CrossCcyYieldCurveSegment Class Reference

Cross Currency yield curve segment. More...

#include <ored/configuration/yieldcurveconfig.hpp>

Inheritance diagram for CrossCcyYieldCurveSegment:

Public Member Functions
Constructors/Destructors
	CrossCcyYieldCurveSegment ()
	Default constructor.
	CrossCcyYieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > &quotes, const string &spotRateID, const string &foreignDiscountCurveID, const string &domesticProjectionCurveID=string(), const string &foreignProjectionCurveID=string())
	Detailed constructor.
virtual	~CrossCcyYieldCurveSegment ()
	Default destructor.
Serialisation
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
Inspectors
const string &	spotRateID () const
const string &	foreignDiscountCurveID () const
const string &	domesticProjectionCurveID () const
const string &	foreignProjectionCurveID () const
Public Member Functions inherited from YieldCurveSegment
virtual	~YieldCurveSegment ()
	Default destructor.
Type	type () const
const string &	typeID () const
const string &	conventionsID () const
const QuantLib::Pillar::Choice	pillarChoice () const
Size	priority () const
Size	minDistance () const
const vector< pair< string, bool > > &	quotes () 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

Visitability
virtual void	accept (AcyclicVisitor &) override

Additional Inherited Members
Public Types inherited from YieldCurveSegment
enum class	Type {   Zero , ZeroSpread , Discount , Deposit ,   FRA , Future , OIS , Swap ,   AverageOIS , TenorBasis , TenorBasisTwo , BMABasis ,   FXForward , CrossCcyBasis , CrossCcyFixFloat , DiscountRatio ,   FittedBond , WeightedAverage , YieldPlusDefault , IborFallback ,   BondYieldShifted }
	supported segment types
	YieldCurveSegment ()
	Default constructor.
	YieldCurveSegment (const string &typeID, const string &conventionsID, const vector< string > &quotes)
	Detailed constructor - assumes all quotes are mandatory.
pair< string, bool >	quote (const string &name, bool opt=false)
	Utility to build a quote, optional flag defaults to false.
vector< pair< string, bool > >	quotes_
	Quote and optional flag pair.

Detailed Description

Cross Currency yield curve segment.

Cross currency basis spread adjusted discount curves for 'domestic' currency cash flows are built using this segment type which requires cross currency basis spreads quotes, the spot FX quote ID and at least the 'foreign' discount curve ID. Projection curves for both currencies can be provided as well for consistency with tenor basis in each currency.

Member Function Documentation

fromXML()

virtual void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from YieldCurveSegment.

toXML()

virtual XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from YieldCurveSegment.

accept()

virtual void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from YieldCurveSegment.