FXConvention Class Reference

Container for storing FX Spot quote conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for FXConvention:

Collaboration diagram for FXConvention:

Public Member Functions
Constructors
	FXConvention ()
	Default constructor. More...
	FXConvention (const string &id, const string &spotDays, const string &sourceCurrency, const string &targetCurrency, const string &pointsFactor, const string &advanceCalendar="", const string &spotRelative="", const string &endOfMonth="", const string &convention="")
	Detailed constructor. More...
Inspectors
Natural	spotDays () const
const Currency &	sourceCurrency () const
const Currency &	targetCurrency () const
Real	pointsFactor () const
const Calendar &	advanceCalendar () const
bool	spotRelative () const
bool	endOfMonth () const
BusinessDayConvention	convention () 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	spotDays_
Currency	sourceCurrency_
Currency	targetCurrency_
Real	pointsFactor_
Calendar	advanceCalendar_
bool	spotRelative_
bool	endOfMonth_
BusinessDayConvention	convention_
string	strSpotDays_
string	strSourceCurrency_
string	strTargetCurrency_
string	strPointsFactor_
string	strAdvanceCalendar_
string	strSpotRelative_
string	strEndOfMonth_
string	strConvention_
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 FX Spot quote conventions.

Definition at line 785 of file conventions.hpp.

Constructor & Destructor Documentation

FXConvention() [1/2]

FXConvention

(

)

Default constructor.

Definition at line 790 of file conventions.hpp.

{}

FXConvention() [2/2]

FXConvention	(	const string &	id,
		const string &	spotDays,
		const string &	sourceCurrency,
		const string &	targetCurrency,
		const string &	pointsFactor,
		const string &	advanceCalendar = "",
		const string &	spotRelative = "",
		const string &	endOfMonth = "",
		const string &	convention = ""
	)

Detailed constructor.

Definition at line 847 of file conventions.cpp.

    : Convention(id, Type::FX), strSpotDays_(spotDays), strSourceCurrency_(sourceCurrency),
      strTargetCurrency_(targetCurrency), strPointsFactor_(pointsFactor), strAdvanceCalendar_(advanceCalendar),
      strSpotRelative_(spotRelative), strEndOfMonth_(endOfMonth), strConvention_(convention) {
    build();
}

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Member Function Documentation

spotDays()

Natural spotDays

(

)

const

Definition at line 799 of file conventions.hpp.

{ return spotDays_; }

sourceCurrency()

const Currency & sourceCurrency

(

)

const

Definition at line 800 of file conventions.hpp.

{ return sourceCurrency_; }

targetCurrency()

const Currency & targetCurrency

(

)

const

Definition at line 801 of file conventions.hpp.

{ return targetCurrency_; }

pointsFactor()

Real pointsFactor

(

)

const

Definition at line 802 of file conventions.hpp.

{ return pointsFactor_; }

advanceCalendar()

const Calendar & advanceCalendar

(

)

const

Definition at line 803 of file conventions.hpp.

{ return advanceCalendar_; }

spotRelative()

bool spotRelative

(

)

const

Definition at line 804 of file conventions.hpp.

{ return spotRelative_; }

endOfMonth()

bool endOfMonth

(

)

const

Definition at line 805 of file conventions.hpp.

{ return endOfMonth_; }

convention()

BusinessDayConvention convention

(

)

const

Definition at line 806 of file conventions.hpp.

{ return convention_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 867 of file conventions.cpp.

