CrossCcyYieldCurveSegment Class Reference

Cross Currency yield curve segment. More...

#include <ored/configuration/yieldcurveconfig.hpp>

Inheritance diagram for CrossCcyYieldCurveSegment:

Collaboration diagram for CrossCcyYieldCurveSegment:

Public Member Functions
Constructors/Destructors
	CrossCcyYieldCurveSegment ()
	Default constructor. More...
	CrossCcyYieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > &quotes, const string &spotRateID, const string &foreignDiscountCurveID, const string &domesticProjectionCurveID=string(), const string &foreignProjectionCurveID=string())
	Detailed constructor. More...
virtual	~CrossCcyYieldCurveSegment ()
	Default destructor. More...
Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
Inspectors
const string &	spotRateID () const
const string &	foreignDiscountCurveID () const
const string &	domesticProjectionCurveID () const
const string &	foreignProjectionCurveID () const
Public Member Functions inherited from YieldCurveSegment
virtual	~YieldCurveSegment ()
	Default destructor. More...
Type	type () const
const string &	typeID () const
const string &	conventionsID () const
const QuantLib::Pillar::Choice	pillarChoice () const
Size	priority () const
Size	minDistance () const
const vector< pair< string, bool > > &	quotes () 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...

Visitability
string	spotRateID_
string	foreignDiscountCurveID_
string	domesticProjectionCurveID_
string	foreignProjectionCurveID_
virtual void	accept (AcyclicVisitor &) override

Additional Inherited Members
Public Types inherited from YieldCurveSegment
enum class	Type {   Zero , ZeroSpread , Discount , Deposit ,   FRA , Future , OIS , Swap ,   AverageOIS , TenorBasis , TenorBasisTwo , BMABasis ,   FXForward , CrossCcyBasis , CrossCcyFixFloat , DiscountRatio ,   FittedBond , WeightedAverage , YieldPlusDefault , IborFallback ,   BondYieldShifted }
	supported segment types More...
Protected Member Functions inherited from YieldCurveSegment
	YieldCurveSegment ()
	Default constructor. More...
	YieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > &quotes)
	Detailed constructor - assumes all quotes are mandatory. More...
pair< string, bool >	quote (const string &name, bool opt=false)
	Utility to build a quote, optional flag defaults to false. More...
Protected Attributes inherited from YieldCurveSegment
vector< pair< string, bool > >	quotes_
	Quote and optional flag pair. More...

Detailed Description

Cross Currency yield curve segment.

Cross currency basis spread adjusted discount curves for 'domestic' currency cash flows are built using this segment type which requires cross currency basis spreads quotes, the spot FX quote ID and at least the 'foreign' discount curve ID. Projection curves for both currencies can be provided as well for consistency with tenor basis in each currency.

Definition at line 301 of file yieldcurveconfig.hpp.

Constructor & Destructor Documentation

CrossCcyYieldCurveSegment() [1/2]

CrossCcyYieldCurveSegment

(

)

Default constructor.

Definition at line 306 of file yieldcurveconfig.hpp.

{}

CrossCcyYieldCurveSegment() [2/2]

CrossCcyYieldCurveSegment	(	const string &	typeID,
		const string &	conventionsID,
		const vector< string > &	quotes,
		const string &	spotRateID,
		const string &	foreignDiscountCurveID,
		const string &	domesticProjectionCurveID = string(),
		const string &	foreignProjectionCurveID = string()
	)

Detailed constructor.

Definition at line 607 of file yieldcurveconfig.cpp.

    : YieldCurveSegment(type, conventionsID, quotes), spotRateID_(spotRateID),
      foreignDiscountCurveID_(foreignDiscountCurveID), domesticProjectionCurveID_(domesticProjectionCurveID),
      foreignProjectionCurveID_(foreignProjectionCurveID) {}

~CrossCcyYieldCurveSegment()

virtual ~CrossCcyYieldCurveSegment ( )

virtual

Default destructor.

Definition at line 313 of file yieldcurveconfig.hpp.

{}

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 616 of file yieldcurveconfig.cpp.

                                                     {
    XMLUtils::checkNode(node, "CrossCurrency");
    YieldCurveSegment::fromXML(node);
    foreignDiscountCurveID_ = XMLUtils::getChildValue(node, "DiscountCurve", true);
    spotRateID_ = XMLUtils::getChildValue(node, "SpotRate", true);
    domesticProjectionCurveID_ = XMLUtils::getChildValue(node, "ProjectionCurveDomestic", false);
    foreignProjectionCurveID_ = XMLUtils::getChildValue(node, "ProjectionCurveForeign", false);
}

Here is the call graph for this function:

toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 625 of file yieldcurveconfig.cpp.

                                                                {
    XMLNode* node = YieldCurveSegment::toXML(doc);
    XMLUtils::setNodeName(doc, node, "CrossCurrency");
    XMLUtils::addChild(doc, node, "DiscountCurve", foreignDiscountCurveID_);
    XMLUtils::addChild(doc, node, "SpotRate", spotRateID_);
    if (!domesticProjectionCurveID_.empty())
        XMLUtils::addChild(doc, node, "ProjectionCurveDomestic", domesticProjectionCurveID_);
    if (!foreignProjectionCurveID_.empty())
        XMLUtils::addChild(doc, node, "ProjectionCurveForeign", foreignProjectionCurveID_);
    return node;
}

Here is the call graph for this function:

spotRateID()

const string & spotRateID

(

)

const

Definition at line 324 of file yieldcurveconfig.hpp.

{ return spotRateID_; }

foreignDiscountCurveID()

const string & foreignDiscountCurveID

(

)

const

Definition at line 325 of file yieldcurveconfig.hpp.

{ return foreignDiscountCurveID_; }

domesticProjectionCurveID()

const string & domesticProjectionCurveID

(

)

const

Definition at line 326 of file yieldcurveconfig.hpp.

{ return domesticProjectionCurveID_; }

foreignProjectionCurveID()

const string & foreignProjectionCurveID

(

)

const

Definition at line 327 of file yieldcurveconfig.hpp.

{ return foreignProjectionCurveID_; }

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 637 of file yieldcurveconfig.cpp.

                                                        {
    Visitor<CrossCcyYieldCurveSegment>* v1 = dynamic_cast<Visitor<CrossCcyYieldCurveSegment>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        YieldCurveSegment::accept(v);
}

Here is the call graph for this function:

Member Data Documentation

spotRateID_

string spotRateID_

private

Definition at line 336 of file yieldcurveconfig.hpp.

foreignDiscountCurveID_

string foreignDiscountCurveID_

private

Definition at line 337 of file yieldcurveconfig.hpp.

domesticProjectionCurveID_

string domesticProjectionCurveID_

private

Definition at line 338 of file yieldcurveconfig.hpp.

foreignProjectionCurveID_

string foreignProjectionCurveID_

private

Definition at line 339 of file yieldcurveconfig.hpp.