swap_convention Struct Reference

Conventions for a vanilla interest rate swap. More...

#include <swap_convention.hpp>

Collaboration diagram for swap_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.
std::optional< std::string >	fixed_calendar
	Fixed-leg payment calendar (e.g. 'TARGET').
std::string	fixed_frequency
	Fixed-leg payment frequency (canonical CDM, e.g. 'Annual').
std::optional< std::string >	fixed_convention
	Business day convention for the fixed leg (canonical FpML).
std::string	fixed_day_count_fraction
	Day count fraction for the fixed leg (canonical FpML, e.g. '30/360').
std::string	index
	Floating-leg index identifier (e.g. 'EUR-EURIBOR-6M').
std::optional< std::string >	float_frequency
	Floating-leg payment frequency override (canonical CDM). When absent the frequency is derived from the index tenor.
std::optional< std::string >	sub_periods_coupon_type
	Sub-period coupon type when the float leg uses sub-periods. Either 'Compounding' or 'Averaging'.
std::string	modified_by
	Username of the person who last modified this swap 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 vanilla interest rate swap.

Defines the fixed-leg schedule and the floating-leg index for a standard interest rate swap. Used by ORE to bootstrap par swap rates off a yield curve. Corresponds to the <Swap> element in ORE conventions.xml.

Member Data Documentation

id

std::string id

Unique convention identifier.

Examples: 'EUR-6M-SWAP-CONVENTIONS', 'USD-3M-SWAP-CONVENTIONS'.

change_reason_code

std::string change_reason_code

Code identifying the reason for the change.

References change_reasons table (soft FK).