Container for storing Cross Currency Basis Swap quote conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for CrossCcyBasisSwapConvention:

Collaboration diagram for CrossCcyBasisSwapConvention:

Public Member Functions
Constructors
	CrossCcyBasisSwapConvention ()
	Default constructor. More...

	CrossCcyBasisSwapConvention (const string &id, const string &strSettlementDays, const string &strSettlementCalendar, const string &strRollConvention, const string &flatIndex, const string &spreadIndex, const string &strEom="", const string &strIsResettable="", const string &strFlatIndexIsResettable="", const std::string &strFlatTenor="", const std::string &strSpreadTenor="", const string &strPaymentLag="", const string &strFlatPaymentLag="", const string &strIncludeSpread="", const string &strLookback="", const string &strFixingDays="", const string &strRateCutoff="", const string &strIsAveraged="", const string &strFlatIncludeSpread="", const string &strFlatLookback="", const string &strFlatFixingDays="", const string &strFlatRateCutoff="", const string &strFlatIsAveraged="", const Conventions *conventions=nullptr)
	Detailed constructor. More...

Inspectors
Natural	settlementDays () const

const Calendar &	settlementCalendar () const

BusinessDayConvention	rollConvention () const

QuantLib::ext::shared_ptr< IborIndex >	flatIndex () const

QuantLib::ext::shared_ptr< IborIndex >	spreadIndex () const

const string &	flatIndexName () const

const string &	spreadIndexName () const

bool	eom () const

bool	isResettable () const

bool	flatIndexIsResettable () const

const QuantLib::Period &	flatTenor () const

const QuantLib::Period &	spreadTenor () const

Size	paymentLag () const

Size	flatPaymentLag () const

boost::optional< bool >	includeSpread () const

boost::optional< QuantLib::Period >	lookback () const

boost::optional< QuantLib::Size >	fixingDays () const

boost::optional< Size >	rateCutoff () const

boost::optional< bool >	isAveraged () const

boost::optional< bool >	flatIncludeSpread () const

boost::optional< QuantLib::Period >	flatLookback () const

boost::optional< QuantLib::Size >	flatFixingDays () const

boost::optional< Size >	flatRateCutoff () const

boost::optional< bool >	flatIsAveraged () 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	settlementCalendar_

BusinessDayConvention	rollConvention_

bool	eom_

bool	isResettable_

bool	flatIndexIsResettable_

QuantLib::Period	flatTenor_

QuantLib::Period	spreadTenor_

QuantLib::Size	paymentLag_

QuantLib::Size	flatPaymentLag_

boost::optional< bool >	includeSpread_

boost::optional< QuantLib::Period >	lookback_

boost::optional< QuantLib::Size >	fixingDays_

boost::optional< Size >	rateCutoff_

boost::optional< bool >	isAveraged_

boost::optional< bool >	flatIncludeSpread_

boost::optional< QuantLib::Period >	flatLookback_

boost::optional< QuantLib::Size >	flatFixingDays_

boost::optional< Size >	flatRateCutoff_

boost::optional< bool >	flatIsAveraged_

string	strSettlementDays_

string	strSettlementCalendar_

string	strRollConvention_

string	strFlatIndex_

string	strSpreadIndex_

string	strEom_

string	strIsResettable_

string	strFlatIndexIsResettable_

string	strFlatTenor_

string	strSpreadTenor_

string	strPaymentLag_

string	strFlatPaymentLag_

string	strIncludeSpread_

string	strLookback_

string	strFixingDays_

string	strRateCutoff_

string	strIsAveraged_

string	strFlatIncludeSpread_

string	strFlatLookback_

string	strFlatFixingDays_

string	strFlatRateCutoff_

string	strFlatIsAveraged_

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 Cross Currency Basis Swap quote conventions.

Definition at line 841 of file conventions.hpp.

Constructor & Destructor Documentation

◆ CrossCcyBasisSwapConvention() [1/2]

CrossCcyBasisSwapConvention ( )

Default constructor.

Definition at line 846 of file conventions.hpp.

