add rate cutoff for the ois convention

Author: Borgomi42

OREData/ored/configuration/conventions.cpp

@@ -285,11 +285,12 @@ boost::shared_ptr<IborIndex> FraConvention::index() const { return parseIborInde
 OisConvention::OisConvention(const string& id, const string& spotLag, const string& index,
                              const string& fixedDayCounter, const string& fixedCalendar, const string& paymentLag,
                              const string& eom, const string& fixedFrequency, const string& fixedConvention,
-                             const string& fixedPaymentConvention, const string& rule, const string& paymentCal)
+                             const string& fixedPaymentConvention, const string& rule, const string& paymentCal,
+                             const string& rateCutoff)
     : Convention(id, Type::OIS), strSpotLag_(spotLag), strIndex_(index), strFixedDayCounter_(fixedDayCounter),
       strFixedCalendar_(fixedCalendar), strPaymentLag_(paymentLag), strEom_(eom), strFixedFrequency_(fixedFrequency),
       strFixedConvention_(fixedConvention), strFixedPaymentConvention_(fixedPaymentConvention), strRule_(rule),
-      strPaymentCal_(paymentCal) {
+      strPaymentCal_(paymentCal), strRateCutoff_(rateCutoff) {
     build();
 }
 
@@ -306,6 +307,8 @@ void OisConvention::build() {
         strFixedPaymentConvention_.empty() ? Following : parseBusinessDayConvention(strFixedPaymentConvention_);
     rule_ = strRule_.empty() ? DateGeneration::Backward : parseDateGenerationRule(strRule_);
     paymentCal_ = strPaymentCal_.empty() ? Calendar() : parseCalendar(strPaymentCal_);
+    rateCutoff_ = strRateCutoff_.empty() ? 0 : lexical_cast<Natural>(strRateCutoff_);
+
 }
 
 void OisConvention::fromXML(XMLNode* node) {
@@ -327,6 +330,7 @@ void OisConvention::fromXML(XMLNode* node) {
     strFixedPaymentConvention_ = XMLUtils::getChildValue(node, "FixedPaymentConvention", false);
     strRule_ = XMLUtils::getChildValue(node, "Rule", false);
     strPaymentCal_ = XMLUtils::getChildValue(node, "PaymentCalendar", false);
+    strRateCutoff_ = XMLUtils::getChildValue(node, "RateCutoff", false);
 
     build();
 }
@@ -354,6 +358,8 @@ XMLNode* OisConvention::toXML(XMLDocument& doc) {
         XMLUtils::addChild(doc, node, "Rule", strRule_);
     if (!strPaymentCal_.empty())
         XMLUtils::addChild(doc, node, "PaymentCalendar", strPaymentCal_);
+    if (!strRateCutoff_.empty())
+        XMLUtils::addChild(doc, node, "RateCutoff", strRateCutoff_);
 
     return node;
 }

OREData/ored/configuration/conventions.hpp

@@ -381,7 +381,8 @@ class OisConvention : public Convention {
                   const string& fixedCalendar, const string& paymentLag = "", const string& eom = "",
                   const string& fixedFrequency = "", const string& fixedConvention = "",
                   const string& fixedPaymentConvention = "", const string& rule = "",
-                  const std::string& paymentCalendar = "");
+                  const std::string& paymentCalendar = "",
+                  const std::string& rateCutoff = "");
     //@}
 
     //! \name Inspectors
@@ -399,6 +400,7 @@ class OisConvention : public Convention {
     BusinessDayConvention fixedPaymentConvention() const { return fixedPaymentConvention_; }
     DateGeneration::Rule rule() const { return rule_; }
     QuantLib::Calendar paymentCalendar() const { return paymentCal_; }
+    Natural rateCutoff() const { return rateCutoff_; }
     //@}
 
     //! \name Serialisation
@@ -419,6 +421,7 @@ class OisConvention : public Convention {
     BusinessDayConvention fixedPaymentConvention_;
     DateGeneration::Rule rule_;
     QuantLib::Calendar paymentCal_;
+    Natural rateCutoff_;
 
     // Strings to store the inputs
     string strSpotLag_;
@@ -432,6 +435,7 @@ class OisConvention : public Convention {
     string strFixedPaymentConvention_;
     string strRule_;
     std::string strPaymentCal_;
+    string strRateCutoff_;
 };
 
 //! Container for storing Ibor Index conventions