Container for storing Tenor Basis Swap conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for TenorBasisSwapConvention:

Collaboration diagram for TenorBasisSwapConvention:

Public Member Functions
Constructors
	TenorBasisSwapConvention ()
	Default constructor. More...

	TenorBasisSwapConvention (const string &id, const string &payIndex, const string &receiveIndex, const string &receiveFrequency="", const string &payFrequency="", const string &spreadOnRec="", const string &includeSpread="", const string &subPeriodsCouponType="")
	Detailed constructor. More...

Inspectors
QuantLib::ext::shared_ptr< IborIndex >	payIndex () const

QuantLib::ext::shared_ptr< IborIndex >	receiveIndex () const

const string &	payIndexName () const

const string &	receiveIndexName () const

const Period &	receiveFrequency () const

const Period &	payFrequency () const

bool	spreadOnRec () const

bool	includeSpread () const

SubPeriodsCoupon1::Type	subPeriodsCouponType () 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
Period	receiveFrequency_

Period	payFrequency_

bool	spreadOnRec_

bool	includeSpread_

SubPeriodsCoupon1::Type	subPeriodsCouponType_

string	strPayIndex_

string	strReceiveIndex_

string	strReceiveFrequency_

string	strPayFrequency_

string	strSpreadOnRec_

string	strIncludeSpread_

string	strSubPeriodsCouponType_

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 Tenor Basis Swap conventions.

Definition at line 634 of file conventions.hpp.

Constructor & Destructor Documentation

◆ TenorBasisSwapConvention() [1/2]

TenorBasisSwapConvention ( )

Default constructor.

Definition at line 639 of file conventions.hpp.

639{}

◆ TenorBasisSwapConvention() [2/2]

TenorBasisSwapConvention	(	const string &	id,
		const string &	payIndex,
		const string &	receiveIndex,
		const string &	receiveFrequency = `""`,
		const string &	payFrequency = `""`,
		const string &	spreadOnRec = `""`,
		const string &	includeSpread = `""`,
		const string &	subPeriodsCouponType = `""`
	)

Detailed constructor.

Definition at line 611 of file conventions.cpp.

    : Convention(id, Type::TenorBasisSwap), strPayIndex_(payIndex), strReceiveIndex_(receiveIndex),
      strReceiveFrequency_(receiveFrequency), strPayFrequency_(payFrequency), strSpreadOnRec_(spreadOnRec),
      strIncludeSpread_(includeSpread), strSubPeriodsCouponType_(subPeriodsCouponType) {
    build();
}

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Member Function Documentation

◆ payIndex()

QuantLib::ext::shared_ptr< IborIndex > payIndex ( ) const

Definition at line 736 of file conventions.cpp.

736{ return parseIborIndex(strPayIndex_); }

ore::data::parseIborIndex

QuantLib::ext::shared_ptr< IborIndex > parseIborIndex(const string &s, const Handle< YieldTermStructure > &h)

Convert std::string to QuantLib::IborIndex.

Definition: indexparser.cpp:254

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◆ receiveIndex()

QuantLib::ext::shared_ptr< IborIndex > receiveIndex ( ) const

Definition at line 737 of file conventions.cpp.

737{ return parseIborIndex(strReceiveIndex_); }

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◆ payIndexName()

const string & payIndexName ( ) const

Definition at line 651 of file conventions.hpp.

651{ return strPayIndex_; }

◆ receiveIndexName()

const string & receiveIndexName ( ) const

Definition at line 652 of file conventions.hpp.

652{ return strReceiveIndex_; }

◆ receiveFrequency()

const Period & receiveFrequency ( ) const

Definition at line 653 of file conventions.hpp.

653{ return receiveFrequency_; }

ore::data::TenorBasisSwapConvention::receiveFrequency_

Period receiveFrequency_

Definition: conventions.hpp:668

◆ payFrequency()

const Period & payFrequency ( ) const

Definition at line 654 of file conventions.hpp.

654{ return payFrequency_; }

ore::data::TenorBasisSwapConvention::payFrequency_

Period payFrequency_

Definition: conventions.hpp:669

◆ spreadOnRec()

bool spreadOnRec ( ) const

Definition at line 655 of file conventions.hpp.

655{ return spreadOnRec_; }

ore::data::TenorBasisSwapConvention::spreadOnRec_

bool spreadOnRec_

Definition: conventions.hpp:670

◆ includeSpread()

bool includeSpread ( ) const

Definition at line 656 of file conventions.hpp.