846{}

◆ CrossCcyBasisSwapConvention() [2/2]

CrossCcyBasisSwapConvention	(	const string &	id,
		const string &	strSettlementDays,
		const string &	strSettlementCalendar,
		const string &	strRollConvention,
		const string &	flatIndex,
		const string &	spreadIndex,
		const string &	strEom = `""`,
		const string &	strIsResettable = `""`,
		const string &	strFlatIndexIsResettable = `""`,
		const std::string &	strFlatTenor = `""`,
		const std::string &	strSpreadTenor = `""`,
		const string &	strPaymentLag = `""`,
		const string &	strFlatPaymentLag = `""`,
		const string &	strIncludeSpread = `""`,
		const string &	strLookback = `""`,
		const string &	strFixingDays = `""`,
		const string &	strRateCutoff = `""`,
		const string &	strIsAveraged = `""`,
		const string &	strFlatIncludeSpread = `""`,
		const string &	strFlatLookback = `""`,
		const string &	strFlatFixingDays = `""`,
		const string &	strFlatRateCutoff = `""`,
		const string &	strFlatIsAveraged = `""`,
		const Conventions *	conventions = `nullptr`
	)

Detailed constructor.

Definition at line 907 of file conventions.cpp.

    : Convention(id, Type::CrossCcyBasis), strSettlementDays_(strSettlementDays),
      strSettlementCalendar_(strSettlementCalendar), strRollConvention_(strRollConvention), strFlatIndex_(flatIndex),
      strSpreadIndex_(spreadIndex), strEom_(strEom), strIsResettable_(strIsResettable),
      strFlatIndexIsResettable_(strFlatIndexIsResettable), strFlatTenor_(strFlatTenor), strSpreadTenor_(strSpreadTenor),
      strPaymentLag_(strPaymentLag), strFlatPaymentLag_(strFlatPaymentLag), strIncludeSpread_(strIncludeSpread),
      strLookback_(strLookback), strFixingDays_(strFixingDays), strRateCutoff_(strRateCutoff),
      strIsAveraged_(strIsAveraged), strFlatIncludeSpread_(strFlatIncludeSpread), strFlatLookback_(strFlatLookback),
      strFlatFixingDays_(strFlatFixingDays), strFlatRateCutoff_(strFlatRateCutoff),
      strFlatIsAveraged_(strFlatIsAveraged) {
    build();
}

Here is the call graph for this function:

Member Function Documentation

◆ settlementDays()

Natural settlementDays ( ) const

Definition at line 863 of file conventions.hpp.

863{ return settlementDays_; }

ore::data::CrossCcyBasisSwapConvention::settlementDays_

Natural settlementDays_

Definition: conventions.hpp:900

◆ settlementCalendar()

const Calendar & settlementCalendar ( ) const

Definition at line 864 of file conventions.hpp.

864{ return settlementCalendar_; }

ore::data::CrossCcyBasisSwapConvention::settlementCalendar_

Calendar settlementCalendar_

Definition: conventions.hpp:901

◆ rollConvention()

BusinessDayConvention rollConvention ( ) const

Definition at line 865 of file conventions.hpp.

865{ return rollConvention_; }

ore::data::CrossCcyBasisSwapConvention::rollConvention_

BusinessDayConvention rollConvention_

Definition: conventions.hpp:902

◆ flatIndex()

QuantLib::ext::shared_ptr< IborIndex > flatIndex ( ) const

Definition at line 1077 of file conventions.cpp.

1077{ return parseIborIndex(strFlatIndex_); }

ore::data::parseIborIndex

QuantLib::ext::shared_ptr< IborIndex > parseIborIndex(const string &s, const Handle< YieldTermStructure > &h)

Convert std::string to QuantLib::IborIndex.

Definition: indexparser.cpp:254

Here is the call graph for this function:

Here is the caller graph for this function:

◆ spreadIndex()

QuantLib::ext::shared_ptr< IborIndex > spreadIndex ( ) const

Definition at line 1078 of file conventions.cpp.

                                                                                {
    return parseIborIndex(strSpreadIndex_);
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ flatIndexName()

const string & flatIndexName ( ) const

Definition at line 868 of file conventions.hpp.

868{ return strFlatIndex_; }

◆ spreadIndexName()

const string & spreadIndexName ( ) const

Definition at line 869 of file conventions.hpp.

