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 boost::shared_ptr< ScheduleData > &publicationScheduleData=nullptr) | |
const Calendar & | fixCalendar () const |
BusinessDayConvention | fixConvention () const |
const DayCounter & | dayCounter () const |
boost::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) 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) |
void | fromXMLString (const std::string &xml) |
Parse from XML string. | |
std::string | toXMLString () |
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_ |