ZeroRateConvention Class Reference

Container for storing Zero Rate conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for ZeroRateConvention:

Collaboration diagram for ZeroRateConvention:

Public Member Functions
Constructors
	ZeroRateConvention ()
	Default constructor. More...
	ZeroRateConvention (const string &id, const string &dayCounter, const string &compounding, const string &compoundingFrequency)
	ZeroRateConvention (const string &id, const string &dayCounter, const string &tenorCalendar, const string &compounding="Continuous", const string &compoundingFrequency="Annual", const string &spotLag="", const string &spotCalendar="", const string &rollConvention="", const string &eom="")
Inspectors
const DayCounter &	dayCounter () const
	Zero rate day counter. More...
const Calendar &	tenorCalendar () const
	Return the calendar used for converting tenor points into dates. More...
Compounding	compounding () const
	Zero rate compounding. More...
Frequency	compoundingFrequency () const
	Zero rate compounding frequency. More...
Natural	spotLag () const
	Zero rate spot lag. More...
const Calendar &	spotCalendar () const
	Calendar used for spot date adjustment. More...
BusinessDayConvention	rollConvention () const
	Business day convention used in converting tenor points into dates. More...
bool	eom ()
	End of month adjustment. More...
bool	tenorBased ()
	Flag to indicate whether the Zero Rate convention is based on a tenor input. More...
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
DayCounter	dayCounter_
Calendar	tenorCalendar_
Compounding	compounding_
Frequency	compoundingFrequency_
Natural	spotLag_
Calendar	spotCalendar_
BusinessDayConvention	rollConvention_
bool	eom_
bool	tenorBased_
string	strDayCounter_
string	strTenorCalendar_
string	strCompounding_
string	strCompoundingFrequency_
string	strSpotLag_
string	strSpotCalendar_
string	strRollConvention_
string	strEom_
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 Zero Rate conventions.

Definition at line 183 of file conventions.hpp.

Constructor & Destructor Documentation

ZeroRateConvention() [1/3]

ZeroRateConvention

(

)

Default constructor.

Definition at line 188 of file conventions.hpp.

{}

ZeroRateConvention() [2/3]

ZeroRateConvention	(	const string &	id,
		const string &	dayCounter,
		const string &	compounding,
		const string &	compoundingFrequency
	)

Definition at line 98 of file conventions.cpp.

    : Convention(id, Type::Zero), tenorBased_(false), strDayCounter_(dayCounter), strCompounding_(compounding),
      strCompoundingFrequency_(compoundingFrequency) {
    build();
}

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ZeroRateConvention() [3/3]

ZeroRateConvention	(	const string &	id,
		const string &	dayCounter,
		const string &	tenorCalendar,
		const string &	compounding = "Continuous",
		const string &	compoundingFrequency = "Annual",
		const string &	spotLag = "",
		const string &	spotCalendar = "",
		const string &	rollConvention = "",
		const string &	eom = ""
	)

Definition at line 105 of file conventions.cpp.

    : Convention(id, Type::Zero), tenorBased_(true), strDayCounter_(dayCounter), strTenorCalendar_(tenorCalendar),
      strCompounding_(compounding), strCompoundingFrequency_(compoundingFrequency), strSpotLag_(spotLag),
      strSpotCalendar_(spotCalendar), strRollConvention_(rollConvention), strEom_(eom) {
    build();
}

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Member Function Documentation

dayCounter()

const DayCounter & dayCounter

(

)

const

Zero rate day counter.

Definition at line 200 of file conventions.hpp.

{ return dayCounter_; }

tenorCalendar()

const Calendar & tenorCalendar

(

)

const

Return the calendar used for converting tenor points into dates.

Definition at line 202 of file conventions.hpp.

{ return tenorCalendar_; }

compounding()

Compounding compounding

(

)

const

Zero rate compounding.

Definition at line 204 of file conventions.hpp.

{ return compounding_; }

compoundingFrequency()

Frequency compoundingFrequency

(

)

const

Zero rate compounding frequency.

Definition at line 206 of file conventions.hpp.

{ return compoundingFrequency_; }

spotLag()

Natural spotLag

(

)

const

Zero rate spot lag.

Definition at line 208 of file conventions.hpp.

{ return spotLag_; }

spotCalendar()

const Calendar & spotCalendar

(

)

const

Calendar used for spot date adjustment.

Definition at line 210 of file conventions.hpp.

{ return spotCalendar_; }

rollConvention()

BusinessDayConvention rollConvention

(

)

const

Business day convention used in converting tenor points into dates.

Definition at line 212 of file conventions.hpp.

{ return rollConvention_; }

eom()

bool eom

(

)

End of month adjustment.

Definition at line 214 of file conventions.hpp.

{ return eom_; }

tenorBased()

bool tenorBased

(

)

Flag to indicate whether the Zero Rate convention is based on a tenor input.

