BondYieldConvention Class Reference

#include <ored/configuration/conventions.hpp>

Inheritance diagram for BondYieldConvention:

Collaboration diagram for BondYieldConvention:

Public Member Functions
	BondYieldConvention ()
	Constructor. More...
	BondYieldConvention (const std::string &id, const std::string &compoundingName, const std::string &frequencyName, const std::string &priceTypeName, Real accuracy, Size maxEvaluations, Real guess)
	Detailed constructor. More...
std::string	compoundingName () const
Compounding	compounding () const
std::string	frequencyName () const
Frequency	frequency () const
QuantLib::Bond::Price::Type	priceType () const
std::string	priceTypeName () const
QuantLib::Real	accuracy () const
QuantLib::Size	maxEvaluations () const
QuantLib::Real	guess () const
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override
void	build () override
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...

Private Attributes
Compounding	compounding_
std::string	compoundingName_
Frequency	frequency_
std::string	frequencyName_
QuantLib::Bond::Price::Type	priceType_
std::string	priceTypeName_
QuantLib::Real	accuracy_
QuantLib::Size	maxEvaluations_
QuantLib::Real	guess_

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 bond yield calculation conventions

Definition at line 1788 of file conventions.hpp.

Constructor & Destructor Documentation

BondYieldConvention() [1/2]

BondYieldConvention

(

)

Constructor.

Definition at line 2371 of file conventions.cpp.

  : compounding_(Compounded), compoundingName_("Compounded"),
    frequency_(Annual), frequencyName_("Annual"),
    priceType_(QuantLib::Bond::Price::Type::Clean), priceTypeName_("Clean"),
    accuracy_(1.0e-8), maxEvaluations_(100), guess_(0.05) {}

BondYieldConvention() [2/2]

BondYieldConvention	(	const std::string &	id,
		const std::string &	compoundingName,
		const std::string &	frequencyName,
		const std::string &	priceTypeName,
		Real	accuracy,
		Size	maxEvaluations,
		Real	guess
	)

Detailed constructor.

Definition at line 2377 of file conventions.cpp.

    : Convention(id, Type::BondYield),
      compoundingName_(compoundingName),
      frequencyName_(frequencyName),
      priceTypeName_(priceTypeName),
      accuracy_(accuracy),
      maxEvaluations_(maxEvaluations),
      guess_(guess) {
    build();
}

Here is the call graph for this function:

Member Function Documentation

compoundingName()

std::string compoundingName

(

)

const

Definition at line 1802 of file conventions.hpp.

{ return compoundingName_; }

compounding()

Compounding compounding

(

)

const

Definition at line 1803 of file conventions.hpp.

{ return compounding_; }

frequencyName()

std::string frequencyName

(

)

const

Definition at line 1804 of file conventions.hpp.

{ return frequencyName_; }

frequency()

Frequency frequency

(

)

const

Definition at line 1805 of file conventions.hpp.

{ return frequency_; }

priceType()

QuantLib::Bond::Price::Type priceType

(

)

const

Definition at line 1806 of file conventions.hpp.

{ return priceType_; }

priceTypeName()

std::string priceTypeName

(

)

const

Definition at line 1807 of file conventions.hpp.

{ return priceTypeName_; }

accuracy()

QuantLib::Real accuracy

(

)

const

Definition at line 1808 of file conventions.hpp.

{ return accuracy_; }

maxEvaluations()

QuantLib::Size maxEvaluations

(

)

const

Definition at line 1809 of file conventions.hpp.

{ return maxEvaluations_; }

guess()

QuantLib::Real guess

(

)

const

Definition at line 1810 of file conventions.hpp.

{ return guess_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 2401 of file conventions.cpp.

                                               {
 
    XMLUtils::checkNode(node, "BondYield");
    type_ = Type::BondYield;
    id_ = XMLUtils::getChildValue(node, "Id", true);
 
    compoundingName_ = XMLUtils::getChildValue(node, "Compounding", true);
    frequencyName_ = XMLUtils::getChildValue(node, "Frequency", false, "Annual");
    priceTypeName_ = XMLUtils::getChildValue(node, "PriceType", false, "Clean");
    accuracy_ = XMLUtils::getChildValueAsDouble(node, "Accuracy", false, 1.0e-8);
    maxEvaluations_ = XMLUtils::getChildValueAsInt(node, "MaxEvaluations", false, 100);
    guess_ = XMLUtils::getChildValueAsDouble(node, "Guess", false, 0.05);
   
    build();
}

Here is the call graph for this function:

toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 2417 of file conventions.cpp.

                                                          {
 
    XMLNode* node = doc.allocNode("BondYield");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "Compounding", compoundingName_);
    XMLUtils::addChild(doc, node, "Frequency", frequencyName_);
    XMLUtils::addChild(doc, node, "PriceType", priceTypeName_);
    XMLUtils::addChild(doc, node, "Accuracy", accuracy_);
    XMLUtils::addChild(doc, node, "MaxEvaluations", Integer(maxEvaluations_));
    XMLUtils::addChild(doc, node, "Guess", guess_);
 
    return node;
}

Here is the call graph for this function:

build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 2395 of file conventions.cpp.

                                {
    compounding_ = parseCompounding(compoundingName_);
    frequency_ = parseFrequency(frequencyName_);
    priceType_ = parseBondPriceType(priceTypeName_);
}

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

compounding_

Compounding compounding_

private

Definition at line 1817 of file conventions.hpp.

compoundingName_

std::string compoundingName_

private

Definition at line 1818 of file conventions.hpp.

frequency_

Frequency frequency_

private

Definition at line 1819 of file conventions.hpp.

frequencyName_

std::string frequencyName_

private

Definition at line 1820 of file conventions.hpp.

priceType_

QuantLib::Bond::Price::Type priceType_

private

Definition at line 1821 of file conventions.hpp.

priceTypeName_

std::string priceTypeName_

private

Definition at line 1822 of file conventions.hpp.

accuracy_

QuantLib::Real accuracy_

private

Definition at line 1823 of file conventions.hpp.

maxEvaluations_

QuantLib::Size maxEvaluations_

private

Definition at line 1824 of file conventions.hpp.

guess_

QuantLib::Real guess_

private

Definition at line 1825 of file conventions.hpp.