Credit instrument economics for CreditDefaultSwap, CDSIndex, SyntheticCDO, CreditDefaultSwapOption, IndexCreditDefaultSwapOption, CreditLinkedSwap, and CBO trades. More...
#include <credit_instrument.hpp>
Collaboration diagram for credit_instrument:
Public Attributes | |
| int | version = 0 |
| Version number for optimistic locking and change tracking. | |
| utility::uuid::tenant_id | tenant_id = utility::uuid::tenant_id::system() |
| Tenant identifier for multi-tenancy isolation. | |
| boost::uuids::uuid | id |
| UUID uniquely identifying this credit instrument. | |
| std::string | trade_type_code |
| ORE product type code (CreditDefaultSwap, CDSIndex, SyntheticCDO). | |
| std::string | reference_entity |
| Name or identifier of the reference entity. | |
| std::string | currency |
| ISO 4217 currency code (e.g. USD). | |
| double | notional = 0.0 |
| Notional amount of the credit instrument. | |
| double | spread = 0.0 |
| Credit spread in basis points (e.g. 100.0 for 100 bps). | |
| double | recovery_rate = 0.0 |
| Recovery rate as a decimal (e.g. 0.4 for 40%). | |
| std::string | tenor |
| Tenor of the instrument (e.g. "5Y", "3Y"). | |
| std::string | start_date |
| Start date (ISO 8601 date string, e.g. 2026-01-15). | |
| std::string | maturity_date |
| Maturity date (ISO 8601 date string, e.g. 2031-01-15). | |
| std::string | day_count_code |
| Day count convention code (e.g. Actual365Fixed, Thirty360). | |
| std::string | payment_frequency_code |
| Payment frequency code (e.g. Quarterly, SemiAnnual). | |
| std::string | index_name |
| Optional index name for CDSIndex trades (e.g. "CDX.NA.IG"). Empty for non-index products. | |
| int | index_series = 0 |
| Optional index series number for CDSIndex trades. Zero means not specified. | |
| std::string | seniority |
| Optional seniority (e.g. "Senior", "Subordinated"). Empty if not applicable. | |
| std::string | restructuring |
| Optional restructuring clause (e.g. "MM", "MR", "CR", "XR"). Empty if not applicable. | |
| std::string | description |
| Optional free-text description. | |
| std::string | modified_by |
| Username of the person who last modified this record. | |
| std::string | performed_by |
| Username of the account that performed this action. | |
| std::string | change_reason_code |
| Code identifying the reason for the change. | |
| std::string | change_commentary |
| Free-text commentary explaining the change. | |
| std::chrono::system_clock::time_point | recorded_at |
| Timestamp when this version of the record was recorded. | |
| std::string | option_type |
| Option type: "Call" or "Put" — CreditDefaultSwapOption. Empty otherwise. | |
| std::string | option_expiry_date |
| Option expiry date (ISO 8601) for CDS options. Empty otherwise. | |
| std::optional< double > | option_strike |
| Option strike spread in bps for CDS options. Null when not set. | |
| std::string | linked_asset_code |
| Reference asset code for CreditLinkedSwap. Empty otherwise. | |
| std::optional< double > | tranche_attachment |
| CBO tranche attachment point as decimal. Null when not set. | |
| std::optional< double > | tranche_detachment |
| CBO tranche detachment point as decimal. Null when not set. | |
Detailed Description
Credit instrument economics for CreditDefaultSwap, CDSIndex, SyntheticCDO, CreditDefaultSwapOption, IndexCreditDefaultSwapOption, CreditLinkedSwap, and CBO trades.
Discriminated by trade_type_code. Optional fields are empty/zero for non-applicable product types.