869{ return strSpreadIndex_; }

◆ eom()

bool eom ( ) const

Definition at line 871 of file conventions.hpp.

871{ return eom_; }

ore::data::CrossCcyBasisSwapConvention::eom_

bool eom_

Definition: conventions.hpp:903

◆ isResettable()

bool isResettable ( ) const

Definition at line 872 of file conventions.hpp.

872{ return isResettable_; }

ore::data::CrossCcyBasisSwapConvention::isResettable_

bool isResettable_

Definition: conventions.hpp:904

◆ flatIndexIsResettable()

bool flatIndexIsResettable ( ) const

Definition at line 873 of file conventions.hpp.

873{ return flatIndexIsResettable_; }

ore::data::CrossCcyBasisSwapConvention::flatIndexIsResettable_

bool flatIndexIsResettable_

Definition: conventions.hpp:905

◆ flatTenor()

const QuantLib::Period & flatTenor ( ) const

Definition at line 874 of file conventions.hpp.

874{ return flatTenor_; }

ore::data::CrossCcyBasisSwapConvention::flatTenor_

QuantLib::Period flatTenor_

Definition: conventions.hpp:906

◆ spreadTenor()

const QuantLib::Period & spreadTenor ( ) const

Definition at line 875 of file conventions.hpp.

875{ return spreadTenor_; }

ore::data::CrossCcyBasisSwapConvention::spreadTenor_

QuantLib::Period spreadTenor_

Definition: conventions.hpp:907

◆ paymentLag()

Size paymentLag ( ) const

Definition at line 877 of file conventions.hpp.

877{ return paymentLag_; }

ore::data::CrossCcyBasisSwapConvention::paymentLag_

QuantLib::Size paymentLag_

Definition: conventions.hpp:908

◆ flatPaymentLag()

Size flatPaymentLag ( ) const

Definition at line 878 of file conventions.hpp.

878{ return flatPaymentLag_; }

ore::data::CrossCcyBasisSwapConvention::flatPaymentLag_

QuantLib::Size flatPaymentLag_

Definition: conventions.hpp:909

◆ includeSpread()

boost::optional< bool > includeSpread ( ) const

Definition at line 881 of file conventions.hpp.

881{ return includeSpread_; }

ore::data::CrossCcyBasisSwapConvention::includeSpread_

boost::optional< bool > includeSpread_

Definition: conventions.hpp:911

◆ lookback()

boost::optional< QuantLib::Period > lookback ( ) const

Definition at line 882 of file conventions.hpp.

882{ return lookback_; }

ore::data::CrossCcyBasisSwapConvention::lookback_

boost::optional< QuantLib::Period > lookback_

Definition: conventions.hpp:912

◆ fixingDays()

boost::optional< QuantLib::Size > fixingDays ( ) const

Definition at line 883 of file conventions.hpp.

883{ return fixingDays_; }

ore::data::CrossCcyBasisSwapConvention::fixingDays_

boost::optional< QuantLib::Size > fixingDays_

Definition: conventions.hpp:913

◆ rateCutoff()

boost::optional< Size > rateCutoff ( ) const

Definition at line 884 of file conventions.hpp.

884{ return rateCutoff_; }

ore::data::CrossCcyBasisSwapConvention::rateCutoff_

boost::optional< Size > rateCutoff_

Definition: conventions.hpp:914

◆ isAveraged()

boost::optional< bool > isAveraged ( ) const

Definition at line 885 of file conventions.hpp.

885{ return isAveraged_; }

ore::data::CrossCcyBasisSwapConvention::isAveraged_

boost::optional< bool > isAveraged_

Definition: conventions.hpp:915

◆ flatIncludeSpread()

boost::optional< bool > flatIncludeSpread ( ) const

Definition at line 886 of file conventions.hpp.

886{ return flatIncludeSpread_; }

ore::data::CrossCcyBasisSwapConvention::flatIncludeSpread_

boost::optional< bool > flatIncludeSpread_

Definition: conventions.hpp:916

◆ flatLookback()

boost::optional< QuantLib::Period > flatLookback ( ) const

Definition at line 887 of file conventions.hpp.

