InflationSwapConvention Class Reference

#include <ored/configuration/conventions.hpp>

Inheritance diagram for InflationSwapConvention:

Collaboration diagram for InflationSwapConvention:

Public Types
enum class	PublicationRoll { None , OnPublicationDate , AfterPublicationDate }
	Rule for determining when inflation swaps roll to observing latest inflation index release. More...
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
	InflationSwapConvention ()
	InflationSwapConvention (const string &id, const string &strFixCalendar, const string &strFixConvention, const string &strDayCounter, const string &strIndex, const string &strInterpolated, const string &strObservationLag, const string &strAdjustInfObsDates, const string &strInfCalendar, const string &strInfConvention, PublicationRoll publicationRoll=PublicationRoll::None, const QuantLib::ext::shared_ptr< ScheduleData > &publicationScheduleData=nullptr)
const Calendar &	fixCalendar () const
BusinessDayConvention	fixConvention () const
const DayCounter &	dayCounter () const
QuantLib::ext::shared_ptr< ZeroInflationIndex >	index () const
const string &	indexName () const
bool	interpolated () const
Period	observationLag () const
bool	adjustInfObsDates () const
const Calendar &	infCalendar () const
BusinessDayConvention	infConvention () const
PublicationRoll	publicationRoll () const
const Schedule &	publicationSchedule () 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
Calendar	fixCalendar_
BusinessDayConvention	fixConvention_
DayCounter	dayCounter_
QuantLib::ext::shared_ptr< ZeroInflationIndex >	index_
bool	interpolated_
Period	observationLag_
bool	adjustInfObsDates_
Calendar	infCalendar_
BusinessDayConvention	infConvention_
Schedule	publicationSchedule_
string	strFixCalendar_
string	strFixConvention_
string	strDayCounter_
string	strIndex_
string	strInterpolated_
string	strObservationLag_
string	strAdjustInfObsDates_
string	strInfCalendar_
string	strInfConvention_
PublicationRoll	publicationRoll_
QuantLib::ext::shared_ptr< ScheduleData >	publicationScheduleData_

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

Definition at line 1083 of file conventions.hpp.

Member Enumeration Documentation

PublicationRoll

enum class PublicationRoll

strong

Rule for determining when inflation swaps roll to observing latest inflation index release.

Enumerator
None
OnPublicationDate
AfterPublicationDate

Definition at line 1086 of file conventions.hpp.

                               {
        None,
        OnPublicationDate,
        AfterPublicationDate
    };

Constructor & Destructor Documentation

InflationSwapConvention() [1/2]

InflationSwapConvention

(

)

Definition at line 1235 of file conventions.cpp.

    : fixConvention_(Following), interpolated_(false), adjustInfObsDates_(false),
      infConvention_(Following), publicationRoll_(PublicationRoll::None) {}

InflationSwapConvention() [2/2]

InflationSwapConvention	(	const string &	id,
		const string &	strFixCalendar,
		const string &	strFixConvention,
		const string &	strDayCounter,
		const string &	strIndex,
		const string &	strInterpolated,
		const string &	strObservationLag,
		const string &	strAdjustInfObsDates,
		const string &	strInfCalendar,
		const string &	strInfConvention,
		PublicationRoll	publicationRoll = PublicationRoll::None,
		const QuantLib::ext::shared_ptr< ScheduleData > &	publicationScheduleData = nullptr
	)

Definition at line 1239 of file conventions.cpp.

    : Convention(id, Type::InflationSwap), strFixCalendar_(strFixCalendar), strFixConvention_(strFixConvention),
      strDayCounter_(strDayCounter), strIndex_(strIndex), strInterpolated_(strInterpolated),
      strObservationLag_(strObservationLag), strAdjustInfObsDates_(strAdjustInfObsDates),
      strInfCalendar_(strInfCalendar), strInfConvention_(strInfConvention),
      publicationRoll_(publicationRoll), publicationScheduleData_(publicationScheduleData) {
    build();
}

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Member Function Documentation

fixCalendar()

const Calendar & fixCalendar

(

)

const

Definition at line 1101 of file conventions.hpp.

{ return fixCalendar_; }

fixConvention()

BusinessDayConvention fixConvention

(

)

const

Definition at line 1102 of file conventions.hpp.

