Conventions for a zero-coupon yield curve. More...
#include <zero_convention.hpp>
Collaboration diagram for zero_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 | tenor_based = false |
| Whether the curve is defined on a tenor grid (true) or on absolute dates (false). | |
| std::string | day_count_fraction |
| Day count fraction code (canonical FpML, e.g. 'ACT/365.FIXED'). | |
| std::optional< std::string > | compounding |
| Compounding method (canonical CDM, e.g. 'Continuous'). Present only when tenor_based is true. | |
| std::optional< std::string > | compounding_frequency |
| Frequency at which the rate is compounded (canonical CDM). Present only when compounding is 'Compounded'. | |
| std::optional< std::string > | tenor_calendar |
| Calendar used to determine tenor dates (e.g. 'TARGET'). | |
| std::optional< int > | spot_lag |
| Number of business days from today to the spot date. | |
| std::optional< std::string > | spot_calendar |
| Calendar used to compute the spot date. | |
| std::optional< std::string > | roll_convention |
| Business day convention applied to tenor dates (canonical FpML). | |
| std::optional< bool > | end_of_month |
| Whether end-of-month convention applies. | |
| std::string | modified_by |
| Username of the person who last modified this zero 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 zero-coupon yield curve.
Specifies the day count fraction and compounding method used when bootstrapping a discount or zero-rate curve in ORE. Corresponds to the <Zero> element in ORE conventions.xml. The id field is the natural key (ORE <Id> element).
Member Data Documentation
◆ id
| std::string id |
Unique convention identifier.
Examples: 'EUR-ZERO-CONVENTIONS', 'USD-ZERO-CONVENTIONS'.
◆ change_reason_code
| std::string change_reason_code |
Code identifying the reason for the change.
References change_reasons table (soft FK).
