FutureConvention Class Reference

Container for storing Money Market Futures conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for FutureConvention:

Collaboration diagram for FutureConvention:

Public Types
enum class	DateGenerationRule { IMM , FirstDayOfMonth }
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...

Public Member Functions
Constructors
	FutureConvention ()
	Default constructor. More...
	FutureConvention (const string &id, const string &index)
	Index based constructor. More...
	FutureConvention (const string &id, const string &index, const QuantLib::RateAveraging::Type overnightIndexFutureNettingType, const DateGenerationRule dateGeneration)
	Index based constructor taking in addition a netting type for ON indices and a date generation rule. More...
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...

Inspectors
string	strIndex_
QuantLib::RateAveraging::Type	overnightIndexFutureNettingType_
DateGenerationRule	dateGenerationRule_
QuantLib::ext::shared_ptr< IborIndex >	index () const
QuantLib::RateAveraging::Type	overnightIndexFutureNettingType () const
DateGenerationRule	dateGenerationRule () const
virtual void	fromXML (XMLNode *node) override
	Serialisation. More...
virtual XMLNode *	toXML (XMLDocument &doc) const override
virtual void	build () override

Additional Inherited Members
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 Money Market Futures conventions.

Definition at line 304 of file conventions.hpp.

Member Enumeration Documentation

DateGenerationRule

enum class DateGenerationRule

strong

Enumerator
IMM
FirstDayOfMonth

Definition at line 306 of file conventions.hpp.

{ IMM, FirstDayOfMonth };

Constructor & Destructor Documentation

FutureConvention() [1/3]

FutureConvention

(

)

Default constructor.

Definition at line 310 of file conventions.hpp.

{}

FutureConvention() [2/3]

FutureConvention	(	const string &	id,
		const string &	index
	)

Index based constructor.

Definition at line 224 of file conventions.cpp.

    : FutureConvention(id, index, QuantLib::RateAveraging::Type::Compound, DateGenerationRule::IMM) {}

FutureConvention() [3/3]

FutureConvention	(	const string &	id,
		const string &	index,
		const QuantLib::RateAveraging::Type	overnightIndexFutureNettingType,
		const DateGenerationRule	dateGeneration
	)

Index based constructor taking in addition a netting type for ON indices and a date generation rule.

Definition at line 227 of file conventions.cpp.

    : Convention(id, Type::Future), strIndex_(index),
      overnightIndexFutureNettingType_(overnightIndexFutureNettingType) {
    parseIborIndex(strIndex_);
}

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Member Function Documentation

index()

QuantLib::ext::shared_ptr< IborIndex > index

(

)

const

Definition at line 259 of file conventions.cpp.

{ return parseIborIndex(strIndex_); }

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overnightIndexFutureNettingType()

QuantLib::RateAveraging::Type overnightIndexFutureNettingType

(

)

const

Definition at line 321 of file conventions.hpp.

{ return overnightIndexFutureNettingType_; }

dateGenerationRule()

DateGenerationRule dateGenerationRule

(

)

const

Definition at line 322 of file conventions.hpp.

{ return dateGenerationRule_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Serialisation.

Implements XMLSerializable.

Definition at line 235 of file conventions.cpp.

                                            {
    XMLUtils::checkNode(node, "Future");
    type_ = Type::Future;
    id_ = XMLUtils::getChildValue(node, "Id", true);
    strIndex_ = XMLUtils::getChildValue(node, "Index", true);
    parseIborIndex(strIndex_);
    string nettingTypeStr = XMLUtils::getChildValue(node, "OvernightIndexFutureNettingType", false);
    overnightIndexFutureNettingType_ =
        nettingTypeStr.empty() ? RateAveraging::Type::Compound : parseOvernightIndexFutureNettingType(nettingTypeStr);
    string dateGenerationStr = XMLUtils::getChildValue(node, "DateGenerationRule", false);
    dateGenerationRule_ =
        dateGenerationStr.empty() ? DateGenerationRule::IMM : parseFutureDateGenerationRule(dateGenerationStr);
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 249 of file conventions.cpp.

                                                       {
 
    XMLNode* node = doc.allocNode("Future");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "Index", strIndex_);
    XMLUtils::addChild(doc, node, "OvernightIndexFutureNettingType", ore::data::to_string(overnightIndexFutureNettingType_));
    XMLUtils::addChild(doc, node, "DateGenerationRule", ore::data::to_string(dateGenerationRule_));
    return node;
}

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build()

virtual void build ( )

overridevirtual

Implements Convention.

Definition at line 329 of file conventions.hpp.

{}

Member Data Documentation

strIndex_

string strIndex_

private

Definition at line 333 of file conventions.hpp.

overnightIndexFutureNettingType_

QuantLib::RateAveraging::Type overnightIndexFutureNettingType_

private

Definition at line 334 of file conventions.hpp.

dateGenerationRule_

DateGenerationRule dateGenerationRule_

private

Definition at line 335 of file conventions.hpp.