Container for storing Money Market Futures conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for FutureConvention:

Public Types
enum class	DateGenerationRule { IMM , FirstDayOfMonth }

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.

Public Member Functions
Constructors
	FutureConvention ()
	Default constructor.

	FutureConvention (const string &id, const string &index)
	Index based constructor.

	FutureConvention (const string &id, const string &index, const QuantLib::RateAveraging::Type overnightIndexFutureNettingType, const DateGenerationRule dateGeneration)
	Index based constructor taking in addition a netting type for ON indices and a date generation rule.

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.

Inspectors
boost::shared_ptr< IborIndex >	index () const

QuantLib::RateAveraging::Type	overnightIndexFutureNettingType () const

DateGenerationRule	dateGenerationRule () const

virtual void	fromXML (XMLNode *node) override
	Serialisation.

virtual XMLNode *	toXML (XMLDocument &doc) override

virtual void	build () override

Additional Inherited Members
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 Money Market Futures conventions.

Public Types