ores.refdata.cds_convention

1. Flags
2. Columns
3. SQL
- 3.1. Flags
4. C++
5. See also

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.

1. Flags

2. Columns

2.1. id

Unique convention identifier.

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

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

2.2. settlement_days

Number of business days from trade date to cash settlement.

2.3. calendar

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

std::string("WeekendsOnly")

2.4. frequency

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

std::string("Quarterly")

2.5. payment_convention

Business day convention for premium payments (canonical FpML).

std::string("Following")

2.6. rule

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

std::string("CDS2015")

2.7. day_count_fraction

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

std::string("ACT/360")

2.8. settles_accrual

Whether accrued interest is settled on default.

true

2.9. pays_at_default_time

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

true

2.10. upfront_settlement_days

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

std::nullopt

2.11. 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

3. SQL

3.1. Flags

4. C++

4.1. Flags

4.2. Repository

4.3. Domain includes

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

4.4. Entity includes

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

4.5. Conventions

4.6. Table display

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

4.7. Presentation

4.7.1. 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

4.7.2. Columns

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

4.8. Custom repository methods

5. See also

ores.refdata — component group overview.