Conventions for a money-market deposit or IBOR index fixing. More...
#include <deposit_convention.hpp>
Collaboration diagram for deposit_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. | |
| bool | index_based = false |
| Whether the deposit conventions are derived from an IBOR index. When true, index must be set and the remaining fields are optional. | |
| std::optional< std::string > | index |
| IBOR index identifier (e.g. 'USD-LIBOR') used when index_based. | |
| std::optional< std::string > | calendar |
| Settlement calendar (e.g. 'TARGET', 'US-FED'). | |
| std::optional< std::string > | convention |
| Business day convention applied to settlement dates (canonical FpML). | |
| std::optional< bool > | end_of_month |
| Whether end-of-month convention applies. | |
| std::optional< std::string > | day_count_fraction |
| Day count fraction code (canonical FpML, e.g. 'ACT/360'). | |
| std::optional< int > | settlement_days |
| Number of business days from trade date to settlement. | |
| std::string | modified_by |
| Username of the person who last modified this deposit 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 money-market deposit or IBOR index fixing.
Specifies the settlement lag, calendar, and day count for short-term deposits used as the near-end instruments when bootstrapping a yield curve. Corresponds to the <Deposit> element in ORE conventions.xml. When index_based is true the remaining fields may be omitted and are instead inherited from the referenced IBOR index convention.
Member Data Documentation
◆ id
| std::string id |
Unique convention identifier.
Examples: 'USD-LIBOR-CONVENTIONS', 'EUR-EURIBOR-CONVENTIONS'.
◆ change_reason_code
| std::string change_reason_code |
Code identifying the reason for the change.
References change_reasons table (soft FK).
