ibor_index_convention Struct Reference

Conventions for an interbank offered rate (IBOR) index. More...

#include <ibor_index_convention.hpp>

Collaboration diagram for ibor_index_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 index identifier.
std::string	fixing_calendar
	Calendar used to determine valid fixing dates (e.g. 'TARGET').
std::string	day_count_fraction
	Day count fraction for accrual (canonical FpML, e.g. 'ACT/360').
int	settlement_days = 0
	Number of business days from fixing to settlement.
std::string	business_day_convention
	Business day convention for maturity dates (canonical FpML).
bool	end_of_month = false
	Whether end-of-month convention applies.
std::string	modified_by
	Username of the person who last modified this IBOR index 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 an interbank offered rate (IBOR) index.

Defines the fixing calendar, day count, settlement lag, and business day convention for a term IBOR index such as EURIBOR or USD LIBOR. Corresponds to the <IborIndex> element in ORE conventions.xml.

Member Data Documentation

id

std::string id

Unique index identifier.

Examples: 'EUR-EURIBOR', 'USD-LIBOR'.

change_reason_code

std::string change_reason_code

Code identifying the reason for the change.

References change_reasons table (soft FK).