CdsConvention Class Reference

Container for storing Credit Default Swap quote conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for CdsConvention:

Collaboration diagram for CdsConvention:

Public Member Functions
Constructors
	CdsConvention ()
	Default constructor. More...
	CdsConvention (const string &id, const string &strSettlementDays, const string &strCalendar, const string &strFrequency, const string &strPaymentConvention, const string &strRule, const string &dayCounter, const string &settlesAccrual, const string &paysAtDefaultTime, const string &strUpfrontSettlementDays="", const string &lastPeriodDayCounter="")
	Detailed constructor. More...
Inspectors
Natural	settlementDays () const
const Calendar &	calendar () const
Frequency	frequency () const
BusinessDayConvention	paymentConvention () const
DateGeneration::Rule	rule () const
const DayCounter &	dayCounter () const
bool	settlesAccrual () const
bool	paysAtDefaultTime () const
Natural	upfrontSettlementDays () const
const DayCounter &	lastPeriodDayCounter () 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	settlementDays_
Calendar	calendar_
Frequency	frequency_
BusinessDayConvention	paymentConvention_
DateGeneration::Rule	rule_
DayCounter	dayCounter_
bool	settlesAccrual_
bool	paysAtDefaultTime_
Natural	upfrontSettlementDays_
DayCounter	lastPeriodDayCounter_
string	strSettlementDays_
string	strCalendar_
string	strFrequency_
string	strPaymentConvention_
string	strRule_
string	strDayCounter_
string	strSettlesAccrual_
string	strPaysAtDefaultTime_
string	strUpfrontSettlementDays_
string	strLastPeriodDayCounter_
virtual void	fromXML (XMLNode *node0) 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 Credit Default Swap quote conventions.

Definition at line 1024 of file conventions.hpp.

Constructor & Destructor Documentation

CdsConvention() [1/2]

CdsConvention

(

)

Default constructor.

Definition at line 1160 of file conventions.cpp.

                             : settlementDays_(0), frequency_(Quarterly), paymentConvention_(Following),
    rule_(DateGeneration::CDS2015), settlesAccrual_(true), paysAtDefaultTime_(true), upfrontSettlementDays_(3) {}

CdsConvention() [2/2]

CdsConvention	(	const string &	id,
		const string &	strSettlementDays,
		const string &	strCalendar,
		const string &	strFrequency,
		const string &	strPaymentConvention,
		const string &	strRule,
		const string &	dayCounter,
		const string &	settlesAccrual,
		const string &	paysAtDefaultTime,
		const string &	strUpfrontSettlementDays = "",
		const string &	lastPeriodDayCounter = ""
	)

Detailed constructor.

Definition at line 1163 of file conventions.cpp.

    : Convention(id, Type::CDS), strSettlementDays_(strSettlementDays), strCalendar_(strCalendar),
      strFrequency_(strFrequency), strPaymentConvention_(strPaymentConvention), strRule_(strRule),
      strDayCounter_(strDayCounter), strSettlesAccrual_(strSettlesAccrual),
      strPaysAtDefaultTime_(strPaysAtDefaultTime), strUpfrontSettlementDays_(strUpfrontSettlementDays),
      strLastPeriodDayCounter_(lastPeriodDayCounter) {
    build();
}

Here is the call graph for this function:

Member Function Documentation

settlementDays()

Natural settlementDays

(

)

const

Definition at line 1040 of file conventions.hpp.

{ return settlementDays_; }

calendar()

const Calendar & calendar

(

)

const

Definition at line 1041 of file conventions.hpp.

{ return calendar_; }

frequency()

Frequency frequency

(

)

const

Definition at line 1042 of file conventions.hpp.

{ return frequency_; }

paymentConvention()

BusinessDayConvention paymentConvention

(

)

const

Definition at line 1043 of file conventions.hpp.

{ return paymentConvention_; }

rule()

DateGeneration::Rule rule

(

)

const

Definition at line 1044 of file conventions.hpp.

{ return rule_; }

dayCounter()

const DayCounter & dayCounter

(

)

const

Definition at line 1045 of file conventions.hpp.

{ return dayCounter_; }

settlesAccrual()

bool settlesAccrual

(

)

const

Definition at line 1046 of file conventions.hpp.

{ return settlesAccrual_; }

paysAtDefaultTime()

bool paysAtDefaultTime

(

)

const

Definition at line 1047 of file conventions.hpp.

{ return paysAtDefaultTime_; }

upfrontSettlementDays()

Natural upfrontSettlementDays

(

)

const

Definition at line 1048 of file conventions.hpp.

{ return upfrontSettlementDays_; }

lastPeriodDayCounter()

const DayCounter & lastPeriodDayCounter

(

)

const

Definition at line 1049 of file conventions.hpp.

{ return lastPeriodDayCounter_; }

fromXML()

void fromXML ( XMLNode *  node0 )

overridevirtual

Implements XMLSerializable.

Definition at line 1195 of file conventions.cpp.