656{ return includeSpread_; }

ore::data::TenorBasisSwapConvention::includeSpread_

bool includeSpread_

Definition: conventions.hpp:671

◆ subPeriodsCouponType()

SubPeriodsCoupon1::Type subPeriodsCouponType ( ) const

Definition at line 657 of file conventions.hpp.

657{ return subPeriodsCouponType_; }

ore::data::TenorBasisSwapConvention::subPeriodsCouponType_

SubPeriodsCoupon1::Type subPeriodsCouponType_

Definition: conventions.hpp:672

◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 659 of file conventions.cpp.

                                                    {
 
    XMLUtils::checkNode(node, "TenorBasisSwap");
    type_ = Type::TenorBasisSwap;
    id_ = XMLUtils::getChildValue(node, "Id", true);
 
    // Get string values from xml
    strPayIndex_ = XMLUtils::getChildValue(node, "PayIndex", false);
    strReceiveIndex_ = XMLUtils::getChildValue(node, "ReceiveIndex", false);
    strReceiveFrequency_ = XMLUtils::getChildValue(node, "ReceiveFrequency", false);
    strPayFrequency_ = XMLUtils::getChildValue(node, "PayFrequency", false);
    strSpreadOnRec_ = XMLUtils::getChildValue(node, "SpreadOnRec", false);
    strIncludeSpread_ = XMLUtils::getChildValue(node, "IncludeSpread", false);
    strSubPeriodsCouponType_ = XMLUtils::getChildValue(node, "SubPeriodsCouponType", false);
 
    // handle deprecated fields...
    if (strPayIndex_.empty()) {
        XMLNode* longIndex = XMLUtils::getChildNode(node, "LongIndex");
        if (longIndex) {
            ALOG("TenorBasisSwapConvention: LongIndex is deprecated, fill empty PayIndex");
            strPayIndex_ = XMLUtils::getNodeValue(longIndex);
        } else
            QL_FAIL("TenorBasisSwapConvention : PayIndex field missing.");
    }
 
    if (strReceiveIndex_.empty()) {
        XMLNode* shortIndex = XMLUtils::getChildNode(node, "ShortIndex");
        if (shortIndex) {
            ALOG("TenorBasisSwapConvention: ShortIndex is deprecated, fill empty ReceiveIndex");
            strReceiveIndex_ = XMLUtils::getNodeValue(shortIndex);
        } else
            QL_FAIL("TenorBasisSwapConvention : ReceiveIndex field missing.");
    }
 
    XMLNode* longPayTenor = XMLUtils::getChildNode(node, "LongPayTenor");
    if (longPayTenor) {
        ALOG("TenorBasisSwapConvention: LongPayTenor is deprecated, fill empty PayFrequency");
        if (strPayFrequency_.empty())
            strPayFrequency_ = XMLUtils::getNodeValue(longPayTenor);
    }
 
    XMLNode* shortPayTenor = XMLUtils::getChildNode(node, "ShortPayTenor");
    if (shortPayTenor) {
        ALOG("TenorBasisSwapConvention: ShortPayTenor is deprecated, fill empty ReceiveFrequency");
        if (strReceiveFrequency_.empty())
            strReceiveFrequency_ = XMLUtils::getNodeValue(shortPayTenor);
    }
 
    XMLNode* spreadOnShort = XMLUtils::getChildNode(node, "SpreadOnShort");
    if (spreadOnShort) {
        ALOG("TenorBasisSwapConvention: SpreadOnShort is deprecated, fill empty SpreadOnRec");
        if (strSpreadOnRec_.empty())
            strSpreadOnRec_ = XMLUtils::getNodeValue(spreadOnShort);
    }
 
    build();
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 717 of file conventions.cpp.

                                                               {
 
    XMLNode* node = doc.allocNode("TenorBasisSwap");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "PayIndex", strPayIndex_);
    XMLUtils::addChild(doc, node, "ReceiveIndex", strReceiveIndex_);
    if (!strReceiveFrequency_.empty())
        XMLUtils::addChild(doc, node, "ReceiveFrequency", strReceiveFrequency_);
    if (!strPayFrequency_.empty())
        XMLUtils::addChild(doc, node, "PayFrequency", strPayFrequency_);
    if (!strSpreadOnRec_.empty())
        XMLUtils::addChild(doc, node, "SpreadOnRec", strSpreadOnRec_);
    if (!strIncludeSpread_.empty())
        XMLUtils::addChild(doc, node, "IncludeSpread", strIncludeSpread_);
    if (!strSubPeriodsCouponType_.empty())
        XMLUtils::addChild(doc, node, "SubPeriodsCouponType", strSubPeriodsCouponType_);
    return node;
}

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◆ build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 621 of file conventions.cpp.

