Conventions for FX spot and forward contracts. More...
#include <fx_convention.hpp>
Collaboration diagram for fx_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 | spot_days = 0 |
| Number of business days from trade to spot settlement (usually 2). | |
| std::string | source_currency |
| ISO 4217 code of the source (base) currency (e.g. 'EUR'). | |
| std::string | target_currency |
| ISO 4217 code of the target (quote) currency (e.g. 'USD'). | |
| double | points_factor |
| Divisor applied to quoted FX points to obtain the rate increment (e.g. 10000.0 for most pairs). | |
| std::optional< std::string > | advance_calendar |
| Calendar used when advancing from spot to forward dates. | |
| std::optional< bool > | spot_relative |
| Whether forward dates are generated relative to the spot date. | |
| std::optional< bool > | end_of_month |
| Whether end-of-month convention applies. | |
| std::optional< std::string > | convention |
| Business day convention for forward dates (canonical FpML). | |
| std::string | modified_by |
| Username of the person who last modified this FX 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 FX spot and forward contracts.
Defines the spot settlement lag, pip factor, and adjustment conventions for a currency pair. Corresponds to the <FX> element in ORE conventions.xml. The id typically takes the form 'CCY1-CCY2-FX-CONVENTIONS'.
Member Data Documentation
◆ id
| std::string id |
Unique convention identifier.
Examples: 'EUR-USD-FX-CONVENTIONS', 'GBP-USD-FX-CONVENTIONS'.
◆ change_reason_code
| std::string change_reason_code |
Code identifying the reason for the change.
References change_reasons table (soft FK).
