IborFallbackCurveSegment Class Reference

Ibor Fallback yield curve segment. More...

#include <ored/configuration/yieldcurveconfig.hpp>

Inheritance diagram for IborFallbackCurveSegment:

Collaboration diagram for IborFallbackCurveSegment:

Public Member Functions
Constructors/Destructors
	IborFallbackCurveSegment ()
	Default constructor. More...
	IborFallbackCurveSegment (const string &typeID, const string &iborIndex, const string &rfrCurve, const boost::optional< string > &rfrIndex, const boost::optional< Real > &spread)
	Detailed constructor. More...
Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
Inspectors
const string &	iborIndex () const
const string &	rfrCurve () const
const boost::optional< string > &	rfrIndex () const
const boost::optional< Real > &	spread () 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	iborIndex_
string	rfrCurve_
boost::optional< string >	rfrIndex_
boost::optional< Real >	spread_
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

Ibor Fallback yield curve segment.

A curve segment to build a Ibor forwarding curve from an OIS RFR index and a fallback spread

Definition at line 560 of file yieldcurveconfig.hpp.

Constructor & Destructor Documentation

IborFallbackCurveSegment() [1/2]

IborFallbackCurveSegment

(

)

Default constructor.

Definition at line 565 of file yieldcurveconfig.hpp.

{}

IborFallbackCurveSegment() [2/2]

IborFallbackCurveSegment	(	const string &	typeID,
		const string &	iborIndex,
		const string &	rfrCurve,
		const boost::optional< string > &	rfrIndex,
		const boost::optional< Real > &	spread
	)

Detailed constructor.

Definition at line 838 of file yieldcurveconfig.cpp.

    : YieldCurveSegment(typeID, "", {}), iborIndex_(iborIndex), rfrCurve_(rfrCurve), rfrIndex_(rfrIndex),
      spread_(spread) {}

Member Function Documentation

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 844 of file yieldcurveconfig.cpp.

                                                    {
    XMLUtils::checkNode(node, "IborFallback");
    YieldCurveSegment::fromXML(node);
    iborIndex_ = XMLUtils::getChildValue(node, "IborIndex", true);
    rfrCurve_ = XMLUtils::getChildValue(node, "RfrCurve", true);
    rfrIndex_ = boost::none;
    spread_ = boost::none;
    if (auto n = XMLUtils::getChildNode(node, "RfrIndex"))
        rfrIndex_ = XMLUtils::getNodeValue(n);
    if (auto n = XMLUtils::getChildNode(node, "Spread"))
        spread_ = parseReal(XMLUtils::getNodeValue(n));
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 857 of file yieldcurveconfig.cpp.

                                                               {
    XMLNode* node = YieldCurveSegment::toXML(doc);
    XMLUtils::setNodeName(doc, node, "IborFallback");
    XMLUtils::addChild(doc, node, "IborIndex", iborIndex_);
    XMLUtils::addChild(doc, node, "RfrCurve", rfrCurve_);
    if (rfrIndex_)
        XMLUtils::addChild(doc, node, "RfrIndex", *rfrIndex_);
    if (spread_)
        XMLUtils::addChild(doc, node, "Spread", *spread_);
    return node;
}

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iborIndex()

const string & iborIndex

(

)

const

Definition at line 578 of file yieldcurveconfig.hpp.

{ return iborIndex_; }

rfrCurve()

const string & rfrCurve

(

)

const

Definition at line 579 of file yieldcurveconfig.hpp.

{ return rfrCurve_; }

rfrIndex()

const boost::optional< string > & rfrIndex

(

)

const

Definition at line 580 of file yieldcurveconfig.hpp.

{ return rfrIndex_; }

spread()

const boost::optional< Real > & spread

(

)

const

Definition at line 581 of file yieldcurveconfig.hpp.

{ return spread_; }

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from YieldCurveSegment.

Definition at line 869 of file yieldcurveconfig.cpp.

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

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Member Data Documentation

iborIndex_

string iborIndex_

private

Definition at line 590 of file yieldcurveconfig.hpp.

rfrCurve_

string rfrCurve_

private

Definition at line 591 of file yieldcurveconfig.hpp.

rfrIndex_

boost::optional<string> rfrIndex_

private

Definition at line 592 of file yieldcurveconfig.hpp.

spread_

boost::optional<Real> spread_

private

Definition at line 593 of file yieldcurveconfig.hpp.