Reference manual - version ored_version
Container for storing Overnight Index Swap conventions. More...
#include <ored/configuration/conventions.hpp>
Inheritance diagram for OisConvention: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 |
| QuantLib::ext::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) 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_ |
