IRSwapConvention Class Reference

Container for storing Interest Rate Swap conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for IRSwapConvention:

Collaboration diagram for IRSwapConvention:

Public Member Functions
Constructors
	IRSwapConvention ()
	Default constructor. More...
	IRSwapConvention (const string &id, const string &fixedCalendar, const string &fixedFrequency, const string &fixedConvention, const string &fixedDayCounter, const string &index, bool hasSubPeriod=false, const string &floatFrequency="", const string &subPeriodsCouponType="")
	Detailed constructor. More...
Inspectors
const Calendar &	fixedCalendar () const
Frequency	fixedFrequency () const
BusinessDayConvention	fixedConvention () const
const DayCounter &	fixedDayCounter () const
const string &	indexName () const
QuantLib::ext::shared_ptr< IborIndex >	index () const
bool	hasSubPeriod () const
Frequency	floatFrequency () const
SubPeriodsCoupon1::Type	subPeriodsCouponType () 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
Calendar	fixedCalendar_
Frequency	fixedFrequency_
BusinessDayConvention	fixedConvention_
DayCounter	fixedDayCounter_
bool	hasSubPeriod_
Frequency	floatFrequency_
SubPeriodsCoupon1::Type	subPeriodsCouponType_
string	strFixedCalendar_
string	strFixedFrequency_
string	strFixedConvention_
string	strFixedDayCounter_
string	strIndex_
string	strFloatFrequency_
string	strSubPeriodsCouponType_
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 Interest Rate Swap conventions.

Definition at line 515 of file conventions.hpp.

Constructor & Destructor Documentation

IRSwapConvention() [1/2]

IRSwapConvention

(

)

Default constructor.

Definition at line 520 of file conventions.hpp.

{}

IRSwapConvention() [2/2]

IRSwapConvention	(	const string &	id,
		const string &	fixedCalendar,
		const string &	fixedFrequency,
		const string &	fixedConvention,
		const string &	fixedDayCounter,
		const string &	index,
		bool	hasSubPeriod = false,
		const string &	floatFrequency = "",
		const string &	subPeriodsCouponType = ""
	)

Detailed constructor.

Definition at line 467 of file conventions.cpp.

    : Convention(id, Type::Swap), hasSubPeriod_(hasSubPeriod), strFixedCalendar_(fixedCalendar),
      strFixedFrequency_(fixedFrequency), strFixedConvention_(fixedConvention), strFixedDayCounter_(fixedDayCounter),
      strIndex_(index), strFloatFrequency_(floatFrequency), strSubPeriodsCouponType_(subPeriodsCouponType) {
    build();
}

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Member Function Documentation

fixedCalendar()

const Calendar & fixedCalendar

(

)

const

Definition at line 530 of file conventions.hpp.

{ return fixedCalendar_; }

fixedFrequency()

Frequency fixedFrequency

(

)

const

Definition at line 531 of file conventions.hpp.

{ return fixedFrequency_; }

fixedConvention()

BusinessDayConvention fixedConvention

(

)

const

Definition at line 532 of file conventions.hpp.

{ return fixedConvention_; }

fixedDayCounter()

const DayCounter & fixedDayCounter

(

)

const

Definition at line 533 of file conventions.hpp.

{ return fixedDayCounter_; }

indexName()

const string & indexName

(

)

const

Definition at line 534 of file conventions.hpp.

{ return strIndex_; }

index()

QuantLib::ext::shared_ptr< IborIndex > index

(

)

const

Definition at line 538 of file conventions.cpp.

{ return parseIborIndex(strIndex_); }

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hasSubPeriod()

bool hasSubPeriod

(

)

const

Definition at line 537 of file conventions.hpp.

{ return hasSubPeriod_; }

floatFrequency()

Frequency floatFrequency

(

)

const

Definition at line 538 of file conventions.hpp.

{ return floatFrequency_; } // returns NoFrequency for normal swaps

subPeriodsCouponType()

SubPeriodsCoupon1::Type subPeriodsCouponType

(

)

const

Definition at line 539 of file conventions.hpp.

{ return subPeriodsCouponType_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 500 of file conventions.cpp.

