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

#include <settlementFromExpiry.hpp>

Inheritance diagram for julian::SettlementFromExpiry:
julian::SettlementDateConvention

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 SettlementFromExpiryclone () 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


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