ores.refdata.cds_convention

Table of Contents

Defines the settlement lag, premium payment schedule, and accrual rules for a vanilla CDS. Corresponds to the <CDS> element in ORE conventions.xml. The rule field governs IMM dates and standard CDS roll dates.

Flags

Primary key

Unique convention identifier.

Examples: 'CDS-STANDARD-CONVENTIONS', 'EUR-CDS-CONVENTIONS'. 

std::string("CDS-STANDARD-CONVENTIONS")

Natural keys

Columns

settlement_days

Number of business days from trade date to cash settlement. 

3

calendar

Calendar used for premium payment date adjustment (e.g. 'WeekendsOnly'). 

std::string("WeekendsOnly")

frequency

Premium payment frequency (canonical CDM, e.g. 'Quarterly'). 

std::string("Quarterly")

payment_convention

Business day convention for premium payments (canonical FpML). 

std::string("Following")

rule

Date generation rule (e.g. 'CDS2015', 'Backward', 'TwentiethIMM'). 

std::string("CDS2015")

day_count_fraction

Day count fraction for premium accrual (canonical FpML, e.g. 'ACT/360'). 

std::string("ACT/360")

settles_accrual

Whether accrued interest is settled on default. 

true

pays_at_default_time

Whether the protection payment is made at the time of default. 

true

upfront_settlement_days

Override for the upfront cash settlement lag (business days). 

std::nullopt

last_period_day_count_fraction

Day count fraction for the last coupon period (canonical FpML). When absent the same fraction as day_count_fraction is used. 

std::nullopt

SQL

Flags

C++

Flags

Repository

Domain includes

#include <chrono>
#include <string>
#include <optional>

Entity includes

#include <string>
#include <optional>
#include "sqlgen/Timestamp.hpp"

Conventions

Table display

column header
id Id
frequency Frequency
rule Rule
day_count_fraction DCF
modified_by Modified By
version Version

Qt

Detail fields

field label widget type is_key is_required placeholder
id Id idEdit line_edit true true Enter convention id
calendar Calendar calendarEdit line_edit   true e.g. WeekendsOnly
frequency Frequency frequencyEdit line_edit   true e.g. Quarterly
payment_convention Payment Convention paymentConventionEdit line_edit   true e.g. Following
rule Rule ruleEdit line_edit   true e.g. CDS2015
day_count_fraction Day Count Fraction dayCountFractionEdit line_edit   true e.g. ACT/360
settlement_days Settlement Days settlementDaysEdit spin_box      
upfront_settlement_days Upfront Settlement Days upfrontSettlementDaysEdit spin_box      
last_period_day_count_fraction Last Period DCF lastPeriodDayCountFractionEdit line_edit     e.g. ACT/360
settles_accrual Settles Accrual settlesAccrualEdit check_box      
pays_at_default_time Pays At Default Time paysAtDefaultTimeEdit check_box      

Columns (Qt model)

enum_name field header type width
Id id Id string 220
Frequency frequency Frequency string 100
Rule rule Rule string 120
DayCountFraction day_count_fraction DCF string 100
Version version Version int 80
ModifiedBy modified_by Modified By string 120
RecordedAt recorded_at Recorded At timestamp 150

Custom repository methods

See also

Emacs 29.1 (Org mode 9.6.6)