Conventions for an overnight index (e.g. EONIA, SONIA, SOFR). More...
#include <overnight_index_convention.hpp>
Collaboration diagram for overnight_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 value date (usually 0 or 1). | |
| std::string | modified_by |
| Username of the person who last modified this overnight 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 overnight index (e.g. EONIA, SONIA, SOFR).
Defines the fixing calendar, day count, and settlement lag for a risk-free overnight rate index. Corresponds to the <OvernightIndex> element in ORE conventions.xml.
Member Data Documentation
◆ id
| std::string id |
Unique index identifier.
Examples: 'EUR-EONIA', 'USD-SOFR', 'GBP-SONIA'.
◆ change_reason_code
| std::string change_reason_code |
Code identifying the reason for the change.
References change_reasons table (soft FK).
