public override void FromXML(XmlNode node)
{
CheckNode(node, "FRA");
_type = Type.FRA;
_id = GetChildValue(node, "Id", true);
_strIndex = GetChildValue(node, "Index", true);
_index = Parsers.ParseIborIndex(_strIndex);
}
public virtual void Build()
{
// First check that we have an overnight index.
_index = (OvernightIndex)Parsers.ParseIborIndex(_strIndex);
Utils.QL_REQUIRE(_index != null, () => "The index string, " + _strIndex + ", does not represent an overnight index.");
_spotLag = Parsers.ParseInteger(_strSpotLag);
_fixedDayCounter = Parsers.ParseDayCounter(_strFixedDayCounter);
_paymentLag = _strPaymentLag == string.Empty ? 0 : Parsers.ParseInteger(_strPaymentLag);
_eom = _strEom == string.Empty ? false : Parsers.ParseBool(_strEom);
_fixedFrequency = _strFixedFrequency == string.Empty ? Frequency.Annual : Parsers.ParseFrequency(_strFixedFrequency);
_fixedConvention = _strFixedConvention == string.Empty ? BusinessDayConvention.Following : Parsers.ParseBusinessDayConvention(_strFixedConvention);
_fixedPaymentConvention = _strFixedPaymentConvention == string.Empty ? BusinessDayConvention.Following : Parsers.ParseBusinessDayConvention(_strFixedPaymentConvention);
//_rule = _strRule == string.Empty ? DateGeneration.Rule.Backward : Parsers.ParseDateGenerationRule(_strRule);
}
public virtual void Build()
{
_fixedCalendar = Parsers.ParseCalendar(_strFixedCalendar);
_fixedFrequency = Parsers.ParseFrequency(_strFixedFrequency);
_fixedConvention = Parsers.ParseBusinessDayConvention(_strFixedConvention);
_fixedDayCounter = Parsers.ParseDayCounter(_strFixedDayCounter);
_index = Parsers.ParseIborIndex(_strIndex);
if (_hasSubPeriod)
{
_floatFrequency = Parsers.ParseFrequency(_strFloatFrequency);
//_subPeriodsCouponType = Parsers.ParseSubPeriodsCouponType(_strSubPeriodsCouponType);
}
else
{
_floatFrequency = Frequency.NoFrequency;
//_subPeriodsCouponType = QuantExt::SubPeriodsCoupon::Compounding;
}
}
/// <summary>
/// Index based constructor
/// </summary>
/// <param name="id"></param>
/// <param name="index"></param>
public FraConvention(string id, string index) : base(id, Type.FRA)
{
_strIndex = index;
_index = Parsers.ParseIborIndex(index);
}