FxOptionConvention Class Reference

Container for storing FX Option conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for FxOptionConvention:

Public Member Functions
Constructors
	FxOptionConvention (const string &id, const string &fxConventionId, const string &atmType, const string &deltaType, const string &switchTenor="", const string &longTermAtmType="", const string &longTermDeltaType="", const string &riskReversalInFavorOf="Call", const string &butterflyStyle="Broker")
Inspectors
const string &	fxConventionID () const
const DeltaVolQuote::AtmType &	atmType () const
const DeltaVolQuote::DeltaType &	deltaType () const
const Period &	switchTenor () const
const DeltaVolQuote::AtmType &	longTermAtmType () const
const DeltaVolQuote::DeltaType &	longTermDeltaType () const
const QuantLib::Option::Type &	riskReversalInFavorOf () const
const bool	butterflyIsBrokerStyle () 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 *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 ,   FxOptionTimeWeighting , BondYield }
	Supported convention types.
	Convention (const string &id, Type type)
Type	type_
string	id_

Detailed Description

Container for storing FX Option conventions.

Defining a switchTenor is optional. It is set to 0 * Days if no switch tenor is defined. In this case longTermAtmType and longTermDeltaType are set to atmType and deltaType respectively.

Member Function Documentation

fromXML()

virtual void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

toXML()

virtual XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

build()

virtual void build ( )

overridevirtual

Implements Convention.