ores.refdata.ibor_index_convention
Table of Contents
Defines the fixing calendar, day count, settlement lag, and business day convention for a term IBOR index such as EURIBOR or USD LIBOR. Corresponds to the <IborIndex> element in ORE conventions.xml.
1. Flags
2. Columns
2.1. id
Unique index identifier.
Examples: 'EUR-EURIBOR', 'USD-LIBOR'.
std::string("EUR-EURIBOR")
2.2. fixing_calendar
Calendar used to determine valid fixing dates (e.g. 'TARGET').
std::string("TARGET")
2.3. day_count_fraction
Day count fraction for accrual (canonical FpML, e.g. 'ACT/360').
std::string("ACT/360")
2.4. settlement_days
Number of business days from fixing to settlement.
2
2.5. business_day_convention
Business day convention for maturity dates (canonical FpML).
std::string("ModifiedFollowing")
2.6. end_of_month
Whether end-of-month convention applies.
false
2.7. oresmd_uri
The oresmd URI of the index this convention defines: the IBOR index itself, as a fixing URI, for example 'oresmd://ir/EUR?type=fixing&index=ibor&name=EURIBOR' for 'EUR-EURIBOR'. Classification: fixing — the convention defines the index, so the address names the fixing itself and not a series it references.
The column holds the address as a value, so refdata depends on the oresmd format as a contract only and never on the marketdata library or its tables. Nullable, because no convention is required to state its address yet.
std::nullopt
3. SQL
3.1. Flags
4. C++
4.1. Flags
4.2. Repository
4.3. Domain includes
#include <string> #include <optional>
4.4. Entity includes
#include <string> #include <optional>
4.5. Conventions
4.6. Table display
| column | header |
|---|---|
| id | Id |
| fixing_calendar | Fixing Calendar |
| day_count_fraction | DCF |
| settlement_days | Settlement Days |
| 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 index id |
| fixing_calendar | Fixing Calendar | fixingCalendarEdit | line_edit | true | e.g. TARGET | |
| day_count_fraction | Day Count Fraction | dayCountFractionEdit | line_edit | true | e.g. ACT/360 | |
| settlement_days | Settlement Days | settlementDaysEdit | spin_box | |||
| business_day_convention | Business Day Convention | businessDayConventionEdit | line_edit | true | e.g. ModifiedFollowing | |
| end_of_month | End Of Month | endOfMonthEdit | check_box |
4.7.2. Columns
| enum_name | field | header | type | width |
|---|---|---|---|---|
| Id | id | Id | string | 180 |
| FixingCalendar | fixing_calendar | Fixing Calendar | string | 120 |
| DayCountFraction | day_count_fraction | DCF | string | 100 |
| SettlementDays | settlement_days | Settlement Days | int | 110 |
| 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.