AverageOisConvention Class Reference

Container for storing Average OIS conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for AverageOisConvention:

Collaboration diagram for AverageOisConvention:

Public Member Functions
Constructors
	AverageOisConvention ()
	Default constructor. More...
	AverageOisConvention (const string &id, const string &spotLag, const string &fixedTenor, const string &fixedDayCounter, const string &fixedCalendar, const string &fixedConvention, const string &fixedPaymentConvention, const string &fixedFrequency, const string &index, const string &onTenor, const string &rateCutoff)
	Detailed constructor. More...
Inspectors
Natural	spotLag () const
const Period &	fixedTenor () const
const DayCounter &	fixedDayCounter () const
const Calendar &	fixedCalendar () const
BusinessDayConvention	fixedConvention () const
BusinessDayConvention	fixedPaymentConvention () const
Frequency	fixedFrequency () const
const string &	indexName () const
QuantLib::ext::shared_ptr< OvernightIndex >	index () const
const Period &	onTenor () const
Natural	rateCutoff () const
Public Member Functions inherited from Convention
virtual	~Convention ()
	Default destructor. More...
const string &	id () const
Type	type () const
Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()
virtual void	fromXML (XMLNode *node)=0
virtual XMLNode *	toXML (XMLDocument &doc) const =0
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string. More...
std::string	toXMLString () const
	Parse from XML string. More...

Serialisation
Natural	spotLag_
Period	fixedTenor_
DayCounter	fixedDayCounter_
Calendar	fixedCalendar_
BusinessDayConvention	fixedConvention_
BusinessDayConvention	fixedPaymentConvention_
Frequency	fixedFrequency_
Period	onTenor_
Natural	rateCutoff_
string	strSpotLag_
string	strFixedTenor_
string	strFixedDayCounter_
string	strFixedCalendar_
string	strFixedConvention_
string	strFixedPaymentConvention_
string	strFixedFrequency_
string	strIndex_
string	strOnTenor_
string	strRateCutoff_
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. More...
Protected Member Functions inherited from Convention
	Convention ()
	Convention (const string &id, Type type)
Protected Attributes inherited from Convention
Type	type_
string	id_

Detailed Description

Container for storing Average OIS conventions.

Definition at line 572 of file conventions.hpp.

Constructor & Destructor Documentation

AverageOisConvention() [1/2]

AverageOisConvention

(

)

Default constructor.

Definition at line 577 of file conventions.hpp.

{}

AverageOisConvention() [2/2]

AverageOisConvention	(	const string &	id,
		const string &	spotLag,
		const string &	fixedTenor,
		const string &	fixedDayCounter,
		const string &	fixedCalendar,
		const string &	fixedConvention,
		const string &	fixedPaymentConvention,
		const string &	fixedFrequency,
		const string &	index,
		const string &	onTenor,
		const string &	rateCutoff
	)

Detailed constructor.

Definition at line 540 of file conventions.cpp.

    : Convention(id, Type::AverageOIS), strSpotLag_(spotLag), strFixedTenor_(fixedTenor),
      strFixedDayCounter_(fixedDayCounter), strFixedCalendar_(fixedCalendar), strFixedConvention_(fixedConvention),
      strFixedPaymentConvention_(fixedPaymentConvention), strIndex_(index), strOnTenor_(onTenor),
      strRateCutoff_(rateCutoff) {
    build();
}

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Member Function Documentation

spotLag()

Natural spotLag

(

)

const

Definition at line 587 of file conventions.hpp.

{ return spotLag_; }

fixedTenor()

const Period & fixedTenor

(

)

const

Definition at line 588 of file conventions.hpp.

{ return fixedTenor_; }

fixedDayCounter()

const DayCounter & fixedDayCounter

(

)

const

Definition at line 589 of file conventions.hpp.

{ return fixedDayCounter_; }

fixedCalendar()

const Calendar & fixedCalendar

(

)

const

Definition at line 590 of file conventions.hpp.

{ return fixedCalendar_; }

fixedConvention()

BusinessDayConvention fixedConvention

(

)

const

Definition at line 591 of file conventions.hpp.

{ return fixedConvention_; }

fixedPaymentConvention()

BusinessDayConvention fixedPaymentConvention

(

)

const

Definition at line 592 of file conventions.hpp.

{ return fixedPaymentConvention_; }

fixedFrequency()

Frequency fixedFrequency

(

)

const

Definition at line 593 of file conventions.hpp.

{ return fixedFrequency_; }

indexName()

const string & indexName

(

)

const

Definition at line 594 of file conventions.hpp.

{ return strIndex_; }

index()

QuantLib::ext::shared_ptr< OvernightIndex > index

(

)

const

Definition at line 605 of file conventions.cpp.

                                                                        {
    auto tmp = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(parseIborIndex(strIndex_));
    QL_REQUIRE(tmp, "The index string '" << strIndex_ << "' does not represent an overnight index.");
    return tmp;
}

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onTenor()

const Period & onTenor

(

)

const

Definition at line 596 of file conventions.hpp.

{ return onTenor_; }

rateCutoff()

Natural rateCutoff

(

)

const

Definition at line 597 of file conventions.hpp.

