Class CmsConvention

Namespace

NanoQL.Extensions.Conventions

Assembly

NanoQL.Extensions.dll

A CMS swap convention resolved in a set (Cms(string)): its record, its base chain merged, and the builder it feeds, on its swap index and floating index built in the set.

public sealed class CmsConvention

Inheritance

object

CmsConvention

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

An option the record leaves out is the builder's: the set's MakeCms record, read through the swap index's provider when the swap is built, or the indexes' own conventions.

Properties

Record

Gets the record with every field its base chain gives, under the convention's name.

public CmsConventionRecord Record { get; }

Property Value

CmsConventionRecord

Set

Gets the set the convention was resolved in, whose names its record's fields are.

public ConventionSet Set { get; }

Property Value

ConventionSet

Methods

Builder(Period, YieldTermStructure?, YieldTermStructure?)

A CMS swap builder on the record's indexes built in the set, with every option the record gives set.

public MakeCms Builder(Period swapTenor, YieldTermStructure? forwardingCurve = null, YieldTermStructure? discountingCurve = null)

Parameters

swapTenor Period

The CMS swap's tenor.

forwardingCurve YieldTermStructure

The indexes' forwarding curve, or null for none.

discountingCurve YieldTermStructure

The swap index's exogenous discount curve, or null for the forwarding curve.

Returns

MakeCms

The builder; it takes its other options' defaults from the set when it builds.

Exceptions

ArgumentException

The record gives no swap index or its tenor, or a name it gives is unknown.