Container for storing Overnight Index Swap conventions. More...
#include <ored/configuration/conventions.hpp>
Public Member Functions | |
Constructors | |
OisConvention () | |
Default constructor. | |
OisConvention (const string &id, const string &spotLag, const string &index, const string &fixedDayCounter, const string &fixedCalendar, const string &paymentLag="", const string &eom="", const string &fixedFrequency="", const string &fixedConvention="", const string &fixedPaymentConvention="", const string &rule="", const std::string &paymentCalendar="") | |
Detailed constructor. | |
Inspectors | |
Natural | spotLag () const |
const string & | indexName () const |
boost::shared_ptr< OvernightIndex > | index () const |
const DayCounter & | fixedDayCounter () const |
const Calendar & | fixedCalendar () const |
Natural | paymentLag () const |
bool | eom () |
Frequency | fixedFrequency () const |
BusinessDayConvention | fixedConvention () const |
BusinessDayConvention | fixedPaymentConvention () const |
DateGeneration::Rule | rule () const |
QuantLib::Calendar | paymentCalendar () 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) |
void | fromXMLString (const std::string &xml) |
Parse from XML string. | |
std::string | toXMLString () |
Parse from XML string. | |
Serialisation | |
virtual void | fromXML (XMLNode *node) override |
virtual XMLNode * | toXML (XMLDocument &doc) 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_ |