Reference manual - version ored_version
Inheritance diagram for InflationSwapConvention:Public Types | |
| enum class | PublicationRoll { None , OnPublicationDate , AfterPublicationDate } |
| Rule for determining when inflation swaps roll to observing latest inflation index release. | |
| 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 | |
| InflationSwapConvention (const string &id, const string &strFixCalendar, const string &strFixConvention, const string &strDayCounter, const string &strIndex, const string &strInterpolated, const string &strObservationLag, const string &strAdjustInfObsDates, const string &strInfCalendar, const string &strInfConvention, PublicationRoll publicationRoll=PublicationRoll::None, const QuantLib::ext::shared_ptr< ScheduleData > &publicationScheduleData=nullptr) | |
| const Calendar & | fixCalendar () const |
| BusinessDayConvention | fixConvention () const |
| const DayCounter & | dayCounter () const |
| QuantLib::ext::shared_ptr< ZeroInflationIndex > | index () const |
| const string & | indexName () const |
| bool | interpolated () const |
| Period | observationLag () const |
| bool | adjustInfObsDates () const |
| const Calendar & | infCalendar () const |
| BusinessDayConvention | infConvention () const |
| PublicationRoll | publicationRoll () const |
| const Schedule & | publicationSchedule () const |
| virtual void | fromXML (XMLNode *node) override |
| virtual XMLNode * | toXML (XMLDocument &doc) const override |
| virtual void | build () override |
| 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. | |
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_ |