887{ return flatLookback_; }

ore::data::CrossCcyBasisSwapConvention::flatLookback_

boost::optional< QuantLib::Period > flatLookback_

Definition: conventions.hpp:917

◆ flatFixingDays()

boost::optional< QuantLib::Size > flatFixingDays ( ) const

Definition at line 888 of file conventions.hpp.

888{ return flatFixingDays_; }

ore::data::CrossCcyBasisSwapConvention::flatFixingDays_

boost::optional< QuantLib::Size > flatFixingDays_

Definition: conventions.hpp:918

◆ flatRateCutoff()

boost::optional< Size > flatRateCutoff ( ) const

Definition at line 889 of file conventions.hpp.

889{ return flatRateCutoff_; }

ore::data::CrossCcyBasisSwapConvention::flatRateCutoff_

boost::optional< Size > flatRateCutoff_

Definition: conventions.hpp:919

◆ flatIsAveraged()

boost::optional< bool > flatIsAveraged ( ) const

Definition at line 890 of file conventions.hpp.

890{ return flatIsAveraged_; }

ore::data::CrossCcyBasisSwapConvention::flatIsAveraged_

boost::optional< bool > flatIsAveraged_

Definition: conventions.hpp:920

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 989 of file conventions.cpp.

                                                       {
 
    XMLUtils::checkNode(node, "CrossCurrencyBasis");
    type_ = Type::CrossCcyBasis;
    id_ = XMLUtils::getChildValue(node, "Id", true);
 
    // Get string values from xml
    strSettlementDays_ = XMLUtils::getChildValue(node, "SettlementDays", true);
    strSettlementCalendar_ = XMLUtils::getChildValue(node, "SettlementCalendar", true);
    strRollConvention_ = XMLUtils::getChildValue(node, "RollConvention", true);
    strFlatIndex_ = XMLUtils::getChildValue(node, "FlatIndex", true);
    strSpreadIndex_ = XMLUtils::getChildValue(node, "SpreadIndex", true);
    strEom_ = XMLUtils::getChildValue(node, "EOM", false);
    strIsResettable_ = XMLUtils::getChildValue(node, "IsResettable", false);
    strFlatIndexIsResettable_ = XMLUtils::getChildValue(node, "FlatIndexIsResettable", false, "true");
    strFlatTenor_ = XMLUtils::getChildValue(node, "FlatTenor", false);
    strSpreadTenor_ = XMLUtils::getChildValue(node, "SpreadTenor", false);
 
    strPaymentLag_ = XMLUtils::getChildValue(node, "SpreadPaymentLag", false);
    strFlatPaymentLag_ = XMLUtils::getChildValue(node, "FlatPaymentLag", false);
 
    // OIS specific conventions
 
    strIncludeSpread_ = XMLUtils::getChildValue(node, "SpreadIncludeSpread", false);
    strLookback_ = XMLUtils::getChildValue(node, "SpreadLookback", false);
    strFixingDays_ = XMLUtils::getChildValue(node, "SpreadFixingDays", false);
    strRateCutoff_ = XMLUtils::getChildValue(node, "SpreadRateCutoff", false);
    strIsAveraged_ = XMLUtils::getChildValue(node, "SpreadIsAveraged", false);
 
    strFlatIncludeSpread_ = XMLUtils::getChildValue(node, "FlatIncludeSpread", false);
    strFlatLookback_ = XMLUtils::getChildValue(node, "FlatLookback", false);
    strFlatFixingDays_ = XMLUtils::getChildValue(node, "FlatFixingDays", false);
    strFlatRateCutoff_ = XMLUtils::getChildValue(node, "FlatRateCutoff", false);
    strFlatIsAveraged_ = XMLUtils::getChildValue(node, "FlatIsAveraged", false);
 
    build();
}

Here is the call graph for this function:

◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 1027 of file conventions.cpp.