Definition at line 216 of file conventions.hpp.

{ return tenorBased_; }

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 128 of file conventions.cpp.

                                              {
 
    XMLUtils::checkNode(node, "Zero");
    type_ = Type::Zero;
    id_ = XMLUtils::getChildValue(node, "Id", true);
    tenorBased_ = XMLUtils::getChildValueAsBool(node, "TenorBased", true);
 
    // Get string values from xml
    strDayCounter_ = XMLUtils::getChildValue(node, "DayCounter", true);
    strCompoundingFrequency_ = XMLUtils::getChildValue(node, "CompoundingFrequency", false);
    strCompounding_ = XMLUtils::getChildValue(node, "Compounding", false);
    if (tenorBased_) {
        strTenorCalendar_ = XMLUtils::getChildValue(node, "TenorCalendar", true);
        strSpotLag_ = XMLUtils::getChildValue(node, "SpotLag", false);
        strSpotCalendar_ = XMLUtils::getChildValue(node, "SpotCalendar", false);
        strRollConvention_ = XMLUtils::getChildValue(node, "RollConvention", false);
        strEom_ = XMLUtils::getChildValue(node, "EOM", false);
    }
    build();
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 149 of file conventions.cpp.

                                                         {
 
    XMLNode* node = doc.allocNode("Zero");
    XMLUtils::addChild(doc, node, "Id", id_);
    XMLUtils::addChild(doc, node, "TenorBased", tenorBased_);
    XMLUtils::addChild(doc, node, "DayCounter", strDayCounter_);
    XMLUtils::addChild(doc, node, "CompoundingFrequency", strCompoundingFrequency_);
    XMLUtils::addChild(doc, node, "Compounding", strCompounding_);
    if (tenorBased_) {
        XMLUtils::addChild(doc, node, "TenorCalendar", strTenorCalendar_);
        XMLUtils::addChild(doc, node, "SpotLag", strSpotLag_);
        XMLUtils::addChild(doc, node, "SpotCalendar", strSpotCalendar_);
        XMLUtils::addChild(doc, node, "RollConvention", strRollConvention_);
        XMLUtils::addChild(doc, node, "EOM", strEom_);
    }
 
    return node;
}

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build()

void build ( )

overridevirtual

Implements Convention.

Definition at line 115 of file conventions.cpp.

                               {
    dayCounter_ = parseDayCounter(strDayCounter_);
    compounding_ = strCompounding_.empty() ? Continuous : parseCompounding(strCompounding_);
    compoundingFrequency_ = strCompoundingFrequency_.empty() ? Annual : parseFrequency(strCompoundingFrequency_);
    if (tenorBased_) {
        tenorCalendar_ = parseCalendar(strTenorCalendar_);
        spotLag_ = strSpotLag_.empty() ? 0 : lexical_cast<Natural>(strSpotLag_);
        spotCalendar_ = strSpotCalendar_.empty() ? NullCalendar() : parseCalendar(strSpotCalendar_);
        rollConvention_ = strRollConvention_.empty() ? Following : parseBusinessDayConvention(strRollConvention_);
        eom_ = strEom_.empty() ? false : parseBool(strEom_);
    }
}

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Member Data Documentation

dayCounter_

DayCounter dayCounter_

private

Definition at line 227 of file conventions.hpp.

tenorCalendar_

Calendar tenorCalendar_

private

Definition at line 228 of file conventions.hpp.

compounding_

Compounding compounding_

private

Definition at line 229 of file conventions.hpp.

compoundingFrequency_

Frequency compoundingFrequency_

private

Definition at line 230 of file conventions.hpp.

spotLag_

Natural spotLag_

private

Definition at line 231 of file conventions.hpp.

spotCalendar_

Calendar spotCalendar_

private

Definition at line 232 of file conventions.hpp.

rollConvention_

BusinessDayConvention rollConvention_

private

Definition at line 233 of file conventions.hpp.

eom_

bool eom_

private

Definition at line 234 of file conventions.hpp.

tenorBased_

bool tenorBased_

private

Definition at line 235 of file conventions.hpp.

strDayCounter_

string strDayCounter_

private

Definition at line 238 of file conventions.hpp.

strTenorCalendar_

string strTenorCalendar_

private

Definition at line 239 of file conventions.hpp.

strCompounding_

string strCompounding_

private

Definition at line 240 of file conventions.hpp.

strCompoundingFrequency_

string strCompoundingFrequency_

private

Definition at line 241 of file conventions.hpp.

strSpotLag_

string strSpotLag_

private

Definition at line 242 of file conventions.hpp.

strSpotCalendar_

string strSpotCalendar_

private

Definition at line 243 of file conventions.hpp.

strRollConvention_

string strRollConvention_

private

Definition at line 244 of file conventions.hpp.

strEom_

string strEom_

private

Definition at line 245 of file conventions.hpp.