CmsSpreadOptionConvention Class Reference

Container for storing CMS Spread Option conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for CmsSpreadOptionConvention:

Collaboration diagram for CmsSpreadOptionConvention:

Public Member Functions
Constructors
	CmsSpreadOptionConvention ()
	Default constructor. More...
	CmsSpreadOptionConvention (const string &id, const string &strForwardStart, const string &strSpotDays, const string &strSwapTenor, const string &strFixingDays, const string &strCalendar, const string &strDayCounter, const string &strConvention)
	Detailed constructor. More...
Inspectors
const Period &	forwardStart () const
const Period	spotDays () const
const Period &	swapTenor ()
Natural	fixingDays () const
const Calendar &	calendar () const
const DayCounter &	dayCounter () const
BusinessDayConvention	rollConvention () 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
Period	forwardStart_
Period	spotDays_
Period	swapTenor_
Natural	fixingDays_
Calendar	calendar_
DayCounter	dayCounter_
BusinessDayConvention	rollConvention_
string	strForwardStart_
string	strSpotDays_
string	strSwapTenor_
string	strFixingDays_
string	strCalendar_
string	strDayCounter_
string	strRollConvention_
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 CMS Spread Option conventions.

Definition at line 1217 of file conventions.hpp.

Constructor & Destructor Documentation

CmsSpreadOptionConvention() [1/2]

CmsSpreadOptionConvention

(

)

Default constructor.

Definition at line 1222 of file conventions.hpp.

{}

CmsSpreadOptionConvention() [2/2]

CmsSpreadOptionConvention	(	const string &	id,
		const string &	strForwardStart,
		const string &	strSpotDays,
		const string &	strSwapTenor,
		const string &	strFixingDays,
		const string &	strCalendar,
		const string &	strDayCounter,
		const string &	strConvention
	)

Detailed constructor.

Definition at line 1414 of file conventions.cpp.

    : Convention(id, Type::CMSSpreadOption), strForwardStart_(strForwardStart), strSpotDays_(strSpotDays),
      strSwapTenor_(strSwapTenor), strFixingDays_(strFixingDays), strCalendar_(strCalendar),
      strDayCounter_(strDayCounter), strRollConvention_(strConvention) {
    build();
}

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Member Function Documentation

forwardStart()

const Period & forwardStart

(

)

const

Definition at line 1231 of file conventions.hpp.

{ return forwardStart_; }

spotDays()

const Period spotDays

(

)

const

Definition at line 1232 of file conventions.hpp.

{ return spotDays_; }

swapTenor()

const Period & swapTenor

(

)

Definition at line 1233 of file conventions.hpp.

{ return swapTenor_; }

fixingDays()

Natural fixingDays

(

)

const

Definition at line 1234 of file conventions.hpp.

{ return fixingDays_; }

calendar()

const Calendar & calendar

(

)

const

Definition at line 1235 of file conventions.hpp.

{ return calendar_; }

dayCounter()

const DayCounter & dayCounter

(

)

const

Definition at line 1236 of file conventions.hpp.

{ return dayCounter_; }

rollConvention()

BusinessDayConvention rollConvention

(

)

const

Definition at line 1237 of file conventions.hpp.

{ return rollConvention_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 1424 of file conventions.cpp.

                                                     {
 
    XMLUtils::checkNode(node, "CmsSpreadOption");
    type_ = Type::CMSSpreadOption;
    id_ = XMLUtils::getChildValue(node, "Id", true);
    strForwardStart_ = XMLUtils::getChildValue(node, "ForwardStart", true);
    strSpotDays_ = XMLUtils::getChildValue(node, "SpotDays", true);
    strSwapTenor_ = XMLUtils::getChildValue(node, "SwapTenor", true);
    strFixingDays_ = XMLUtils::getChildValue(node, "FixingDays", true);
    strCalendar_ = XMLUtils::getChildValue(node, "Calendar", true);
    strDayCounter_ = XMLUtils::getChildValue(node, "DayCounter", true);
    strRollConvention_ = XMLUtils::getChildValue(node, "RollConvention", true);
 
    build();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 1451 of file conventions.cpp.

                                                                {
 
    XMLNode* node = doc.allocNode("CmsSpreadOption");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "ForwardStart", strForwardStart_);
    XMLUtils::addChild(doc, node, "SpotDays", strSpotDays_);
    XMLUtils::addChild(doc, node, "SwapTenor", strSwapTenor_);
    XMLUtils::addChild(doc, node, "FixingDays", strFixingDays_);
    XMLUtils::addChild(doc, node, "Calendar", strCalendar_);
    XMLUtils::addChild(doc, node, "DayCounter", strDayCounter_);
    XMLUtils::addChild(doc, node, "RollConvention", strRollConvention_);
 
    return node;
}

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build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 1440 of file conventions.cpp.

                                      {
 
    forwardStart_ = parsePeriod(strForwardStart_);
    spotDays_ = parsePeriod(strSpotDays_);
    swapTenor_ = parsePeriod(strSwapTenor_);
    fixingDays_ = lexical_cast<Natural>(strFixingDays_);
    calendar_ = parseCalendar(strCalendar_);
    dayCounter_ = parseDayCounter(strDayCounter_);
    rollConvention_ = parseBusinessDayConvention(strRollConvention_);
}

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Member Data Documentation

forwardStart_

Period forwardStart_

private

Definition at line 1247 of file conventions.hpp.

spotDays_

Period spotDays_

private

Definition at line 1248 of file conventions.hpp.

swapTenor_

Period swapTenor_

private

Definition at line 1249 of file conventions.hpp.

fixingDays_

Natural fixingDays_

private

Definition at line 1250 of file conventions.hpp.

calendar_

Calendar calendar_

private

Definition at line 1251 of file conventions.hpp.

dayCounter_

DayCounter dayCounter_

private

Definition at line 1252 of file conventions.hpp.

rollConvention_

BusinessDayConvention rollConvention_

private

Definition at line 1253 of file conventions.hpp.

strForwardStart_

string strForwardStart_

private

Definition at line 1256 of file conventions.hpp.

strSpotDays_

string strSpotDays_

private

Definition at line 1257 of file conventions.hpp.

strSwapTenor_

string strSwapTenor_

private

Definition at line 1258 of file conventions.hpp.

strFixingDays_

string strFixingDays_

private

Definition at line 1259 of file conventions.hpp.

strCalendar_

string strCalendar_

private

Definition at line 1260 of file conventions.hpp.

strDayCounter_

string strDayCounter_

private

Definition at line 1261 of file conventions.hpp.

strRollConvention_

string strRollConvention_

private

Definition at line 1262 of file conventions.hpp.