julian::SettlementFromExpiry Class Reference

Class calculating settlement date from expiry date. More...

#include <settlementFromExpiry.hpp>

Inheritance diagram for julian::SettlementFromExpiry:

Public Member Functions
	SettlementFromExpiry ()
	Constructor. More...
virtual Date	calculateSettlementDate (Date, Tenor, const Calendar &) const
	Constructor. More...
virtual Date	calculateExpiryDate (Date, Tenor, const Calendar &) const
	Constructor. More...
virtual SettlementFromExpiry *	clone () const
	Virtual copy constructor. More...
virtual std::string	info () const
	informations about class More...
virtual	~SettlementFromExpiry ()
	destructor More...
Public Member Functions inherited from julian::SettlementDateConvention
	SettlementDateConvention ()
	Constructor. More...
virtual	~SettlementDateConvention ()
	destructor More...

Private Member Functions
template<class Archive >
void	serialize (Archive &, const unsigned int)
	interface used by Boost serialization library More...

Friends
class	boost::serialization::access

Detailed Description

Class calculating settlement date from expiry date.

A transactions are settled on settlement date, but price at which the settlement takes place is determined on expiry date. Settlement date and expiry date for a give tenor can be calculate in different way. This class implements calculating the settlement and expiry in following way:

• Add tenor to today date and roll the resulting date to appropriate business day. The resulting date would be expiry date.
• Calculate spot date of expiry date. This would be settlement date.

Constructor & Destructor Documentation

julian::SettlementFromExpiry::SettlementFromExpiry

(

)

Constructor.

Default constructor.

julian::SettlementFromExpiry::~SettlementFromExpiry ( )

virtual

destructor

Default destructor.

Member Function Documentation

Date julian::SettlementFromExpiry::calculateExpiryDate ( Date  d, Tenor  t, const Calendar &  calendar  ) const

virtual

Constructor.

Default constructor.

Implements julian::SettlementDateConvention.

Date julian::SettlementFromExpiry::calculateSettlementDate ( Date  d, Tenor  t, const Calendar &  calendar  ) const

virtual

Constructor.

Default constructor.

Implements julian::SettlementDateConvention.

SettlementFromExpiry * julian::SettlementFromExpiry::clone ( ) const

virtual

Virtual copy constructor.

Method is an implementation of virtual copy constructor.

Implements julian::SettlementDateConvention.

std::string julian::SettlementFromExpiry::info ( ) const

virtual

informations about class

Method returns string that containing information about class.

Implements julian::SettlementDateConvention.

template<class Archive >

void julian::SettlementFromExpiry::serialize ( Archive &  , const unsigned  int  )

inlineprivate

interface used by Boost serialization library

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The documentation for this class was generated from the following files:

• C:/Unix/home/OEM/jULIAN/src/dates/calendars/settlementFromExpiry.hpp
• C:/Unix/home/OEM/jULIAN/src/dates/calendars/settlementFromExpiry.cpp