                                         {
 
    XMLUtils::checkNode(node, "CDS");
    type_ = Type::CDS;
    id_ = XMLUtils::getChildValue(node, "Id", true);
 
    // Get string values from xml
    strSettlementDays_ = XMLUtils::getChildValue(node, "SettlementDays", true);
    strCalendar_ = XMLUtils::getChildValue(node, "Calendar", true);
    strFrequency_ = XMLUtils::getChildValue(node, "Frequency", true);
    strPaymentConvention_ = XMLUtils::getChildValue(node, "PaymentConvention", true);
    strRule_ = XMLUtils::getChildValue(node, "Rule", true);
    strDayCounter_ = XMLUtils::getChildValue(node, "DayCounter", true);
    strSettlesAccrual_ = XMLUtils::getChildValue(node, "SettlesAccrual", true);
    strPaysAtDefaultTime_ = XMLUtils::getChildValue(node, "PaysAtDefaultTime", true);
    strUpfrontSettlementDays_ = XMLUtils::getChildValue(node, "UpfrontSettlementDays", false);
    strLastPeriodDayCounter_ = XMLUtils::getChildValue(node, "LastPeriodDayCounter", false);
 
    build();
}

Here is the call graph for this function:

toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 1216 of file conventions.cpp.

                                                    {
 
    XMLNode* node = doc.allocNode("CDS");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "SettlementDays", strSettlementDays_);
    XMLUtils::addChild(doc, node, "Calendar", strCalendar_);
    XMLUtils::addChild(doc, node, "Frequency", strFrequency_);
    XMLUtils::addChild(doc, node, "PaymentConvention", strPaymentConvention_);
    XMLUtils::addChild(doc, node, "Rule", strRule_);
    XMLUtils::addChild(doc, node, "DayCounter", strDayCounter_);
    XMLUtils::addChild(doc, node, "SettlesAccrual", strSettlesAccrual_);
    XMLUtils::addChild(doc, node, "PaysAtDefaultTime", strPaysAtDefaultTime_);
    if (!strUpfrontSettlementDays_.empty())
        XMLUtils::addChild(doc, node, "UpfrontSettlementDays", strUpfrontSettlementDays_);
    if (!strLastPeriodDayCounter_.empty())
        XMLUtils::addChild(doc, node, "LastPeriodDayCounter", strLastPeriodDayCounter_);
    return node;
}

Here is the call graph for this function:

build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 1176 of file conventions.cpp.

                          {
    settlementDays_ = lexical_cast<Natural>(strSettlementDays_);
    calendar_ = parseCalendar(strCalendar_);
    frequency_ = parseFrequency(strFrequency_);
    paymentConvention_ = parseBusinessDayConvention(strPaymentConvention_);
    rule_ = parseDateGenerationRule(strRule_);
    dayCounter_ = parseDayCounter(strDayCounter_);
    settlesAccrual_ = parseBool(strSettlesAccrual_);
    paysAtDefaultTime_ = parseBool(strPaysAtDefaultTime_);
 
    upfrontSettlementDays_ = 3;
    if (!strUpfrontSettlementDays_.empty())
        upfrontSettlementDays_ = lexical_cast<Natural>(strUpfrontSettlementDays_);
 
    lastPeriodDayCounter_ = DayCounter();
    if (!strLastPeriodDayCounter_.empty())
        lastPeriodDayCounter_ = parseDayCounter(strLastPeriodDayCounter_);
}

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

settlementDays_

Natural settlementDays_

private

Definition at line 1059 of file conventions.hpp.

calendar_

Calendar calendar_

private

Definition at line 1060 of file conventions.hpp.

frequency_

Frequency frequency_

private

Definition at line 1061 of file conventions.hpp.

paymentConvention_

BusinessDayConvention paymentConvention_

private

Definition at line 1062 of file conventions.hpp.

rule_

DateGeneration::Rule rule_

private

Definition at line 1063 of file conventions.hpp.

dayCounter_

DayCounter dayCounter_

private

Definition at line 1064 of file conventions.hpp.

settlesAccrual_

bool settlesAccrual_

private

Definition at line 1065 of file conventions.hpp.

paysAtDefaultTime_

bool paysAtDefaultTime_

private

Definition at line 1066 of file conventions.hpp.

upfrontSettlementDays_

Natural upfrontSettlementDays_

private

Definition at line 1067 of file conventions.hpp.

lastPeriodDayCounter_

DayCounter lastPeriodDayCounter_

private

Definition at line 1068 of file conventions.hpp.

strSettlementDays_

string strSettlementDays_

private

Definition at line 1071 of file conventions.hpp.

strCalendar_

string strCalendar_

private

Definition at line 1072 of file conventions.hpp.

strFrequency_

string strFrequency_

private

Definition at line 1073 of file conventions.hpp.

strPaymentConvention_

string strPaymentConvention_

private

Definition at line 1074 of file conventions.hpp.

strRule_

string strRule_

private

Definition at line 1075 of file conventions.hpp.

strDayCounter_

string strDayCounter_

private

Definition at line 1076 of file conventions.hpp.

strSettlesAccrual_

string strSettlesAccrual_

private

Definition at line 1077 of file conventions.hpp.

strPaysAtDefaultTime_

string strPaysAtDefaultTime_

private

Definition at line 1078 of file conventions.hpp.

strUpfrontSettlementDays_

string strUpfrontSettlementDays_

private

Definition at line 1079 of file conventions.hpp.

strLastPeriodDayCounter_

string strLastPeriodDayCounter_

private

Definition at line 1080 of file conventions.hpp.