OvernightIndexConvention Class Reference

Container for storing Overnight Index conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for OvernightIndexConvention:

Collaboration diagram for OvernightIndexConvention:

Public Member Functions
	OvernightIndexConvention ()
	OvernightIndexConvention (const string &id, const string &fixingCalendar, const string &dayCounter, const Size settlementDays)
const string &	fixingCalendar () const
const string &	dayCounter () const
const Size	settlementDays () 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	strFixingCalendar_
string	strDayCounter_
Size	settlementDays_

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 conventions.

Definition at line 470 of file conventions.hpp.

Constructor & Destructor Documentation

OvernightIndexConvention() [1/2]

OvernightIndexConvention

(

)

Definition at line 472 of file conventions.hpp.

{}

OvernightIndexConvention() [2/2]

OvernightIndexConvention	(	const string &	id,
		const string &	fixingCalendar,
		const string &	dayCounter,
		const Size	settlementDays
	)

Definition at line 410 of file conventions.cpp.

    : Convention(id, Type::OvernightIndex), strFixingCalendar_(fixingCalendar), strDayCounter_(dayCounter),
      settlementDays_(settlementDays) {
    build();
}

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Member Function Documentation

fixingCalendar()

const string & fixingCalendar

(

)

const

Definition at line 476 of file conventions.hpp.

{ return strFixingCalendar_; }

dayCounter()

const string & dayCounter

(

)

const

Definition at line 477 of file conventions.hpp.

{ return strDayCounter_; }

settlementDays()

const Size settlementDays

(

)

const

Definition at line 478 of file conventions.hpp.

{ return settlementDays_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 417 of file conventions.cpp.

                                                    {
    XMLUtils::checkNode(node, "OvernightIndex");
    type_ = Type::OvernightIndex;
    id_ = XMLUtils::getChildValue(node, "Id", true);
    strFixingCalendar_ = XMLUtils::getChildValue(node, "FixingCalendar", true);
    strDayCounter_ = XMLUtils::getChildValue(node, "DayCounter", true);
    settlementDays_ = XMLUtils::getChildValueAsInt(node, "SettlementDays", true);
    build();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 427 of file conventions.cpp.

                                                               {
    XMLNode* node = doc.allocNode("OvernightIndex");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "FixingCalendar", strFixingCalendar_);
    XMLUtils::addChild(doc, node, "DayCounter", strDayCounter_);
    XMLUtils::addChild(doc, node, "SettlementDays", static_cast<int>(settlementDays_));
    return node;
}

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build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 436 of file conventions.cpp.

                                     {
    // just a check really that the id is consistent with the ibor index name rules
    vector<string> tokens;
    split(tokens, id_, boost::is_any_of("-"));
    QL_REQUIRE(tokens.size() == 2, "Two tokens required in OvernightIndexConvention " << id_ << ": CCY-INDEX");
}

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Member Data Documentation

strFixingCalendar_

string strFixingCalendar_

private

Definition at line 485 of file conventions.hpp.

strDayCounter_

string strDayCounter_

private

Definition at line 486 of file conventions.hpp.

settlementDays_

Size settlementDays_

private

Definition at line 487 of file conventions.hpp.