IborIndexConvention Class Reference

Container for storing Ibor Index conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for IborIndexConvention:

Collaboration diagram for IborIndexConvention:

Public Member Functions
	IborIndexConvention ()
	IborIndexConvention (const string &id, const string &fixingCalendar, const string &dayCounter, const Size settlementDays, const string &businessDayConvention, const bool endOfMonth)
const string &	fixingCalendar () const
const string &	dayCounter () const
const Size	settlementDays () const
const string &	businessDayConvention () const
const bool	endOfMonth () const
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
virtual void	build () override
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...

Private Attributes
string	localId_
string	strFixingCalendar_
string	strDayCounter_
Size	settlementDays_
string	strBusinessDayConvention_
bool	endOfMonth_

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 Ibor Index conventions.

Definition at line 441 of file conventions.hpp.

Constructor & Destructor Documentation

IborIndexConvention() [1/2]

IborIndexConvention

(

)

Definition at line 443 of file conventions.hpp.

{}

IborIndexConvention() [2/2]

IborIndexConvention	(	const string &	id,
		const string &	fixingCalendar,
		const string &	dayCounter,
		const Size	settlementDays,
		const string &	businessDayConvention,
		const bool	endOfMonth
	)

Definition at line 367 of file conventions.cpp.

    : Convention(id, Type::IborIndex), localId_(id), strFixingCalendar_(fixingCalendar), strDayCounter_(dayCounter),
      settlementDays_(settlementDays), strBusinessDayConvention_(businessDayConvention), endOfMonth_(endOfMonth) {
    build();
}

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Member Function Documentation

fixingCalendar()

const string & fixingCalendar

(

)

const

Definition at line 447 of file conventions.hpp.

{ return strFixingCalendar_; }

dayCounter()

const string & dayCounter

(

)

const

Definition at line 448 of file conventions.hpp.

{ return strDayCounter_; }

settlementDays()

const Size settlementDays

(

)

const

Definition at line 449 of file conventions.hpp.

{ return settlementDays_; }

businessDayConvention()

const string & businessDayConvention

(

)

const

Definition at line 450 of file conventions.hpp.

{ return strBusinessDayConvention_; }

endOfMonth()

const bool endOfMonth

(

)

const

Definition at line 451 of file conventions.hpp.

{ return endOfMonth_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 375 of file conventions.cpp.

                                               {
    XMLUtils::checkNode(node, "IborIndex");
    type_ = Type::IborIndex;
    localId_ = XMLUtils::getChildValue(node, "Id", true);
    strFixingCalendar_ = XMLUtils::getChildValue(node, "FixingCalendar", true);
    strDayCounter_ = XMLUtils::getChildValue(node, "DayCounter", true);
    settlementDays_ = XMLUtils::getChildValueAsInt(node, "SettlementDays", true);
    strBusinessDayConvention_ = XMLUtils::getChildValue(node, "BusinessDayConvention", true);
    endOfMonth_ = XMLUtils::getChildValueAsBool(node, "EndOfMonth", true);
    build();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 387 of file conventions.cpp.

                                                          {
    XMLNode* node = doc.allocNode("IborIndex");
    XMLUtils::addChild(doc, node, "Id", localId_);
    XMLUtils::addChild(doc, node, "FixingCalendar", strFixingCalendar_);
    XMLUtils::addChild(doc, node, "DayCounter", strDayCounter_);
    XMLUtils::addChild(doc, node, "SettlementDays", static_cast<int>(settlementDays_));
    XMLUtils::addChild(doc, node, "BusinessDayConvention", strBusinessDayConvention_);
    XMLUtils::addChild(doc, node, "EndOfMonth", endOfMonth_);
    return node;
}

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build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 398 of file conventions.cpp.

                                {
    // just a check really that the id is consistent with the ibor index name rules
    vector<string> tokens;
    split(tokens, localId_, boost::is_any_of("-"));
    QL_REQUIRE(tokens.size() == 2 || tokens.size() == 3,
               "Two or three tokens required in IborIndexConvention " << localId_ << ": CCY-INDEX or CCY-INDEX-TERM");
 
    // set the Id - this converts the local id term from "7D" to "1W", "28D" to "1M" etc, so if can be picked
    // up by searches
    id_ = (tokens.size() == 3) ? (tokens[0] + "-" + tokens[1] + "-" + to_string(parsePeriod(tokens[2]))) : localId_;
}

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Member Data Documentation

localId_

string localId_

private

Definition at line 458 of file conventions.hpp.

strFixingCalendar_

string strFixingCalendar_

private

Definition at line 459 of file conventions.hpp.

strDayCounter_

string strDayCounter_

private

Definition at line 460 of file conventions.hpp.

settlementDays_

Size settlementDays_

private

Definition at line 461 of file conventions.hpp.

strBusinessDayConvention_

string strBusinessDayConvention_

private

Definition at line 462 of file conventions.hpp.

endOfMonth_

bool endOfMonth_

private

Definition at line 463 of file conventions.hpp.