FutureConvention Class Reference

Container for storing Money Market Futures conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for FutureConvention:

Public Types
enum class	DateGenerationRule { IMM , FirstDayOfMonth }
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.

Public Member Functions
Constructors
	FutureConvention ()
	Default constructor.
	FutureConvention (const string &id, const string &index)
	Index based constructor.
	FutureConvention (const string &id, const string &index, const QuantLib::RateAveraging::Type overnightIndexFutureNettingType, const DateGenerationRule dateGeneration, const string &calendar)
	Index based constructor taking in addition a netting type for ON indices and a date generation rule.
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

Inspectors
QuantLib::ext::shared_ptr< IborIndex >	index () const
QuantLib::RateAveraging::Type	overnightIndexFutureNettingType () const
DateGenerationRule	dateGenerationRule () const
QuantLib::Calendar	calendar () const
virtual void	fromXML (XMLNode *node) override
	Serialisation.
virtual XMLNode *	toXML (XMLDocument &doc) const override
virtual void	build () override

Additional Inherited Members
	Convention (const string &id, Type type)
Type	type_
string	id_

Detailed Description

Container for storing Money Market Futures conventions.

Member Function Documentation

fromXML()

virtual void fromXML ( XMLNode * node )

overridevirtual

Serialisation.

Implements XMLSerializable.

toXML()

virtual XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

build()

virtual void build ( )

overridevirtual

Implements Convention.