ores.refdata.swap_convention

1. Flags
2. Columns
3. SQL
- 3.1. Flags
4. C++
5. See also

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.

1. Flags

2. Columns

2.1. id

Unique convention identifier.

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

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

2.2. fixed_calendar

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

std::string("TARGET")

2.3. fixed_frequency

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

std::string("Annual")

2.4. fixed_convention

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

std::string("ModifiedFollowing")

2.5. fixed_day_count_fraction

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

std::string("30/360")

2.6. index

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

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

2.7. float_frequency

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

std::nullopt

2.8. sub_periods_coupon_type

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

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
fixed_frequency	Fixed Freq
fixed_day_count_fraction	Fixed DCF
index	Index
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
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

4.7.2. Columns

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

4.8. Custom repository methods

5. See also

ores.refdata — component group overview.