One leg of a rates instrument (Swap, CrossCurrencySwap, CapFloor, Swaption). More...
#include <swap_leg.hpp>
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 leg. | |
| boost::uuids::uuid | instrument_id |
| UUID of the parent instrument. | |
| int | leg_number = 1 |
| Leg ordering within the instrument (1-based). | |
| std::string | leg_type_code |
| Type of this leg. | |
| std::string | day_count_fraction_code |
| Day count fraction convention for this leg. | |
| std::string | business_day_convention_code |
| Business day convention for date adjustments. | |
| std::string | payment_frequency_code |
| Payment frequency for this leg. | |
| std::string | floating_index_code |
| Floating rate index (empty for fixed legs). | |
| double | fixed_rate = 0.0 |
| Fixed coupon rate as a decimal (e.g. 0.05 = 5%). | |
| double | spread = 0.0 |
| Floating spread added to the index rate, as a decimal. | |
| double | notional = 0.0 |
| Leg notional amount. | |
| std::string | currency |
| ISO 4217 currency code for this leg (e.g. USD, EUR). | |
| 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. | |
Detailed Description
One leg of a rates instrument (Swap, CrossCurrencySwap, CapFloor, Swaption).
A plain IRS has two legs: one fixed, one floating. A cross-currency swap also has two legs but with different currencies. Fields not applicable to a leg type are left empty (e.g. floating_index_code for fixed legs, fixed_rate for floating legs).
Member Data Documentation
◆ instrument_id
| boost::uuids::uuid instrument_id |
UUID of the parent instrument.
Soft FK to ores_trading_instruments_tbl.
◆ leg_number
| int leg_number = 1 |
Leg ordering within the instrument (1-based).
Leg 1 is conventionally the fixed or pay leg.
◆ leg_type_code
| std::string leg_type_code |
Type of this leg.
Soft FK to ores_trading_leg_types_tbl (Fixed, Floating, CMS, OIS, etc.).
◆ day_count_fraction_code
| std::string day_count_fraction_code |
Day count fraction convention for this leg.
Soft FK to ores_trading_day_count_fraction_types_tbl.
◆ business_day_convention_code
| std::string business_day_convention_code |
Business day convention for date adjustments.
Soft FK to ores_trading_business_day_convention_types_tbl.
◆ payment_frequency_code
| std::string payment_frequency_code |
Payment frequency for this leg.
Soft FK to ores_trading_payment_frequency_types_tbl.
◆ floating_index_code
| std::string floating_index_code |
Floating rate index (empty for fixed legs).
Soft FK to ores_trading_floating_index_types_tbl. Examples: EURIBOR6M, SOFR, LIBOR3M.
◆ fixed_rate
| double fixed_rate = 0.0 |
Fixed coupon rate as a decimal (e.g. 0.05 = 5%).
Zero for floating legs.
◆ spread
| double spread = 0.0 |
Floating spread added to the index rate, as a decimal.
Zero for plain floating legs with no spread.
◆ notional
| double notional = 0.0 |
Leg notional amount.
May differ from the instrument notional for cross-currency swaps.