{ return rateCutoff_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 565 of file conventions.cpp.

                                                {
 
    XMLUtils::checkNode(node, "AverageOIS");
    type_ = Type::AverageOIS;
    id_ = XMLUtils::getChildValue(node, "Id", true);
 
    // Get string values from xml
    strSpotLag_ = XMLUtils::getChildValue(node, "SpotLag", true);
    strFixedTenor_ = XMLUtils::getChildValue(node, "FixedTenor", true);
    strFixedDayCounter_ = XMLUtils::getChildValue(node, "FixedDayCounter", true);
    strFixedCalendar_ = XMLUtils::getChildValue(node, "FixedCalendar", true);
    strFixedConvention_ = XMLUtils::getChildValue(node, "FixedConvention", true);
    strFixedPaymentConvention_ = XMLUtils::getChildValue(node, "FixedPaymentConvention", true);
    strFixedFrequency_ = XMLUtils::getChildValue(node, "FixedFrequency", false);
    strIndex_ = XMLUtils::getChildValue(node, "Index", true);
    strOnTenor_ = XMLUtils::getChildValue(node, "OnTenor", true);
    strRateCutoff_ = XMLUtils::getChildValue(node, "RateCutoff", true);
 
    build();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 586 of file conventions.cpp.

                                                           {
 
    XMLNode* node = doc.allocNode("AverageOIS");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "SpotLag", strSpotLag_);
    XMLUtils::addChild(doc, node, "FixedTenor", strFixedTenor_);
    XMLUtils::addChild(doc, node, "FixedDayCounter", strFixedDayCounter_);
    XMLUtils::addChild(doc, node, "FixedCalendar", strFixedCalendar_);
    XMLUtils::addChild(doc, node, "FixedConvention", strFixedConvention_);
    XMLUtils::addChild(doc, node, "FixedPaymentConvention", strFixedPaymentConvention_);
    if (!strFixedFrequency_.empty())
        XMLUtils::addChild(doc, node, "FixedFrequency", strFixedFrequency_);
    XMLUtils::addChild(doc, node, "Index", strIndex_);
    XMLUtils::addChild(doc, node, "OnTenor", strOnTenor_);
    XMLUtils::addChild(doc, node, "RateCutoff", strRateCutoff_);
 
    return node;
}

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build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 552 of file conventions.cpp.

                                 {
    parseIborIndex(strIndex_);
    spotLag_ = lexical_cast<Natural>(strSpotLag_);
    fixedTenor_ = parsePeriod(strFixedTenor_);
    fixedDayCounter_ = parseDayCounter(strFixedDayCounter_);
    fixedCalendar_ = parseCalendar(strFixedCalendar_);
    fixedConvention_ = parseBusinessDayConvention(strFixedConvention_);
    fixedPaymentConvention_ = parseBusinessDayConvention(strFixedPaymentConvention_);
    fixedFrequency_ = strFixedFrequency_.empty() ? Annual : parseFrequency(strFixedFrequency_);
    onTenor_ = parsePeriod(strOnTenor_);
    rateCutoff_ = lexical_cast<Natural>(strRateCutoff_);
}

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Member Data Documentation

spotLag_

Natural spotLag_

private

Definition at line 607 of file conventions.hpp.

fixedTenor_

Period fixedTenor_

private

Definition at line 608 of file conventions.hpp.

fixedDayCounter_

DayCounter fixedDayCounter_

private

Definition at line 609 of file conventions.hpp.

fixedCalendar_

Calendar fixedCalendar_

private

Definition at line 610 of file conventions.hpp.

fixedConvention_

BusinessDayConvention fixedConvention_

private

Definition at line 611 of file conventions.hpp.

fixedPaymentConvention_

BusinessDayConvention fixedPaymentConvention_

private

Definition at line 612 of file conventions.hpp.

fixedFrequency_

Frequency fixedFrequency_

private

Definition at line 613 of file conventions.hpp.

onTenor_

Period onTenor_

private

Definition at line 614 of file conventions.hpp.

rateCutoff_

Natural rateCutoff_

private

Definition at line 615 of file conventions.hpp.

strSpotLag_

string strSpotLag_

private

Definition at line 618 of file conventions.hpp.

strFixedTenor_

string strFixedTenor_

private

Definition at line 619 of file conventions.hpp.

strFixedDayCounter_

string strFixedDayCounter_

private

Definition at line 620 of file conventions.hpp.

strFixedCalendar_

string strFixedCalendar_

private

Definition at line 621 of file conventions.hpp.

strFixedConvention_

string strFixedConvention_

private

Definition at line 622 of file conventions.hpp.

strFixedPaymentConvention_

string strFixedPaymentConvention_

private

Definition at line 623 of file conventions.hpp.

strFixedFrequency_

string strFixedFrequency_

private

Definition at line 624 of file conventions.hpp.

strIndex_

string strIndex_

private

Definition at line 625 of file conventions.hpp.

strOnTenor_

string strOnTenor_

private

Definition at line 626 of file conventions.hpp.

strRateCutoff_

string strRateCutoff_

private

Definition at line 627 of file conventions.hpp.