InflationSwapConvention Class Reference

Inheritance diagram for InflationSwapConvention:

Public Types
enum class	PublicationRoll { None , OnPublicationDate , AfterPublicationDate }
	Rule for determining when inflation swaps roll to observing latest inflation index release.
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
	InflationSwapConvention (const string &id, const string &strFixCalendar, const string &strFixConvention, const string &strDayCounter, const string &strIndex, const string &strInterpolated, const string &strObservationLag, const string &strAdjustInfObsDates, const string &strInfCalendar, const string &strInfConvention, PublicationRoll publicationRoll=PublicationRoll::None, const QuantLib::ext::shared_ptr< ScheduleData > &publicationScheduleData=nullptr)
const Calendar &	fixCalendar () const
BusinessDayConvention	fixConvention () const
const DayCounter &	dayCounter () const
QuantLib::ext::shared_ptr< ZeroInflationIndex >	index () const
const string &	indexName () const
bool	interpolated () const
Period	observationLag () const
bool	adjustInfObsDates () const
const Calendar &	infCalendar () const
BusinessDayConvention	infConvention () const
PublicationRoll	publicationRoll () const
const Schedule &	publicationSchedule () const
virtual void	fromXML (XMLNode *node) override
virtual XMLNode *	toXML (XMLDocument &doc) const override
virtual void	build () override
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

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

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.