julian::SettlementFromSpot Class Reference

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

#include <settlementFromSpot.hpp>

Inheritance diagram for julian::SettlementFromSpot:

Public Member Functions
	SettlementFromSpot ()
	Constructor. More...
virtual Date	calculateSettlementDate (Date, Tenor, const Calendar &) const
	Calculates settlement date. More...
virtual Date	calculateExpiryDate (Date, Tenor, const Calendar &) const
	Calculates expiry date. More...
virtual SettlementFromSpot *	clone () const
	Virtual copy constructor. More...
virtual std::string	info () const
	Info about class. More...
virtual	~SettlementFromSpot ()
	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 spot date and roll the resulting date to appropriate business day. The resulting date would be settlement date.
• Calculate the date for which settlement date is spot date. This would be expiry date.

Constructor & Destructor Documentation

julian::SettlementFromSpot::SettlementFromSpot ( )

inline

Constructor.

Default constructor.

virtual julian::SettlementFromSpot::~SettlementFromSpot ( )

inlinevirtual

destructor

Default destructor.

Member Function Documentation

Date julian::SettlementFromSpot::calculateExpiryDate ( Date  , Tenor  , const Calendar &    ) const

virtual

Calculates expiry date.

Implements julian::SettlementDateConvention.

Date julian::SettlementFromSpot::calculateSettlementDate ( Date  , Tenor  , const Calendar &    ) const

virtual

Calculates settlement date.

Implements julian::SettlementDateConvention.

SettlementFromSpot * julian::SettlementFromSpot::clone ( ) const

virtual

Virtual copy constructor.

Method is an implementation of virtual copy constructor.

Implements julian::SettlementDateConvention.

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

virtual

Info about class.

informations about class

Method returns string that containing information about class.

Implements julian::SettlementDateConvention.

template<class Archive >

void julian::SettlementFromSpot::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/settlementFromSpot.hpp
• C:/Unix/home/OEM/jULIAN/src/dates/calendars/settlementFromSpot.cpp