                                                                  {
 
    XMLNode* node = doc.allocNode("CrossCurrencyBasis");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "SettlementDays", strSettlementDays_);
    XMLUtils::addChild(doc, node, "SettlementCalendar", strSettlementCalendar_);
    XMLUtils::addChild(doc, node, "RollConvention", strRollConvention_);
    XMLUtils::addChild(doc, node, "FlatIndex", strFlatIndex_);
    XMLUtils::addChild(doc, node, "SpreadIndex", strSpreadIndex_);
 
    if (!strEom_.empty())
        XMLUtils::addChild(doc, node, "EOM", strEom_);
    if (!strIsResettable_.empty())
        XMLUtils::addChild(doc, node, "IsResettable", strIsResettable_);
    if (!strFlatIndexIsResettable_.empty())
        XMLUtils::addChild(doc, node, "FlatIndexIsResettable", strFlatIndexIsResettable_);
    if (!strFlatTenor_.empty())
        XMLUtils::addChild(doc, node, "FlatTenor", strFlatTenor_);
    if (!strSpreadTenor_.empty())
        XMLUtils::addChild(doc, node, "SpreadTenor", strSpreadTenor_);
    if (!strPaymentLag_.empty())
        XMLUtils::addChild(doc, node, "SpreadPaymentLag", strPaymentLag_);
    if (!strFlatPaymentLag_.empty())
        XMLUtils::addChild(doc, node, "FlatPaymentLag", strFlatPaymentLag_);
 
    if (!strIncludeSpread_.empty())
        XMLUtils::addChild(doc, node, "SpreadIncludeSpread", strIncludeSpread_);
    if (!strLookback_.empty())
        XMLUtils::addChild(doc, node, "SpreadLookback", strLookback_);
    if (!strFixingDays_.empty())
        XMLUtils::addChild(doc, node, "SpreadFixingDays", strFixingDays_);
    if (!strRateCutoff_.empty())
        XMLUtils::addChild(doc, node, "SpreadRateCutoff", strRateCutoff_);
    if (!strIsAveraged_.empty())
        XMLUtils::addChild(doc, node, "SpreadIsAveraged", strIsAveraged_);
 
    if (!strFlatIncludeSpread_.empty())
        XMLUtils::addChild(doc, node, "FlatIncludeSpread", strFlatIncludeSpread_);
    if (!strFlatLookback_.empty())
        XMLUtils::addChild(doc, node, "FlatLookback", strFlatLookback_);
    if (!strFlatFixingDays_.empty())
        XMLUtils::addChild(doc, node, "FlatFixingDays", strFlatFixingDays_);
    if (!strFlatRateCutoff_.empty())
        XMLUtils::addChild(doc, node, "FlatRateCutoff", strFlatRateCutoff_);
    if (!strFlatIsAveraged_.empty())
        XMLUtils::addChild(doc, node, "FlatIsAveraged", strFlatIsAveraged_);
 
    return node;
}

Here is the call graph for this function:

◆ build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 928 of file conventions.cpp.

                                        {
    settlementDays_ = lexical_cast<Natural>(strSettlementDays_);
    settlementCalendar_ = parseCalendar(strSettlementCalendar_);
    rollConvention_ = parseBusinessDayConvention(strRollConvention_);
    parseIborIndex(strFlatIndex_);
    parseIborIndex(strSpreadIndex_);
    eom_ = strEom_.empty() ? false : parseBool(strEom_);
    isResettable_ = strIsResettable_.empty() ? false : parseBool(strIsResettable_);
    flatIndexIsResettable_ = strFlatIndexIsResettable_.empty() ? true : parseBool(strFlatIndexIsResettable_);
 
    // default to index tenor, except for ON indices, where we default to 3M since the index tenor 1D does not make sense for them
 
    if (strFlatTenor_.empty()) {
        auto tmp = flatIndex();
        if (QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(tmp))
            flatTenor_ = 3 * Months;
        else
            flatTenor_ = tmp->tenor();
    } else {
        flatTenor_ = parsePeriod(strFlatTenor_);
    }
 
    if (strSpreadTenor_.empty()) {
        auto tmp = spreadIndex();
        if (QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(tmp))
            spreadTenor_ = 3 * Months;
        else
            spreadTenor_ = tmp->tenor();
    } else {
        spreadTenor_ = parsePeriod(strSpreadTenor_);
    }
 
    paymentLag_ = flatPaymentLag_ = 0;
    if (!strPaymentLag_.empty())
        paymentLag_ = parseInteger(strPaymentLag_);
    if (!strFlatPaymentLag_.empty())
        flatPaymentLag_ = parseInteger(strFlatPaymentLag_);
 
