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.

Flags

Primary key

Unique index identifier.

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

std::string("EUR-EURIBOR")

Natural keys

Columns

fixing_calendar

Calendar used to determine valid fixing dates (e.g. 'TARGET'). 

std::string("TARGET")

day_count_fraction

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

std::string("ACT/360")

settlement_days

Number of business days from fixing to settlement. 

2

business_day_convention

Business day convention for maturity dates (canonical FpML). 

std::string("ModifiedFollowing")

end_of_month

Whether end-of-month convention applies. 

false

SQL

Flags

C++

Flags

Repository

Domain includes

#include <chrono>
#include <string>

Entity includes

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

Conventions

Table display

column header
id Id
fixing_calendar Fixing Calendar
day_count_fraction DCF
settlement_days Settlement Days
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 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      

Columns (Qt model)

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

Custom repository methods

See also

Emacs 29.1 (Org mode 9.6.6)