Reference manual - version ored_version
Container for storing Zero Rate conventions. More...
#include <ored/configuration/conventions.hpp>
Inheritance diagram for ZeroRateConvention:Public Member Functions | |
Constructors | |
| ZeroRateConvention () | |
| Default constructor. | |
| ZeroRateConvention (const string &id, const string &dayCounter, const string &compounding, const string &compoundingFrequency) | |
| ZeroRateConvention (const string &id, const string &dayCounter, const string &tenorCalendar, const string &compounding="Continuous", const string &compoundingFrequency="Annual", const string &spotLag="", const string &spotCalendar="", const string &rollConvention="", const string &eom="") | |
Inspectors | |
| const DayCounter & | dayCounter () const |
| Zero rate day counter. | |
| const Calendar & | tenorCalendar () const |
| Return the calendar used for converting tenor points into dates. | |
| Compounding | compounding () const |
| Zero rate compounding. | |
| Frequency | compoundingFrequency () const |
| Zero rate compounding frequency. | |
| Natural | spotLag () const |
| Zero rate spot lag. | |
| const Calendar & | spotCalendar () const |
| Calendar used for spot date adjustment. | |
| BusinessDayConvention | rollConvention () const |
| Business day convention used in converting tenor points into dates. | |
| bool | eom () |
| End of month adjustment. | |
| bool | tenorBased () |
| Flag to indicate whether the Zero Rate convention is based on a tenor input. | |
| 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_ |
Container for storing Zero Rate conventions.
