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TenorBasisYieldCurveSegment Class Reference

Tenor Basis yield curve segment. More...

#include <ored/configuration/yieldcurveconfig.hpp>

+ Inheritance diagram for TenorBasisYieldCurveSegment:

Public Member Functions

Constructors/Destructors
 TenorBasisYieldCurveSegment ()
 Default constructor.
 
 TenorBasisYieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > &quotes, const string &shortProjectionCurveID, const string &longProjectionCurveID)
 Detailed constructor.
 
virtual ~TenorBasisYieldCurveSegment ()
 Default destructor.
 
Serialisation
virtual void fromXML (XMLNode *node) override
 
virtual XMLNodetoXML (XMLDocument &doc) override
 
Inspectors
const string & shortProjectionCurveID () const
 
const string & longProjectionCurveID () const
 
- Public Member Functions inherited from YieldCurveSegment
virtual ~YieldCurveSegment ()
 Default destructor.
 
Type type () const
 
const string & typeID () const
 
const string & conventionsID () const
 
const QuantLib::Pillar::Choice pillarChoice () const
 
const vector< pair< string, bool > > & quotes () 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.
 

Visitability

virtual void accept (AcyclicVisitor &) override
 

Additional Inherited Members

- Public Types inherited from YieldCurveSegment
enum class  Type {
  Zero , ZeroSpread , Discount , Deposit ,
  FRA , Future , OIS , Swap ,
  AverageOIS , TenorBasis , TenorBasisTwo , BMABasis ,
  FXForward , CrossCcyBasis , CrossCcyFixFloat , DiscountRatio ,
  FittedBond , WeightedAverage , YieldPlusDefault , IborFallback ,
  BondYieldShifted
}
 supported segment types
 
- Protected Member Functions inherited from YieldCurveSegment
 YieldCurveSegment ()
 Default constructor.
 
 YieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > &quotes)
 Detailed constructor - assumes all quotes are mandatory.
 
pair< string, bool > quote (const string &name, bool opt=false)
 Utility to build a quote, optional flag defaults to false.
 
void loadQuotesFromXML (XMLNode *node)
 Utility method to read quotes from XML.
 
- Protected Attributes inherited from YieldCurveSegment
vector< pair< string, bool > > quotes_
 Quote and optional flag pair.
 

Detailed Description

Tenor Basis yield curve segment.

Yield curve building from tenor basis swap quotes requires a set of tenor basis spread quotes and the projection curve for either the shorter or the longer tenor which acts as the reference curve.