OisConvention Class Reference

Container for storing Overnight Index Swap conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for OisConvention:

Collaboration diagram for OisConvention:

Public Member Functions
Constructors
	OisConvention ()
	Default constructor. More...
	OisConvention (const string &id, const string &spotLag, const string &index, const string &fixedDayCounter, const string &fixedCalendar, const string &paymentLag="", const string &eom="", const string &fixedFrequency="", const string &fixedConvention="", const string &fixedPaymentConvention="", const string &rule="", const std::string &paymentCalendar="")
	Detailed constructor. More...
Inspectors
Natural	spotLag () const
const string &	indexName () const
QuantLib::ext::shared_ptr< OvernightIndex >	index () const
const DayCounter &	fixedDayCounter () const
const Calendar &	fixedCalendar () const
Natural	paymentLag () const
bool	eom ()
Frequency	fixedFrequency () const
BusinessDayConvention	fixedConvention () const
BusinessDayConvention	fixedPaymentConvention () const
DateGeneration::Rule	rule () const
QuantLib::Calendar	paymentCalendar () 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
Natural	spotLag_
DayCounter	fixedDayCounter_
Calendar	fixedCalendar_
Natural	paymentLag_
bool	eom_
Frequency	fixedFrequency_
BusinessDayConvention	fixedConvention_
BusinessDayConvention	fixedPaymentConvention_
DateGeneration::Rule	rule_
QuantLib::Calendar	paymentCal_
string	strSpotLag_
string	strIndex_
string	strFixedDayCounter_
string	strFixedCalendar_
string	strPaymentLag_
string	strEom_
string	strFixedFrequency_
string	strFixedConvention_
string	strFixedPaymentConvention_
string	strRule_
std::string	strPaymentCal_
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 Overnight Index Swap conventions.

Definition at line 373 of file conventions.hpp.

Constructor & Destructor Documentation

OisConvention() [1/2]

OisConvention

(

)

Default constructor.

Definition at line 378 of file conventions.hpp.

{}

OisConvention() [2/2]

OisConvention	(	const string &	id,
		const string &	spotLag,
		const string &	index,
		const string &	fixedDayCounter,
		const string &	fixedCalendar,
		const string &	paymentLag = "",
		const string &	eom = "",
		const string &	fixedFrequency = "",
		const string &	fixedConvention = "",
		const string &	fixedPaymentConvention = "",
		const string &	rule = "",
		const std::string &	paymentCalendar = ""
	)

Detailed constructor.

Definition at line 285 of file conventions.cpp.

    : Convention(id, Type::OIS), strSpotLag_(spotLag), strIndex_(index), strFixedDayCounter_(fixedDayCounter),
      strFixedCalendar_(fixedCalendar), strPaymentLag_(paymentLag), strEom_(eom), strFixedFrequency_(fixedFrequency),
      strFixedConvention_(fixedConvention), strFixedPaymentConvention_(fixedPaymentConvention), strRule_(rule),
      strPaymentCal_(paymentCal) {
    build();
}

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Member Function Documentation

spotLag()

Natural spotLag

(

)

const

Definition at line 389 of file conventions.hpp.

{ return spotLag_; }

indexName()

const string & indexName

(

)

const

Definition at line 390 of file conventions.hpp.

{ return strIndex_; }

index()

QuantLib::ext::shared_ptr< OvernightIndex > index

(

)

const

Definition at line 361 of file conventions.cpp.

                                                                 {
    auto tmp = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(parseIborIndex(strIndex_));
    QL_REQUIRE(tmp, "The index string '" << strIndex_ << "' does not represent an overnight index.");
    return tmp;
}

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fixedDayCounter()

const DayCounter & fixedDayCounter

(

)

const

Definition at line 392 of file conventions.hpp.

{ return fixedDayCounter_; }

fixedCalendar()

const Calendar & fixedCalendar

(

)

const

Definition at line 394 of file conventions.hpp.

{ return fixedCalendar_; }

paymentLag()

Natural paymentLag

(

)

const

Definition at line 395 of file conventions.hpp.

{ return paymentLag_; }

eom()

bool eom

(

)

Definition at line 396 of file conventions.hpp.

{ return eom_; }

fixedFrequency()

Frequency fixedFrequency

(

)

const

Definition at line 397 of file conventions.hpp.

{ return fixedFrequency_; }

fixedConvention()

BusinessDayConvention fixedConvention

(

)

const

Definition at line 398 of file conventions.hpp.

{ return fixedConvention_; }

fixedPaymentConvention()

BusinessDayConvention fixedPaymentConvention

(

)

const

Definition at line 399 of file conventions.hpp.

{ return fixedPaymentConvention_; }

rule()

DateGeneration::Rule rule

(

)

const

Definition at line 400 of file conventions.hpp.

{ return rule_; }

paymentCalendar()

QuantLib::Calendar paymentCalendar

(

)

const

Definition at line 401 of file conventions.hpp.

{ return paymentCal_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 311 of file conventions.cpp.

