Reference manual - version ored_version
Currency and instrument specific conventions/defaults. More...
#include <ored/utilities/xmlutils.hpp>#include <ored/portfolio/schedule.hpp>#include <ql/experimental/fx/deltavolquote.hpp>#include <ql/indexes/iborindex.hpp>#include <ql/indexes/inflationindex.hpp>#include <ql/indexes/swapindex.hpp>#include <ql/instruments/overnightindexfuture.hpp>#include <ql/instruments/bond.hpp>#include <ql/option.hpp>#include <qle/cashflows/subperiodscoupon.hpp>#include <qle/indexes/bmaindexwrapper.hpp>#include <qle/indexes/commodityindex.hpp>#include <shared_mutex>Classes | |
| class | Convention |
| Abstract base class for convention objects. More... | |
| class | Conventions |
| Repository for currency dependent market conventions. More... | |
| class | InstrumentConventions |
| Singleton to hold conventions. More... | |
| class | ZeroRateConvention |
| Container for storing Zero Rate conventions. More... | |
| class | DepositConvention |
| Container for storing Deposit conventions. More... | |
| class | FutureConvention |
| Container for storing Money Market Futures conventions. More... | |
| class | FraConvention |
| Container for storing Forward rate Agreement conventions. More... | |
| class | OisConvention |
| Container for storing Overnight Index Swap conventions. More... | |
| class | IborIndexConvention |
| Container for storing Ibor Index conventions. More... | |
| class | OvernightIndexConvention |
| Container for storing Overnight Index conventions. More... | |
| class | SwapIndexConvention |
| Container for storing Swap Index conventions. More... | |
| class | IRSwapConvention |
| Container for storing Interest Rate Swap conventions. More... | |
| class | AverageOisConvention |
| Container for storing Average OIS conventions. More... | |
| class | TenorBasisSwapConvention |
| Container for storing Tenor Basis Swap conventions. More... | |
| class | TenorBasisTwoSwapConvention |
| Container for storing conventions for Tenor Basis Swaps quoted as a spread of two interest rate swaps. More... | |
| class | BMABasisSwapConvention |
| Container for storing Libor-BMA Basis Swap conventions. More... | |
| class | FXConvention |
| Container for storing FX Spot quote conventions. More... | |
| class | CrossCcyBasisSwapConvention |
| Container for storing Cross Currency Basis Swap quote conventions. More... | |
| class | CrossCcyFixFloatSwapConvention |
| class | CdsConvention |
| Container for storing Credit Default Swap quote conventions. More... | |
| class | InflationSwapConvention |
| class | SecuritySpreadConvention |
| Container for storing Bond Spread Rate conventions. More... | |
| class | CmsSpreadOptionConvention |
| Container for storing CMS Spread Option conventions. More... | |
| class | CommodityForwardConvention |
| class | CommodityFutureConvention |
| struct | CommodityFutureConvention::DayOfMonth |
| Classes to differentiate constructors below. More... | |
| struct | CommodityFutureConvention::CalendarDaysBefore |
| struct | CommodityFutureConvention::BusinessDaysAfter |
| struct | CommodityFutureConvention::WeeklyWeekday |
| struct | CommodityFutureConvention::OptionExpiryAnchorDateRule |
| class | CommodityFutureConvention::AveragingData |
| class | CommodityFutureConvention::OffPeakPowerIndexData |
| Class to store conventions for creating an off peak power index. More... | |
| class | CommodityFutureConvention::ProhibitedExpiry |
| Class to hold prohibited expiry information. More... | |
| class | FxOptionConvention |
| Container for storing FX Option conventions. More... | |
| class | ZeroInflationIndexConvention |
| class | BondYieldConvention |
Namespaces | |
| ore | |
| Serializable Credit Default Swap. | |
| ore::data | |
Functions | |
| std::ostream & | operator<< (std::ostream &out, Convention::Type type) |
| bool | operator< (const CommodityFutureConvention::ProhibitedExpiry &lhs, const CommodityFutureConvention::ProhibitedExpiry &rhs) |
| Compare two prohibited expiries. | |
Currency and instrument specific conventions/defaults.