                                        {
 
    XMLUtils::checkNode(node, "FX");
    type_ = Type::FX;
    id_ = XMLUtils::getChildValue(node, "Id", true);
 
    // Get string values from xml
    strSpotDays_ = XMLUtils::getChildValue(node, "SpotDays", true);
    strSourceCurrency_ = XMLUtils::getChildValue(node, "SourceCurrency", true);
    strTargetCurrency_ = XMLUtils::getChildValue(node, "TargetCurrency", true);
    strPointsFactor_ = XMLUtils::getChildValue(node, "PointsFactor", true);
    strAdvanceCalendar_ = XMLUtils::getChildValue(node, "AdvanceCalendar", false);
    strSpotRelative_ = XMLUtils::getChildValue(node, "SpotRelative", false);
    strEndOfMonth_ = XMLUtils::getChildValue(node, "EOM", false);
    strConvention_ = XMLUtils::getChildValue(node, "Convention", false);
 
    build();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 886 of file conventions.cpp.

                                                   {
 
    XMLNode* node = doc.allocNode("FX");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "SpotDays", strSpotDays_);
    XMLUtils::addChild(doc, node, "SourceCurrency", strSourceCurrency_);
    XMLUtils::addChild(doc, node, "TargetCurrency", strTargetCurrency_);
    XMLUtils::addChild(doc, node, "PointsFactor", strPointsFactor_);
 
    if (!strAdvanceCalendar_.empty())
        XMLUtils::addChild(doc, node, "AdvanceCalendar", strAdvanceCalendar_);
    if (!strSpotRelative_.empty())
        XMLUtils::addChild(doc, node, "SpotRelative", strSpotRelative_);
    if (!strEndOfMonth_.empty())
        XMLUtils::addChild(doc, node, "EOM", strEndOfMonth_);
    if (!strConvention_.empty())
        XMLUtils::addChild(doc, node, "Convention", strConvention_);
 
    return node;
}

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build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 856 of file conventions.cpp.

                         {
    spotDays_ = lexical_cast<Natural>(strSpotDays_);
    sourceCurrency_ = parseCurrency(strSourceCurrency_);
    targetCurrency_ = parseCurrency(strTargetCurrency_);
    pointsFactor_ = parseReal(strPointsFactor_);
    advanceCalendar_ = strAdvanceCalendar_.empty() ? NullCalendar() : parseCalendar(strAdvanceCalendar_);
    spotRelative_ = strSpotRelative_.empty() ? true : parseBool(strSpotRelative_);
    endOfMonth_ = strEndOfMonth_.empty() ? false : parseBool(strEndOfMonth_);
    convention_ = strConvention_.empty() ? Following : parseBusinessDayConvention(strConvention_);
}

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Member Data Documentation

spotDays_

Natural spotDays_

private

Definition at line 817 of file conventions.hpp.

sourceCurrency_

Currency sourceCurrency_

private

Definition at line 818 of file conventions.hpp.

targetCurrency_

Currency targetCurrency_

private

Definition at line 819 of file conventions.hpp.

pointsFactor_

Real pointsFactor_

private

Definition at line 820 of file conventions.hpp.

advanceCalendar_

Calendar advanceCalendar_

private

Definition at line 821 of file conventions.hpp.

spotRelative_

bool spotRelative_

private

Definition at line 822 of file conventions.hpp.

endOfMonth_

bool endOfMonth_

private

Definition at line 823 of file conventions.hpp.

convention_

BusinessDayConvention convention_

private

Definition at line 824 of file conventions.hpp.

strSpotDays_

string strSpotDays_

private

Definition at line 827 of file conventions.hpp.

strSourceCurrency_

string strSourceCurrency_

private

Definition at line 828 of file conventions.hpp.

strTargetCurrency_

string strTargetCurrency_

private

Definition at line 829 of file conventions.hpp.

strPointsFactor_

string strPointsFactor_

private

Definition at line 830 of file conventions.hpp.

strAdvanceCalendar_

string strAdvanceCalendar_

private

Definition at line 831 of file conventions.hpp.

strSpotRelative_

string strSpotRelative_

private

Definition at line 832 of file conventions.hpp.

strEndOfMonth_

string strEndOfMonth_

private

Definition at line 833 of file conventions.hpp.

strConvention_

string strConvention_

private

Definition at line 834 of file conventions.hpp.