conventions.hpp File Reference

Currency and instrument specific conventions/defaults. More...

#include <ored/utilities/xmlutils.hpp>
#include <ored/portfolio/schedule.hpp>
#include <ql/quotes/deltavolquote.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/instruments/overnightindexfuture.hpp>
#include <ql/instruments/bond.hpp>
#include <ql/option.hpp>
#include <qle/cashflows/subperiodscoupon.hpp>
#include <qle/indexes/bmaindexwrapper.hpp>
#include <qle/indexes/commodityindex.hpp>
#include <boost/thread/shared_mutex.hpp>
#include <boost/thread/lock_types.hpp>

Classes
class	Convention
	Abstract base class for convention objects. More...
class	Conventions
	Repository for currency dependent market conventions. More...
class	InstrumentConventions
	Singleton to hold conventions. More...
class	ZeroRateConvention
	Container for storing Zero Rate conventions. More...
class	DepositConvention
	Container for storing Deposit conventions. More...
class	FutureConvention
	Container for storing Money Market Futures conventions. More...
class	FraConvention
	Container for storing Forward rate Agreement conventions. More...
class	OisConvention
	Container for storing Overnight Index Swap conventions. More...
class	IborIndexConvention
	Container for storing Ibor Index conventions. More...
class	OvernightIndexConvention
	Container for storing Overnight Index conventions. More...
class	SwapIndexConvention
	Container for storing Swap Index conventions. More...
class	IRSwapConvention
	Container for storing Interest Rate Swap conventions. More...
class	AverageOisConvention
	Container for storing Average OIS conventions. More...
class	TenorBasisSwapConvention
	Container for storing Tenor Basis Swap conventions. More...
class	TenorBasisTwoSwapConvention
	Container for storing conventions for Tenor Basis Swaps quoted as a spread of two interest rate swaps. More...
class	BMABasisSwapConvention
	Container for storing Libor-BMA Basis Swap conventions. More...
class	FXConvention
	Container for storing FX Spot quote conventions. More...
class	CrossCcyBasisSwapConvention
	Container for storing Cross Currency Basis Swap quote conventions. More...
class	CrossCcyFixFloatSwapConvention
class	CdsConvention
	Container for storing Credit Default Swap quote conventions. More...
class	InflationSwapConvention
class	SecuritySpreadConvention
	Container for storing Bond Spread Rate conventions. More...
class	CmsSpreadOptionConvention
	Container for storing CMS Spread Option conventions. More...
class	CommodityForwardConvention
class	CommodityFutureConvention
struct	CommodityFutureConvention::DayOfMonth
	Classes to differentiate constructors below. More...
struct	CommodityFutureConvention::CalendarDaysBefore
struct	CommodityFutureConvention::BusinessDaysBefore
struct	CommodityFutureConvention::BusinessDaysAfter
struct	CommodityFutureConvention::WeeklyWeekday
struct	CommodityFutureConvention::OptionExpiryAnchorDateRule
class	CommodityFutureConvention::AveragingData
class	CommodityFutureConvention::OffPeakPowerIndexData
	Class to store conventions for creating an off peak power index. More...
class	CommodityFutureConvention::ProhibitedExpiry
	Class to hold prohibited expiry information. More...
class	FxOptionConvention
	Container for storing FX Option conventions. More...
class	FxOptionTimeWeightingConvention
	Container for storing FX Option Time Weighting scheme. More...
struct	FxOptionTimeWeightingConvention::TradingCenter
struct	FxOptionTimeWeightingConvention::Event
class	ZeroInflationIndexConvention
class	BondYieldConvention
class	map< K, T >
	STL class. More...

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Typedefs
typedef rapidxml::xml_node< char >	XMLNode

Functions
std::ostream &	operator<< (std::ostream &out, Convention::Type type)
bool	operator< (const CommodityFutureConvention::ProhibitedExpiry &lhs, const CommodityFutureConvention::ProhibitedExpiry &rhs)
	Compare two prohibited expiries.

Detailed Description

Currency and instrument specific conventions/defaults.