                                     {
    parseIborIndex(strPayIndex_);
    parseIborIndex(strReceiveIndex_);
 
    QuantLib::ext::shared_ptr<OvernightIndex> payON = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(payIndex());
    QuantLib::ext::shared_ptr<OvernightIndex> recON = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(receiveIndex());
 
    if (strReceiveFrequency_.empty()) {
        if (recON) {
            receiveFrequency_ = 1 * Years;
            WLOG("receiveFrequency_ empty and overnight, set to 1 Year");
        } else {
            receiveFrequency_ = receiveIndex()->tenor();
            WLOG("receiveFrequency_ empty set to index tenor.");
        }
    } else
        receiveFrequency_ = parsePeriod(strReceiveFrequency_);
 
    if (strPayFrequency_.empty()) {
        if (payON) {
            payFrequency_ = 1 * Years;
            WLOG("payFrequency_ empty and overnight, set to 1 Year");
        } else {
            payFrequency_ = payIndex()->tenor();
            WLOG("payFrequency_ empty set to index tenor.");
        }
    } else
        payFrequency_ = parsePeriod(strPayFrequency_);
 
    spreadOnRec_ = strSpreadOnRec_.empty() ? true : parseBool(strSpreadOnRec_);
    includeSpread_ = strIncludeSpread_.empty() ? false : parseBool(strIncludeSpread_);
    if (includeSpread_ && (payON || recON))
        QL_FAIL("IncludeSpread must be false for overnight index legs.");
 
    subPeriodsCouponType_ = strSubPeriodsCouponType_.empty() ? SubPeriodsCoupon1::Compounding
                                                             : parseSubPeriodsCouponType(strSubPeriodsCouponType_);
}

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Member Data Documentation

◆ receiveFrequency_

Period receiveFrequency_

private

Definition at line 668 of file conventions.hpp.

◆ payFrequency_

Period payFrequency_

private

Definition at line 669 of file conventions.hpp.

◆ spreadOnRec_

bool spreadOnRec_

private

Definition at line 670 of file conventions.hpp.

◆ includeSpread_

bool includeSpread_

private

Definition at line 671 of file conventions.hpp.

◆ subPeriodsCouponType_

SubPeriodsCoupon1::Type subPeriodsCouponType_

private

Definition at line 672 of file conventions.hpp.

◆ strPayIndex_

string strPayIndex_

private

Definition at line 675 of file conventions.hpp.

◆ strReceiveIndex_

string strReceiveIndex_

private

Definition at line 676 of file conventions.hpp.

◆ strReceiveFrequency_

string strReceiveFrequency_

private

Definition at line 677 of file conventions.hpp.

◆ strPayFrequency_

string strPayFrequency_

private

Definition at line 678 of file conventions.hpp.

◆ strSpreadOnRec_

string strSpreadOnRec_

private

Definition at line 679 of file conventions.hpp.

◆ strIncludeSpread_

string strIncludeSpread_

private

Definition at line 680 of file conventions.hpp.

◆ strSubPeriodsCouponType_

string strSubPeriodsCouponType_

private

Definition at line 681 of file conventions.hpp.

Public Member Functions

Serialisation

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ TenorBasisSwapConvention() [1/2]

◆ TenorBasisSwapConvention() [2/2]

Member Function Documentation

◆ payIndex()

◆ receiveIndex()

◆ payIndexName()

◆ receiveIndexName()

◆ receiveFrequency()

◆ payFrequency()

◆ spreadOnRec()

◆ includeSpread()

◆ subPeriodsCouponType()

◆ fromXML()

◆ toXML()

◆ build()

Member Data Documentation

◆ receiveFrequency_

◆ payFrequency_

◆ spreadOnRec_

◆ includeSpread_

◆ subPeriodsCouponType_

◆ strPayIndex_

◆ strReceiveIndex_

◆ strReceiveFrequency_

◆ strPayFrequency_

◆ strSpreadOnRec_

◆ strIncludeSpread_

◆ strSubPeriodsCouponType_