cds_convention Struct Reference

Conventions for a credit default swap (CDS). More...

#include <cds_convention.hpp>

Collaboration diagram for cds_convention:

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.
std::string	id
	Unique convention identifier.
int	settlement_days = 0
	Number of business days from trade date to cash settlement.
std::string	calendar
	Calendar used for premium payment date adjustment (e.g. 'WeekendsOnly').
std::string	frequency
	Premium payment frequency (canonical CDM, e.g. 'Quarterly').
std::string	payment_convention
	Business day convention for premium payments (canonical FpML).
std::string	rule
	Date generation rule (e.g. 'CDS2015', 'Backward', 'TwentiethIMM').
std::string	day_count_fraction
	Day count fraction for premium accrual (canonical FpML, e.g. 'ACT/360').
bool	settles_accrual = false
	Whether accrued interest is settled on default.
bool	pays_at_default_time = false
	Whether the protection payment is made at the time of default.
std::optional< int >	upfront_settlement_days
	Override for the upfront cash settlement lag (business days).
std::optional< std::string >	last_period_day_count_fraction
	Day count fraction for the last coupon period (canonical FpML). When absent the same fraction as day_count_fraction is used.
std::string	modified_by
	Username of the person who last modified this CDS convention.
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

Conventions for a credit default swap (CDS).

Defines the settlement lag, premium payment schedule, and accrual rules for a vanilla CDS. Corresponds to the <CDS> element in ORE conventions.xml. The rule field governs IMM dates and standard CDS roll dates.

Member Data Documentation

id

std::string id

Unique convention identifier.

Examples: 'CDS-STANDARD-CONVENTIONS', 'EUR-CDS-CONVENTIONS'.

change_reason_code

std::string change_reason_code

Code identifying the reason for the change.

References change_reasons table (soft FK).