CdsConvention Class Reference

Container for storing Credit Default Swap quote conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for CdsConvention:

Public Member Functions
Constructors
	CdsConvention ()
	Default constructor.
	CdsConvention (const string &id, const string &strSettlementDays, const string &strCalendar, const string &strFrequency, const string &strPaymentConvention, const string &strRule, const string &dayCounter, const string &settlesAccrual, const string &paysAtDefaultTime, const string &strUpfrontSettlementDays="", const string &lastPeriodDayCounter="")
	Detailed constructor.
Inspectors
Natural	settlementDays () const
const Calendar &	calendar () const
Frequency	frequency () const
BusinessDayConvention	paymentConvention () const
DateGeneration::Rule	rule () const
const DayCounter &	dayCounter () const
bool	settlesAccrual () const
bool	paysAtDefaultTime () const
Natural	upfrontSettlementDays () const
const DayCounter &	lastPeriodDayCounter () const
Public Member Functions inherited from Convention
virtual	~Convention ()
	Default destructor.
const string &	id () const
Type	type () const
Public Member Functions inherited from XMLSerializable
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string.
std::string	toXMLString () const
	Parse from XML string.
std::string	toXMLStringUnformatted () const

Serialisation
virtual void	fromXML (XMLNode *node0) 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 ,   FxOptionTimeWeighting , BondYield }
	Supported convention types.
	Convention (const string &id, Type type)
Type	type_
string	id_

Detailed Description

Container for storing Credit Default Swap quote conventions.

Member Function Documentation

fromXML()

virtual void fromXML ( XMLNode * node0 )

overridevirtual

Implements XMLSerializable.

toXML()

virtual XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

build()

virtual void build ( )

overridevirtual

Implements Convention.