                                            {
 
    XMLUtils::checkNode(node, "Swap");
    type_ = Type::Swap;
    id_ = XMLUtils::getChildValue(node, "Id", true);
 
    // Get string values from xml
    strFixedFrequency_ = XMLUtils::getChildValue(node, "FixedFrequency", true);
    strFixedDayCounter_ = XMLUtils::getChildValue(node, "FixedDayCounter", true);
    strIndex_ = XMLUtils::getChildValue(node, "Index", true);
 
    // optional
    strFixedCalendar_ = XMLUtils::getChildValue(node, "FixedCalendar", false);
    strFixedConvention_ = XMLUtils::getChildValue(node, "FixedConvention", false);
    strFloatFrequency_ = XMLUtils::getChildValue(node, "FloatFrequency", false);
    strSubPeriodsCouponType_ = XMLUtils::getChildValue(node, "SubPeriodsCouponType", false);
    hasSubPeriod_ = (strFloatFrequency_ != "");
 
    build();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 521 of file conventions.cpp.

                                                       {
 
    XMLNode* node = doc.allocNode("Swap");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "FixedCalendar", strFixedCalendar_);
    XMLUtils::addChild(doc, node, "FixedFrequency", strFixedFrequency_);
    XMLUtils::addChild(doc, node, "FixedConvention", strFixedConvention_);
    XMLUtils::addChild(doc, node, "FixedDayCounter", strFixedDayCounter_);
    XMLUtils::addChild(doc, node, "Index", strIndex_);
    if (hasSubPeriod_) {
        XMLUtils::addChild(doc, node, "FloatFrequency", strFloatFrequency_);
        XMLUtils::addChild(doc, node, "SubPeriodsCouponType", strSubPeriodsCouponType_);
    }
 
    return node;
}

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build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 476 of file conventions.cpp.

                             {
    fixedFrequency_ = parseFrequency(strFixedFrequency_);
    fixedDayCounter_ = parseDayCounter(strFixedDayCounter_);
    auto ind = parseIborIndex(strIndex_);
 
    if (strFixedCalendar_.empty())
        fixedCalendar_ = ind->fixingCalendar();
    else
        fixedCalendar_ = parseCalendar(strFixedCalendar_);
 
    if (strFixedConvention_.empty())
        fixedConvention_ = ind->businessDayConvention();
    else
        fixedConvention_ = parseBusinessDayConvention(strFixedConvention_);
 
    if (hasSubPeriod_) {
        floatFrequency_ = parseFrequency(strFloatFrequency_);
        subPeriodsCouponType_ = parseSubPeriodsCouponType(strSubPeriodsCouponType_);
    } else {
        floatFrequency_ = NoFrequency;
        subPeriodsCouponType_ = SubPeriodsCoupon1::Compounding;
    }
}

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Member Data Documentation

fixedCalendar_

Calendar fixedCalendar_

private

Definition at line 550 of file conventions.hpp.

fixedFrequency_

Frequency fixedFrequency_

private

Definition at line 551 of file conventions.hpp.

fixedConvention_

BusinessDayConvention fixedConvention_

private

Definition at line 552 of file conventions.hpp.

fixedDayCounter_

DayCounter fixedDayCounter_

private

Definition at line 553 of file conventions.hpp.

hasSubPeriod_

bool hasSubPeriod_

private

Definition at line 554 of file conventions.hpp.

floatFrequency_

Frequency floatFrequency_

private

Definition at line 555 of file conventions.hpp.

subPeriodsCouponType_

SubPeriodsCoupon1::Type subPeriodsCouponType_

private

Definition at line 556 of file conventions.hpp.

strFixedCalendar_

string strFixedCalendar_

private

Definition at line 559 of file conventions.hpp.

strFixedFrequency_

string strFixedFrequency_

private

Definition at line 560 of file conventions.hpp.

strFixedConvention_

string strFixedConvention_

private

Definition at line 561 of file conventions.hpp.

strFixedDayCounter_

string strFixedDayCounter_

private

Definition at line 562 of file conventions.hpp.

strIndex_

string strIndex_

private

Definition at line 563 of file conventions.hpp.

strFloatFrequency_

string strFloatFrequency_

private

Definition at line 564 of file conventions.hpp.

strSubPeriodsCouponType_

string strSubPeriodsCouponType_

private

Definition at line 565 of file conventions.hpp.