{ return fixConvention_; }

dayCounter()

const DayCounter & dayCounter

(

)

const

Definition at line 1103 of file conventions.hpp.

{ return dayCounter_; }

index()

QuantLib::ext::shared_ptr< ZeroInflationIndex > index

(

)

const

Definition at line 1333 of file conventions.cpp.

                                                                               {
    return parseZeroInflationIndex(strIndex_, Handle<ZeroInflationTermStructure>());
}

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indexName()

const string & indexName

(

)

const

Definition at line 1105 of file conventions.hpp.

{ return strIndex_; }

interpolated()

bool interpolated

(

)

const

Definition at line 1106 of file conventions.hpp.

{ return interpolated_; }

observationLag()

Period observationLag

(

)

const

Definition at line 1107 of file conventions.hpp.

{ return observationLag_; }

adjustInfObsDates()

bool adjustInfObsDates

(

)

const

Definition at line 1108 of file conventions.hpp.

{ return adjustInfObsDates_; }

infCalendar()

const Calendar & infCalendar

(

)

const

Definition at line 1109 of file conventions.hpp.

{ return infCalendar_; }

infConvention()

BusinessDayConvention infConvention

(

)

const

Definition at line 1110 of file conventions.hpp.

{ return infConvention_; }

publicationRoll()

PublicationRoll publicationRoll

(

)

const

Definition at line 1111 of file conventions.hpp.

{ return publicationRoll_; }

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publicationSchedule()

const Schedule & publicationSchedule

(

)

const

Definition at line 1112 of file conventions.hpp.

{ return publicationSchedule_; }

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 1272 of file conventions.cpp.

                                                   {
 
    XMLUtils::checkNode(node, "InflationSwap");
    type_ = Type::InflationSwap;
    id_ = XMLUtils::getChildValue(node, "Id", true);
 
    // Get string values from xml
    strFixCalendar_ = XMLUtils::getChildValue(node, "FixCalendar", true);
    strFixConvention_ = XMLUtils::getChildValue(node, "FixConvention", true);
    strDayCounter_ = XMLUtils::getChildValue(node, "DayCounter", true);
    strIndex_ = XMLUtils::getChildValue(node, "Index", true);
    strInterpolated_ = XMLUtils::getChildValue(node, "Interpolated", true);
    strObservationLag_ = XMLUtils::getChildValue(node, "ObservationLag", true);
    strAdjustInfObsDates_ = XMLUtils::getChildValue(node, "AdjustInflationObservationDates", true);
    strInfCalendar_ = XMLUtils::getChildValue(node, "InflationCalendar", true);
    strInfConvention_ = XMLUtils::getChildValue(node, "InflationConvention", true);
 
    publicationRoll_ = PublicationRoll::None;
    if (XMLNode* n = XMLUtils::getChildNode(node, "PublicationRoll")) {
        publicationRoll_ = parseInflationSwapPublicationRoll(XMLUtils::getNodeValue(n));
    }
 
    if (publicationRoll_ != PublicationRoll::None) {
        XMLNode* n = XMLUtils::getChildNode(node, "PublicationSchedule");
        QL_REQUIRE(n, "PublicationRoll is " << publicationRoll_ << " for " << id() <<
            " so expect non-empty PublicationSchedule.");
        publicationScheduleData_ = QuantLib::ext::make_shared<ScheduleData>();
        publicationScheduleData_->fromXML(n);
    }
 
    build();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 1305 of file conventions.cpp.

                                                              {
 
    XMLNode* node = doc.allocNode("InflationSwap");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "FixCalendar", strFixCalendar_);
    XMLUtils::addChild(doc, node, "FixConvention", strFixConvention_);
    XMLUtils::addChild(doc, node, "DayCounter", strDayCounter_);
    XMLUtils::addChild(doc, node, "Index", strIndex_);
    XMLUtils::addChild(doc, node, "Interpolated", strInterpolated_);
    XMLUtils::addChild(doc, node, "ObservationLag", strObservationLag_);
    XMLUtils::addChild(doc, node, "AdjustInflationObservationDates", strAdjustInfObsDates_);
    XMLUtils::addChild(doc, node, "InflationCalendar", strInfCalendar_);
    XMLUtils::addChild(doc, node, "InflationConvention", strInfConvention_);
 
    if (publicationRoll_ != PublicationRoll::None) {
        XMLUtils::addChild(doc, node, "PublicationRoll", to_string(publicationRoll_));
        QL_REQUIRE(publicationScheduleData_, "PublicationRoll is " << publicationRoll_ << " for "
            << id() << " so expect PublicationSchedule.");
 
