ores.refdata.swap_convention

Table of Contents

Defines the fixed-leg schedule and the floating-leg index for a standard interest rate swap. Used by ORE to bootstrap par swap rates off a yield curve. Corresponds to the <Swap> element in ORE conventions.xml.

Flags

Primary key

Unique convention identifier.

Examples: 'EUR-6M-SWAP-CONVENTIONS', 'USD-3M-SWAP-CONVENTIONS'. 

std::string("EUR-6M-SWAP-CONVENTIONS")

Natural keys

Columns

fixed_calendar

Fixed-leg payment calendar (e.g. 'TARGET'). 

std::string("TARGET")

fixed_frequency

Fixed-leg payment frequency (canonical CDM, e.g. 'Annual'). 

std::string("Annual")

fixed_convention

Business day convention for the fixed leg (canonical FpML). 

std::string("ModifiedFollowing")

fixed_day_count_fraction

Day count fraction for the fixed leg (canonical FpML, e.g. '30/360'). 

std::string("30/360")

index

Floating-leg index identifier (e.g. 'EUR-EURIBOR-6M'). 

std::string("EUR-EURIBOR-6M")

float_frequency

Floating-leg payment frequency override (canonical CDM). When absent the frequency is derived from the index tenor. 

std::nullopt

sub_periods_coupon_type

Sub-period coupon type when the float leg uses sub-periods. Either 'Compounding' or 'Averaging'. 

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
fixed_frequency Fixed Freq
fixed_day_count_fraction Fixed DCF
index Index
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
fixed_frequency Fixed Frequency fixedFrequencyEdit line_edit   true e.g. Annual
fixed_day_count_fraction Fixed Day Count Fraction fixedDayCountFractionEdit line_edit   true e.g. 30/360
index Index indexEdit line_edit   true e.g. EUR-EURIBOR-6M
fixed_calendar Fixed Calendar fixedCalendarEdit line_edit     e.g. TARGET
fixed_convention Fixed Convention fixedConventionEdit line_edit     e.g. ModifiedFollowing
float_frequency Float Frequency floatFrequencyEdit line_edit     e.g. Semiannual
sub_periods_coupon_type Sub-Periods Coupon Type subPeriodsCouponTypeEdit line_edit     e.g. Compounding

Columns (Qt model)

enum_name field header type width
Id id Id string 220
FixedFrequency fixed_frequency Fixed Freq string 100
FixedDayCountFraction fixed_day_count_fraction Fixed DCF string 100
Index index Index string 160
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)