                                         {
 
    XMLUtils::checkNode(node, "OIS");
    type_ = Type::OIS;
    id_ = XMLUtils::getChildValue(node, "Id", true);
 
    // Get string values from xml
    strSpotLag_ = XMLUtils::getChildValue(node, "SpotLag", true);
    strIndex_ = XMLUtils::getChildValue(node, "Index", true);
    strFixedDayCounter_ = XMLUtils::getChildValue(node, "FixedDayCounter", true);
    // bwd compatibility
    strFixedCalendar_ = XMLUtils::getChildValue(node, "FixedCalendar", false);
    strPaymentLag_ = XMLUtils::getChildValue(node, "PaymentLag", false);
    strEom_ = XMLUtils::getChildValue(node, "EOM", false);
    strFixedFrequency_ = XMLUtils::getChildValue(node, "FixedFrequency", false);
    strFixedConvention_ = XMLUtils::getChildValue(node, "FixedConvention", false);
    strFixedPaymentConvention_ = XMLUtils::getChildValue(node, "FixedPaymentConvention", false);
    strRule_ = XMLUtils::getChildValue(node, "Rule", false);
    strPaymentCal_ = XMLUtils::getChildValue(node, "PaymentCalendar", false);
 
    build();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 334 of file conventions.cpp.

                                                    {
 
    XMLNode* node = doc.allocNode("OIS");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "SpotLag", strSpotLag_);
    XMLUtils::addChild(doc, node, "Index", strIndex_);
    XMLUtils::addChild(doc, node, "FixedDayCounter", strFixedDayCounter_);
    if(!strFixedCalendar_.empty())
        XMLUtils::addChild(doc, node, "FixedCalendar", strFixedCalendar_);
    if (!strPaymentLag_.empty())
        XMLUtils::addChild(doc, node, "PaymentLag", strPaymentLag_);
    if (!strEom_.empty())
        XMLUtils::addChild(doc, node, "EOM", strEom_);
    if (!strFixedFrequency_.empty())
        XMLUtils::addChild(doc, node, "FixedFrequency", strFixedFrequency_);
    if (!strFixedConvention_.empty())
        XMLUtils::addChild(doc, node, "FixedConvention", strFixedConvention_);
    if (!strFixedPaymentConvention_.empty())
        XMLUtils::addChild(doc, node, "FixedPaymentConvention", strFixedPaymentConvention_);
    if (!strRule_.empty())
        XMLUtils::addChild(doc, node, "Rule", strRule_);
    if (!strPaymentCal_.empty())
        XMLUtils::addChild(doc, node, "PaymentCalendar", strPaymentCal_);
 
    return node;
}

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build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 296 of file conventions.cpp.

                          {
    auto tmpIndex = parseIborIndex(strIndex_);
    spotLag_ = lexical_cast<Natural>(strSpotLag_);
    fixedDayCounter_ = parseDayCounter(strFixedDayCounter_);
    fixedCalendar_ = strFixedCalendar_.empty() ? tmpIndex->fixingCalendar() : parseCalendar(strFixedCalendar_);
    paymentLag_ = strPaymentLag_.empty() ? 0 : lexical_cast<Natural>(strPaymentLag_);
    eom_ = strEom_.empty() ? false : parseBool(strEom_);
    fixedFrequency_ = strFixedFrequency_.empty() ? Annual : parseFrequency(strFixedFrequency_);
    fixedConvention_ = strFixedConvention_.empty() ? Following : parseBusinessDayConvention(strFixedConvention_);
    fixedPaymentConvention_ =
        strFixedPaymentConvention_.empty() ? Following : parseBusinessDayConvention(strFixedPaymentConvention_);
    rule_ = strRule_.empty() ? DateGeneration::Backward : parseDateGenerationRule(strRule_);
    paymentCal_ = strPaymentCal_.empty() ? Calendar() : parseCalendar(strPaymentCal_);
}

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Member Data Documentation

spotLag_

Natural spotLag_

private

Definition at line 412 of file conventions.hpp.

fixedDayCounter_

DayCounter fixedDayCounter_

private

Definition at line 413 of file conventions.hpp.

fixedCalendar_

Calendar fixedCalendar_

private

Definition at line 414 of file conventions.hpp.

paymentLag_

Natural paymentLag_

private

Definition at line 415 of file conventions.hpp.

eom_

bool eom_

private

Definition at line 416 of file conventions.hpp.

fixedFrequency_

Frequency fixedFrequency_

private

Definition at line 417 of file conventions.hpp.

fixedConvention_

BusinessDayConvention fixedConvention_

private

Definition at line 418 of file conventions.hpp.

fixedPaymentConvention_

BusinessDayConvention fixedPaymentConvention_

private

Definition at line 419 of file conventions.hpp.

rule_

DateGeneration::Rule rule_

private

Definition at line 420 of file conventions.hpp.

paymentCal_

QuantLib::Calendar paymentCal_

private

Definition at line 421 of file conventions.hpp.

strSpotLag_

string strSpotLag_

private

Definition at line 424 of file conventions.hpp.

strIndex_

string strIndex_

private

Definition at line 425 of file conventions.hpp.

strFixedDayCounter_

string strFixedDayCounter_

private

Definition at line 426 of file conventions.hpp.

strFixedCalendar_

string strFixedCalendar_

private

Definition at line 427 of file conventions.hpp.

strPaymentLag_

string strPaymentLag_

private

Definition at line 428 of file conventions.hpp.

strEom_

string strEom_

private

Definition at line 429 of file conventions.hpp.

strFixedFrequency_

string strFixedFrequency_

private

Definition at line 430 of file conventions.hpp.

strFixedConvention_

string strFixedConvention_

private

Definition at line 431 of file conventions.hpp.

strFixedPaymentConvention_

string strFixedPaymentConvention_

private

Definition at line 432 of file conventions.hpp.

strRule_

string strRule_

private

Definition at line 433 of file conventions.hpp.

strPaymentCal_

std::string strPaymentCal_

private

Definition at line 434 of file conventions.hpp.