ores.refdata.deposit_convention

Table of Contents

Specifies the settlement lag, calendar, and day count for short-term deposits used as the near-end instruments when bootstrapping a yield curve. Corresponds to the <Deposit> element in ORE conventions.xml. When index_based is true the remaining fields may be omitted and are instead inherited from the referenced IBOR index convention.

Flags

Primary key

Unique convention identifier.

Examples: 'USD-LIBOR-CONVENTIONS', 'EUR-EURIBOR-CONVENTIONS'. 

std::string("USD-LIBOR-CONVENTIONS")

Natural keys

Columns

index_based

Whether the deposit conventions are derived from an IBOR index. When true, index must be set and the remaining fields are optional. 

true

index

IBOR index identifier (e.g. 'USD-LIBOR') used when index_based. 

std::string("USD-LIBOR")

calendar

Settlement calendar (e.g. 'TARGET', 'US-FED'). 

std::nullopt

convention

Business day convention applied to settlement dates (canonical FpML). 

std::nullopt

end_of_month

Whether end-of-month convention applies. 

std::nullopt

day_count_fraction

Day count fraction code (canonical FpML, e.g. 'ACT/360'). 

std::nullopt

settlement_days

Number of business days from trade date to settlement. 

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
index_based Index Based
index Index
calendar Calendar
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
index_based Index Based indexBasedEdit check_box      
index Index indexEdit line_edit     e.g. USD-LIBOR
calendar Calendar calendarEdit line_edit     e.g. TARGET
convention Convention conventionEdit line_edit     e.g. Following
day_count_fraction Day Count Fraction dayCountFractionEdit line_edit     e.g. ACT/360
end_of_month End Of Month endOfMonthEdit check_box      
settlement_days Settlement Days settlementDaysEdit spin_box      

Columns (Qt model)

enum_name field header type width
Id id Id string 200
IndexBased index_based Index Based   100
Index index Index string 140
Calendar calendar Calendar 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)