Discount ratio yield curve segment. More...
#include <ored/configuration/yieldcurveconfig.hpp>
Public Member Functions | |
Constructors/Destructors | |
DiscountRatioYieldCurveSegment () | |
Default constructor. | |
DiscountRatioYieldCurveSegment (const std::string &typeId, const std::string &baseCurveId, const std::string &baseCurveCurrency, const std::string &numeratorCurveId, const std::string &numeratorCurveCurrency, const std::string &denominatorCurveId, const std::string &denominatorCurveCurrency) | |
Detailed constructor. | |
Serialisation | |
virtual void | fromXML (XMLNode *node) override |
virtual XMLNode * | toXML (XMLDocument &doc) override |
Inspectors | |
const string & | baseCurveId () const |
const string & | baseCurveCurrency () const |
const string & | numeratorCurveId () const |
const string & | numeratorCurveCurrency () const |
const string & | denominatorCurveId () const |
const string & | denominatorCurveCurrency () 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 |
virtual void | accept (AcyclicVisitor &) |
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 | |
void | accept (QuantLib::AcyclicVisitor &v) 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. | |
Discount ratio yield curve segment.
Used to configure a QuantExt::DiscountRatioModifiedCurve.