        // Need to change the name from ScheduleData to PublicationSchedule.
        XMLNode* n = publicationScheduleData_->toXML(doc);
        XMLUtils::setNodeName(doc, n, "PublicationSchedule");
        XMLUtils::appendNode(node, n);
    }
 
    return node;
}

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build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 1254 of file conventions.cpp.

                                    {
    interpolated_ = parseBool(strInterpolated_);
    parseZeroInflationIndex(strIndex_, Handle<ZeroInflationTermStructure>());
    fixCalendar_ = parseCalendar(strFixCalendar_);
    fixConvention_ = parseBusinessDayConvention(strFixConvention_);
    dayCounter_ = parseDayCounter(strDayCounter_);
    index_ = parseZeroInflationIndex(strIndex_, Handle<ZeroInflationTermStructure>());
    observationLag_ = parsePeriod(strObservationLag_);
    adjustInfObsDates_ = parseBool(strAdjustInfObsDates_);
    infCalendar_ = parseCalendar(strInfCalendar_);
    infConvention_ = parseBusinessDayConvention(strInfConvention_);
    if (publicationRoll_ != PublicationRoll::None) {
        QL_REQUIRE(publicationScheduleData_, "Publication roll is " << publicationRoll_ << " for " << id() <<
            " so expect non-null publication schedule data.");
        publicationSchedule_ = makeSchedule(*publicationScheduleData_);
    }
}

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Member Data Documentation

fixCalendar_

Calendar fixCalendar_

private

Definition at line 1119 of file conventions.hpp.

fixConvention_

BusinessDayConvention fixConvention_

private

Definition at line 1120 of file conventions.hpp.

dayCounter_

DayCounter dayCounter_

private

Definition at line 1121 of file conventions.hpp.

index_

QuantLib::ext::shared_ptr<ZeroInflationIndex> index_

private

Definition at line 1122 of file conventions.hpp.

interpolated_

bool interpolated_

private

Definition at line 1123 of file conventions.hpp.

observationLag_

Period observationLag_

private

Definition at line 1124 of file conventions.hpp.

adjustInfObsDates_

bool adjustInfObsDates_

private

Definition at line 1125 of file conventions.hpp.

infCalendar_

Calendar infCalendar_

private

Definition at line 1126 of file conventions.hpp.

infConvention_

BusinessDayConvention infConvention_

private

Definition at line 1127 of file conventions.hpp.

publicationSchedule_

Schedule publicationSchedule_

private

Definition at line 1128 of file conventions.hpp.

strFixCalendar_

string strFixCalendar_

private

Definition at line 1131 of file conventions.hpp.

strFixConvention_

string strFixConvention_

private

Definition at line 1132 of file conventions.hpp.

strDayCounter_

string strDayCounter_

private

Definition at line 1133 of file conventions.hpp.

strIndex_

string strIndex_

private

Definition at line 1134 of file conventions.hpp.

strInterpolated_

string strInterpolated_

private

Definition at line 1135 of file conventions.hpp.

strObservationLag_

string strObservationLag_

private

Definition at line 1136 of file conventions.hpp.

strAdjustInfObsDates_

string strAdjustInfObsDates_

private

Definition at line 1137 of file conventions.hpp.

strInfCalendar_

string strInfCalendar_

private

Definition at line 1138 of file conventions.hpp.

strInfConvention_

string strInfConvention_

private

Definition at line 1139 of file conventions.hpp.

publicationRoll_

PublicationRoll publicationRoll_

private

Definition at line 1140 of file conventions.hpp.

publicationScheduleData_

QuantLib::ext::shared_ptr<ScheduleData> publicationScheduleData_

private

Definition at line 1141 of file conventions.hpp.