SecuritySpreadConvention Class Reference

Container for storing Bond Spread Rate conventions. More...

#include <ored/configuration/conventions.hpp>

Inheritance diagram for SecuritySpreadConvention:

Public Member Functions
Constructors
	SecuritySpreadConvention ()
	Default constructor.
	SecuritySpreadConvention (const string &id, const string &dayCounter, const string &compounding, const string &compoundingFrequency)
	SecuritySpreadConvention (const string &id, const string &dayCounter, const string &tenorCalendar, const string &compounding="Continuous", const string &compoundingFrequency="Annual", const string &spotLag="", const string &spotCalendar="", const string &rollConvention="", const string &eom="")
Inspectors
const DayCounter &	dayCounter () const
	Zero rate day counter.
const Calendar &	tenorCalendar () const
	Return the calendar used for converting tenor points into dates.
Compounding	compounding () const
	Zero rate compounding.
Frequency	compoundingFrequency () const
	Zero rate compounding frequency.
Natural	spotLag () const
	Zero rate spot lag.
const Calendar &	spotCalendar () const
	Calendar used for spot date adjustment.
BusinessDayConvention	rollConvention () const
	Business day convention used in converting tenor points into dates.
bool	eom ()
	End of month adjustment.
bool	tenorBased ()
	Flag to indicate whether the Zero Rate convention is based on a tenor input.
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 Bond Spread Rate conventions.

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.