ores.refdata.ois_convention
Table of Contents
Defines the fixed-leg and overnight floating-leg parameters for an OIS. OIS are used to bootstrap risk-free overnight discount curves (e.g. EONIA, SOFR, SONIA). Corresponds to the <OIS> element in ORE conventions.xml.
1. Flags
2. Columns
2.1. id
Unique convention identifier.
Examples: 'EUR-OIS-CONVENTIONS', 'USD-OIS-CONVENTIONS'.
std::string("EUR-OIS-CONVENTIONS")
2.2. spot_lag
Number of business days from trade date to spot date.
2
2.3. index
Overnight index identifier (e.g. 'EUR-EONIA', 'USD-SOFR').
std::string("EUR-EONIA")
2.4. fixed_day_count_fraction
Day count fraction for the fixed leg (canonical FpML).
std::string("ACT/360")
2.5. fixed_calendar
Fixed-leg payment calendar (e.g. 'TARGET').
std::string("TARGET")
2.6. payment_lag
Number of business days between period end and payment.
std::nullopt
2.7. end_of_month
Whether end-of-month convention applies.
std::nullopt
2.8. fixed_frequency
Fixed-leg payment frequency (canonical CDM, e.g. 'Annual').
std::nullopt
2.9. fixed_convention
Business day convention for fixed coupon dates (canonical FpML).
std::nullopt
2.10. fixed_payment_convention
Business day convention for fixed payment dates (canonical FpML).
std::nullopt
2.11. rule
Date generation rule for the schedule (e.g. 'Backward', 'CDS2015').
std::nullopt
2.12. payment_calendar
Payment calendar override (e.g. 'TARGET').
std::nullopt
2.13. rate_cutoff
Number of fixing days before period end that rate is locked.
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 |
| index | Index |
| spot_lag | Spot Lag |
| fixed_day_count_fraction | Fixed 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 |
| index | Index | indexEdit | line_edit | true | e.g. EUR-EONIA | |
| spot_lag | Spot Lag | spotLagEdit | spin_box | |||
| fixed_day_count_fraction | Fixed Day Count Fraction | fixedDayCountFractionEdit | line_edit | true | e.g. ACT/360 | |
| fixed_calendar | Fixed Calendar | fixedCalendarEdit | line_edit | e.g. TARGET | ||
| payment_lag | Payment Lag | paymentLagEdit | spin_box | |||
| fixed_frequency | Fixed Frequency | fixedFrequencyEdit | line_edit | e.g. Annual | ||
| fixed_convention | Fixed Convention | fixedConventionEdit | line_edit | e.g. ModifiedFollowing | ||
| fixed_payment_convention | Fixed Payment Convention | fixedPaymentConventionEdit | line_edit | e.g. Following | ||
| rule | Rule | ruleEdit | line_edit | e.g. Backward | ||
| payment_calendar | Payment Calendar | paymentCalendarEdit | line_edit | e.g. TARGET | ||
| rate_cutoff | Rate Cutoff | rateCutoffEdit | spin_box | |||
| end_of_month | End Of Month | endOfMonthEdit | check_box |
4.7.2. Columns
| enum_name | field | header | type | width |
|---|---|---|---|---|
| Id | id | Id | string | 200 |
| Index | index | Index | string | 140 |
| SpotLag | spot_lag | Spot Lag | int | 80 |
| FixedDayCountFraction | fixed_day_count_fraction | Fixed 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.