Namespace NanoQL.Extensions.Conventions

Classes

AliasRecord: An alias (Alias): another name for a value, its base, in the base's value kind: FpML's and ISDA's codes (ACT/360, EUTA), QuantLib's own aliases (Thirty360.ISMA), or a firm's own codes.

BespokeCalendarRecord: A bespoke calendar (BespokeCalendar): weekend days and holidays given as data, its name the calendar's own.

BondConvention: A government bond market's convention resolved in a set (Bond(string)): its record, its base chain merged, and the fixed-rate bond and bond helper it feeds; the trade's terms are arguments.

BondConventionRecord: A government bond market's conventions (BondConvention), which feed FixedRateBond and FixedRateBondHelper; or, named FixedRateBond, the defaults a set's bonds take; or, named BTP, the preset's conventions.

CalendarPresetRecord: A calendar preset (CalendarPreset): one of QuantLib's calendars by its type and market, its rules code, with QuantLib's name and the holiday edits the preset's constructor applies through the set.

CalendarRecord: A named calendar on a base calendar with holidays added or removed (Calendar), as QuantLib's addHoliday and removeHoliday edit one: under the base's own name, the base's edits.

CapFloorConvention: A cap and floor convention resolved in a set (CapFloor(string)): its record, its base chain merged, and the builder it feeds, on its index built in the set.

CapFloorConventionRecord: A cap's or floor's conventions (CapFloorConvention), which feed MakeCapFloor; or, named MakeCapFloor, the builder's defaults.

CdsConvention: A credit default swap convention resolved in a set (Cds(string)): its record, its base chain merged, and the builder and the two default probability helpers it feeds.

CdsConventionRecord: A credit default swap's conventions (CdsConvention), which feed MakeCreditDefaultSwap, SpreadCdsHelper and UpfrontCdsHelper; or, named MakeCreditDefaultSwap, the builder's defaults.

CmsConvention: 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.

CmsConventionRecord: A CMS swap's conventions (CmsConvention), which feed MakeCms; or, named MakeCms, the builder's defaults.

CommodityIndexRecord: A commodity index's conventions (CommodityIndex), which CommodityIndex takes; its forward curve and exchange contracts are market and contract data, which no record holds.

CommoditySettingsRecord: The commodity settings (CommoditySettings), which CommoditySettings takes; named CommoditySettings, QuantLib's defaults.

CommodityTypeRecord: A commodity type (CommodityType), which CommodityType takes: its name and code.

ConventionOrigin: Where a name in a set comes from: the record that defines it, and its file or QuantLib's presets.

ConventionProvenance: A set's provenance report (Provenance()): where each name comes from, and a warning for each record that overrides no name and that nothing references, as a likely misspelling.

ConventionRecord: A record of a conventions file: one value's definition, an element named by its kind with Name and an optional Base as attributes and every business field a child element.

ConventionRecords: Built objects back to records: Describe(string, Calendar, ConventionSet?) and its overloads give the records that resolve, in a set, to an object equal to the one given, an index field by field.

ConventionSet: An immutable set of convention records, layered snapshot on snapshot, and the ConventionProvider that answers from them: QuantLib's shipped presets (QuantLib) or none (Empty), with a user's files on top.

ConventionSnapshot: One conventions document's records, in order: what Read(string) returns and With(ConventionSnapshot) layers onto a set. A name is unique within its value kind (calendars, day counters, currencies), an alias's among all of them.

ConventionsXml: Reads and writes conventions documents: one Conventions element in the namespace Namespace, validated by its XML Schema on every read.

CrossCurrencyBasisSwapConvention: A cross-currency basis swap convention resolved in a set (CrossCurrencyBasisSwap(string)): its record, its base chain merged, and the rate helper it feeds, on its indexes built in the set.

CrossCurrencyBasisSwapConventionRecord: A cross-currency basis swap's conventions (CrossCurrencyBasisSwapConvention), which feed the constant-notional or, marked to market, the mark-to-market basis swap helper.

CrossCurrencySwapConvention: A cross-currency fixed-against-floating swap convention resolved in a set (CrossCurrencySwap(string)): its record, its base chain merged, and the rate helper it feeds, on its floating index built in the set.

CrossCurrencySwapConventionRecord: A cross-currency fixed-against-floating swap's conventions (CrossCurrencySwapConvention), which feed the constant-notional cross-currency swap helper.

CurrencyPresetRecord: A currency preset (CurrencyPreset): one of QuantLib's currencies by its ISO 4217 code, with the data its constructor reads through the set.

CurrencyRounding: A currency's rounding convention: QuantLib's Rounding, its type, and for every type but None its precision and rounding digit.

DayCounterPresetRecord: A day counter preset (DayCounterPreset): one of QuantLib's day counters by its type and convention, its formula code, with QuantLib's name and, for Business252, the calendar whose business days it counts.

DayCounterRecord: A named day counter on a base (DayCounter): the base itself, or for Business252 the base counting another calendar's business days, the only day counter with convention data.

ForeignAttribute: An attribute another tool put on a record or a root, in its own namespace, kept as read.

ForeignContent: Another tool's content kept on a record or a document's root: the attributes and elements in a namespace other than the conventions', each as the XML text it was read as, compared by content.

FxSwapConvention: An FX swap and forward convention resolved in a set (FxSwap(string)): its record, its base chain merged, and the rate helper and forward it feeds.

