Reference manual - version ored_version
Container for storing FX Option conventions. More...
#include <ored/configuration/conventions.hpp>
Inheritance diagram for FxOptionConvention:Public Member Functions | |
Constructors | |
| FxOptionConvention () | |
| FxOptionConvention (const string &id, const string &fxConventionId, const string &atmType, const string &deltaType, const string &switchTenor="", const string &longTermAtmType="", const string &longTermDeltaType="", const string &riskReversalInFavorOf="Call", const string &butterflyStyle="Broker") | |
Inspectors | |
| const string & | fxConventionID () const |
| const DeltaVolQuote::AtmType & | atmType () const |
| const DeltaVolQuote::DeltaType & | deltaType () const |
| const Period & | switchTenor () const |
| const DeltaVolQuote::AtmType & | longTermAtmType () const |
| const DeltaVolQuote::DeltaType & | longTermDeltaType () const |
| const QuantLib::Option::Type & | riskReversalInFavorOf () const |
| const bool | butterflyIsBrokerStyle () 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) const |
| void | fromXMLString (const std::string &xml) |
| Parse from XML string. | |
| std::string | toXMLString () const |
| Parse from XML string. | |
Serialisation | |
| virtual void | fromXML (XMLNode *node) override |
| virtual XMLNode * | toXML (XMLDocument &doc) const 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 FX Option conventions.
Defining a switchTenor is optional. It is set to 0 * Days if no switch tenor is defined. In this case longTermAtmType and longTermDeltaType are set to atmType and deltaType respectively.
