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CrossCcyYieldCurveSegment Class Reference

Cross Currency yield curve segment. More...

#include <ored/configuration/yieldcurveconfig.hpp>

+ Inheritance diagram for CrossCcyYieldCurveSegment:

Public Member Functions

Constructors/Destructors
 CrossCcyYieldCurveSegment ()
 Default constructor.
 
 CrossCcyYieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > &quotes, 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 XMLNodetoXML (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 > &quotes)
 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.
 

Detailed Description

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.