ores.cpp.oresmd.enums

1. Template

The enum definitions for all oresmd quote-type families. Each asset class's quote types table produces one *_quote_type enum. The shared volatility_model_subtype enum covers all vol sub-families.

See the Template variable reference for the complete list of available variables and their semantics.

1. Template

The full template source. Edit here and re-tangle with compass build --direct tangle_codegen_templates to regenerate library/templates/oresmd_enums.hpp.mustache.

{{! GENERATED FILE — tangled from projects/ores.codegen/library/templates/ores.cpp.oresmd.enums.org. Edit the org source. }}
{{{cpp_license}}}
{{#oresmd_quote_type}}
{{#first_asset_class}}
#ifndef ORES_MARKETDATA_API_DOMAIN_ORESMD_ENUMS_HPP
#define ORES_MARKETDATA_API_DOMAIN_ORESMD_ENUMS_HPP

namespace ores::marketdata::domain {

/**
 * @brief The `type` query key of an oresmd URI: what kind of thing the identifier names,
 * independent of its coordinates.
 *
 * See id:C3E053CA-0D4B-480B-9119-E11530160EC1 ("oresmd: ORE Studio Market Data URI"),
 * "Grammar" section.
 */
enum class instrument_type {
    fixing, ///< A rate fixing/index (projects to ORE's index name).
    curve,  ///< A whole curve (projects to ORE's Yield/<CCY>/<CURVE_ID> curve key).
    quote,  ///< A single published quote (projects to an ORE quote key).
    vol     ///< A volatility surface point (projects to an ORE quote key).
};

/**
 * @brief The `role` query key of an oresmd URI, IR-only: whether a curve discounts or
 * projects, closing the gap-analysis's discount-vs-projection ambiguity.
 */
enum class curve_role {
    discount,        ///< This curve discounts cashflows.
    projection,      ///< This curve projects a floating index's forward rate.
    self_discounting ///< Degenerate case: one curve does both (current synthetic data's shape).
};

/**
 * @brief The `metric` query key of an oresmd URI, only meaningful when `type=quote`:
 * the ORE METRIC column. Defaults from the `quote` type when absent (e.g. quote=mm
 * implies metric=rate, quote=mm_future implies metric=price).
 */
enum class metric {
    rate,         ///< A rate quote (e.g. MM/RATE, FRA/RATE, IR_SWAP/RATE, ZERO/RATE).
    price,        ///< A price quote (e.g. MM_FUTURE/PRICE, OI_FUTURE/PRICE).
    basis_spread, ///< A basis spread quote (e.g. BASIS_SWAP/BASIS_SPREAD).
    ratio,        ///< A ratio quote (e.g. BMA_SWAP/RATIO).
    yield_spread  ///< A yield spread quote (e.g. ZERO/YIELD_SPREAD).
};
{{/first_asset_class}}
{{/oresmd_quote_type}}
{{#oresmd_quote_types}}

/**
 * @brief {{{enum_brief}}}
 */
enum class {{asset_class}}_quote_type {
{{#quote_types}}
    {{enum_name}}{{^last}},{{/last}} ///< {{{comment}}}
{{/quote_types}}{{#enum_footer}}{{{enum_footer}}}
{{/enum_footer}}};
{{#first_asset_class}}

/**
 * @brief The `index` query key of an oresmd URI, IR-only: a fixed benchmark-family token,
 * not free text -- closes the gap-analysis's "index_name is free text" finding.
 *
 * The 22 values mirror the CHECK constraint on ores_synthetic_ir_curve_generation_configs_tbl
 * (synthetic_ir_curve_generation_configs_create.sql) exactly: libor and euribor are the only
 * term families (they require a tenor); all others are overnight-style families. See
 * oresmd_index_family_utils's is_overnight() for the tenor rule.
 */
enum class index_family {
{{#index_family}}
    {{value}}{{^last}},{{/last}}
{{/index_family}}
};
{{/first_asset_class}}
{{/oresmd_quote_types}}

/**
 * @brief Volatility model subtype — the third segment of ORE's vol quote key
 * (e.g. RATE_LNVOL in SWAPTION/RATE_LNVOL/EUR/5Y/2Y/ATM). Shared across all
 * volatility sub-families per the vol sub-schema design.
 */
enum class volatility_model_subtype {
    rate_lnvol,  ///< RATE_LNVOL (log-normal volatility, the default).
    rate_nvol,   ///< RATE_NVOL (normal volatility).
    rate_slnvol, ///< RATE_SLNVOL (shifted log-normal volatility).
    shift,       ///< SHIFT (shift surface).
    price        ///< PRICE (price surface).
};

}

#endif

ores.cpp.oresmd.enums

Table of Contents

1. Template