FxSwapConventionRecord: An FX swap's and forward's conventions (FxSwapConvention), which feed FxSwapRateHelper and FxForward.

IborFamilyRecord: An Ibor index family (IborFamily): one of QuantLib's families by its class (Euribor, USDLibor), QuantLib building it at any tenor, its convention and end of month by the tenor's unit.

IborFamilyUnit: A tenor unit an Ibor family takes, with its business-day convention and end-of-month rule.

IborIndexRecord: An Ibor index (IborIndex): one of QuantLib's presets by its class (Euribor6M, DailyTenorUSDLibor, BMAIndex), usually its family at a tenor, or a user's own: an IborIndex, a Libor or a CustomIborIndex by its Style.

JointCalendarRecord: A joint calendar (JointCalendar): two or more calendars joined by a rule.

MultipleResetsSwapConvention: A multiple-resets swap convention resolved in a set (MultipleResetsSwap(string)): its record, its base chain merged, and the builder it feeds, on its index built in the set.

MultipleResetsSwapConventionRecord: A multiple-resets swap's conventions (MultipleResetsSwapConvention), which feed MakeMultipleResetsSwap; or, named MakeMultipleResetsSwap, the builder's defaults.

OisConvention: An overnight-indexed swap convention resolved in a set (Ois(string)): its record, its base chain merged, and the builder and rate helper it feeds, on its overnight index built in the set.

OisConventionRecord: An overnight-indexed swap's conventions (OisConvention), which feed MakeOIS and OISRateHelper; or, named MakeOIS, or MakeOIS. and an index's class name, the builder's defaults.

OvernightIndexRecord: An overnight index (OvernightIndex): one of QuantLib's presets by its class (Sofr), or a user's own; its convention is Following, without end of month.

OvernightIndexedSwapIndexRecord: An overnight-indexed swap index (OvernightIndexedSwapIndex), a user's own, built at a tenor on an overnight index's name.

PaymentTermRecord: A commodity payment term (PaymentTerm), which PaymentTerm takes.

QuantitySettingsRecord: The quantity settings (QuantitySettings), which QuantitySettings takes; named QuantitySettings, QuantLib's defaults.

RegionRecord: A region (Region): one of QuantLib's regions by its class (EURegion), keeping its name, or a user's own, built as a CustomRegion.

ScheduleConvention: A schedule convention resolved in a set (Schedule(string)): its record, its base chain merged, and the builder it feeds, on the set's calendars.

ScheduleConventionRecord: A schedule's conventions (ScheduleConvention), which feed MakeSchedule; the dates are the trade's.

SwapConvention: A swap convention resolved in a set (Swap(string)): its record, its base chain merged, and the builder and rate helper it feeds, on its index built in the set.

SwapConventionRecord: A fixed-against-Ibor swap's conventions (SwapConvention), which feed MakeVanillaSwap and SwapRateHelper; or, named MakeVanillaSwap. and a currency's code, the builder's defaults for that currency.

SwapIndexRecord: A swap index family (SwapIndex): one of QuantLib's families by its class (EuriborSwapIsdaFixA), or a user's own, built at a tenor, its floating leg's index an Ibor index's name.

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

SwaptionConventionRecord: A swaption's conventions (SwaptionConvention), which feed MakeSwaption; or, named MakeSwaption, the builder's defaults.

UnitOfMeasureConversionRecord: A conversion factor between two units of measure (UnitOfMeasureConversion), which a set's UnitOfMeasureConversions adds to QuantLib's known factors.

UnitOfMeasureRecord: A unit of measure (UnitOfMeasure): one of QuantLib's eight presets, by its class's name, or a unit of a user's own, which UnitOfMeasure takes.

YearOnYearInflationSwapConvention: A year-on-year inflation swap convention resolved in a set (YearOnYearInflationSwap(string)): its record, its base chain merged, and the rate helper it feeds, on its index built in the set.

YearOnYearInflationSwapConventionRecord: A year-on-year inflation swap's conventions (YearOnYearInflationSwapConvention), which feed YearOnYearInflationSwapHelper.

YoYInflationCapFloorConvention: A year-on-year inflation cap and floor convention resolved in a set (YoYInflationCapFloor(string)): its record, its base chain merged, and the builder it feeds, on its index built in the set.

YoYInflationCapFloorConventionRecord: A year-on-year inflation cap's or floor's conventions (YoYInflationCapFloorConvention), which feed MakeYoYInflationCapFloor; or, named MakeYoYInflationCapFloor, the builder's defaults.

YoYInflationIndexRecord: A year-on-year inflation index (YoYInflationIndex): one of QuantLib's quoted presets by its class (YYEUHICP), or a user's own, quoted from its fields or the ratio of an underlying zero index's.

ZeroCouponInflationSwapConvention: A zero-coupon inflation swap convention resolved in a set (ZeroCouponInflationSwap(string)): its record, its base chain merged, and the swap and rate helper it feeds, on its index built in the set.

ZeroCouponInflationSwapConventionRecord: A zero-coupon inflation swap's conventions (ZeroCouponInflationSwapConvention), which feed ZeroCouponInflationSwap and ZeroCouponInflationSwapHelper.

ZeroInflationIndexRecord: A zero inflation index (ZeroInflationIndex): one of QuantLib's presets by its class (EUHICP), or a user's own, on a region's name.

Enums

ConventionKind: The value kinds of convention records, each with names of its own.

IborIndexStyle: The class a user's own Ibor index is built as.