    // only OIS
    if (!strIncludeSpread_.empty())
        includeSpread_ = parseBool(strIncludeSpread_);
    if (!strLookback_.empty())
        lookback_ = parsePeriod(strLookback_);
    if (!strFixingDays_.empty())
        fixingDays_ = parseInteger(strFixingDays_);
    if (!strRateCutoff_.empty())
        rateCutoff_ = parseInteger(strRateCutoff_);
    if (!strIsAveraged_.empty())
        isAveraged_ = parseBool(strIsAveraged_);
    if (!strFlatIncludeSpread_.empty())
        flatIncludeSpread_ = parseBool(strFlatIncludeSpread_);
    if (!strFlatLookback_.empty())
        flatLookback_ = parsePeriod(strFlatLookback_);
    if (!strFlatFixingDays_.empty())
        flatFixingDays_ = parseInteger(strFlatFixingDays_);
    if (!strFlatRateCutoff_.empty())
        flatRateCutoff_ = parseInteger(strFlatRateCutoff_);
    if (!strFlatIsAveraged_.empty())
        flatIsAveraged_ = parseBool(strFlatIsAveraged_);
}

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 900 of file conventions.hpp.

◆ settlementCalendar_

Calendar settlementCalendar_

private

Definition at line 901 of file conventions.hpp.

◆ rollConvention_

BusinessDayConvention rollConvention_

private

Definition at line 902 of file conventions.hpp.

◆ eom_

bool eom_

private

Definition at line 903 of file conventions.hpp.

◆ isResettable_

bool isResettable_

private

Definition at line 904 of file conventions.hpp.

◆ flatIndexIsResettable_

bool flatIndexIsResettable_

private

Definition at line 905 of file conventions.hpp.

◆ flatTenor_

QuantLib::Period flatTenor_

private

Definition at line 906 of file conventions.hpp.

◆ spreadTenor_

QuantLib::Period spreadTenor_

private

Definition at line 907 of file conventions.hpp.

◆ paymentLag_

QuantLib::Size paymentLag_

private

Definition at line 908 of file conventions.hpp.

◆ flatPaymentLag_

QuantLib::Size flatPaymentLag_

private

Definition at line 909 of file conventions.hpp.

◆ includeSpread_

boost::optional<bool> includeSpread_

private

Definition at line 911 of file conventions.hpp.

◆ lookback_

boost::optional<QuantLib::Period> lookback_

private

Definition at line 912 of file conventions.hpp.

◆ fixingDays_

boost::optional<QuantLib::Size> fixingDays_

private

Definition at line 913 of file conventions.hpp.

◆ rateCutoff_

boost::optional<Size> rateCutoff_

private

Definition at line 914 of file conventions.hpp.

◆ isAveraged_

boost::optional<bool> isAveraged_

private

Definition at line 915 of file conventions.hpp.

◆ flatIncludeSpread_

boost::optional<bool> flatIncludeSpread_

private

Definition at line 916 of file conventions.hpp.

◆ flatLookback_

boost::optional<QuantLib::Period> flatLookback_

private

Definition at line 917 of file conventions.hpp.

◆ flatFixingDays_

boost::optional<QuantLib::Size> flatFixingDays_

private

Definition at line 918 of file conventions.hpp.

◆ flatRateCutoff_

boost::optional<Size> flatRateCutoff_

private

Definition at line 919 of file conventions.hpp.

◆ flatIsAveraged_

boost::optional<bool> flatIsAveraged_

private

Definition at line 920 of file conventions.hpp.

◆ strSettlementDays_

string strSettlementDays_

private

Definition at line 923 of file conventions.hpp.

◆ strSettlementCalendar_

string strSettlementCalendar_

private

Definition at line 924 of file conventions.hpp.

◆ strRollConvention_

string strRollConvention_

private

Definition at line 925 of file conventions.hpp.

◆ strFlatIndex_

string strFlatIndex_

private

Definition at line 926 of file conventions.hpp.

