateID () const |
const string & | foreignDiscountCurveID () const |
const string & | domesticProjectionCurveID () const |
const string & | foreignProjectionCurveID () const |
Public Member Functions inherited from YieldCurveSegment | |
virtual | ~YieldCurveSegment () |
Default destructor. | |
Type | type () const |
const string & | typeID () const |
const string & | conventionsID () const |
const QuantLib::Pillar::Choice | pillarChoice () const |
const vector< pair< string, bool > > & | quotes () 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. | |
Visitability | |
virtual void | accept (AcyclicVisitor &) override |
Additional Inherited Members | |
Public Types inherited from YieldCurveSegment | |
enum class | Type { Zero , ZeroSpread , Discount , Deposit , FRA , Future , OIS , Swap , AverageOIS , TenorBasis , TenorBasisTwo , BMABasis , FXForward , CrossCcyBasis , CrossCcyFixFloat , DiscountRatio , FittedBond , WeightedAverage , YieldPlusDefault , IborFallback , BondYieldShifted } |
supported segment types | |
Protected Member Functions inherited from YieldCurveSegment | |
YieldCurveSegment () | |
Default constructor. | |
YieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > "es) | |
Detailed constructor - assumes all quotes are mandatory. | |
pair< string, bool > | quote (const string &name, bool opt=false) |
Utility to build a quote, optional flag defaults to false. | |
void | loadQuotesFromXML (XMLNode *node) |
Utility method to read quotes from XML. | |
Protected Attributes inherited from YieldCurveSegment | |
vector< pair< string, bool > > | quotes_ |
Quote and optional flag pair. | |
Cross Currency yield curve segment.
Cross currency basis spread adjusted discount curves for 'domestic' currency cash flows are built using this segment type which requires cross currency basis spreads quotes, the spot FX quote ID and at least the 'foreign' discount curve ID. Projection curves for both currencies can be provided as well for consistency with tenor basis in each currency.