◆ strSpreadIndex_

string strSpreadIndex_

private

Definition at line 927 of file conventions.hpp.

◆ strEom_

string strEom_

private

Definition at line 928 of file conventions.hpp.

◆ strIsResettable_

string strIsResettable_

private

Definition at line 929 of file conventions.hpp.

◆ strFlatIndexIsResettable_

string strFlatIndexIsResettable_

private

Definition at line 930 of file conventions.hpp.

◆ strFlatTenor_

string strFlatTenor_

private

Definition at line 931 of file conventions.hpp.

◆ strSpreadTenor_

string strSpreadTenor_

private

Definition at line 932 of file conventions.hpp.

◆ strPaymentLag_

string strPaymentLag_

private

Definition at line 933 of file conventions.hpp.

◆ strFlatPaymentLag_

string strFlatPaymentLag_

private

Definition at line 934 of file conventions.hpp.

◆ strIncludeSpread_

string strIncludeSpread_

private

Definition at line 936 of file conventions.hpp.

◆ strLookback_

string strLookback_

private

Definition at line 937 of file conventions.hpp.

◆ strFixingDays_

string strFixingDays_

private

Definition at line 938 of file conventions.hpp.

◆ strRateCutoff_

string strRateCutoff_

private

Definition at line 939 of file conventions.hpp.

◆ strIsAveraged_

string strIsAveraged_

private

Definition at line 940 of file conventions.hpp.

◆ strFlatIncludeSpread_

string strFlatIncludeSpread_

private

Definition at line 941 of file conventions.hpp.

◆ strFlatLookback_

string strFlatLookback_

private

Definition at line 942 of file conventions.hpp.

◆ strFlatFixingDays_

string strFlatFixingDays_

private

Definition at line 943 of file conventions.hpp.

◆ strFlatRateCutoff_

string strFlatRateCutoff_

private

Definition at line 944 of file conventions.hpp.

◆ strFlatIsAveraged_

string strFlatIsAveraged_

private

Definition at line 945 of file conventions.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CrossCcyBasisSwapConvention() [1/2]

◆ CrossCcyBasisSwapConvention() [2/2]

Member Function Documentation

◆ settlementDays()

◆ settlementCalendar()

◆ rollConvention()

◆ flatIndex()

◆ spreadIndex()

◆ flatIndexName()

◆ spreadIndexName()

◆ eom()

◆ isResettable()

◆ flatIndexIsResettable()

◆ flatTenor()

◆ spreadTenor()

◆ paymentLag()

◆ flatPaymentLag()

◆ includeSpread()

◆ lookback()

◆ fixingDays()

◆ rateCutoff()

◆ isAveraged()

◆ flatIncludeSpread()

◆ flatLookback()

◆ flatFixingDays()

◆ flatRateCutoff()

◆ flatIsAveraged()

◆ fromXML()

◆ toXML()

◆ build()

Member Data Documentation

◆ settlementDays_

◆ settlementCalendar_

◆ rollConvention_

◆ eom_

◆ isResettable_

◆ flatIndexIsResettable_

◆ flatTenor_

◆ spreadTenor_

◆ paymentLag_

◆ flatPaymentLag_

◆ includeSpread_

◆ lookback_

◆ fixingDays_

◆ rateCutoff_

◆ isAveraged_

◆ flatIncludeSpread_

◆ flatLookback_

◆ flatFixingDays_

◆ flatRateCutoff_

◆ flatIsAveraged_

◆ strSettlementDays_

◆ strSettlementCalendar_

◆ strRollConvention_

◆ strFlatIndex_

◆ strSpreadIndex_

◆ strEom_

◆ strIsResettable_

◆ strFlatIndexIsResettable_

◆ strFlatTenor_

◆ strSpreadTenor_

◆ strPaymentLag_

◆ strFlatPaymentLag_

◆ strIncludeSpread_

◆ strLookback_

◆ strFixingDays_

◆ strRateCutoff_

◆ strIsAveraged_

◆ strFlatIncludeSpread_

◆ strFlatLookback_

◆ strFlatFixingDays_

◆ strFlatRateCutoff_

◆ strFlatIsAveraged_