ores.refdata.tenor_convention

Table of Contents

Persisted catalog of the resolution schemes described in Tenor's "Tenor conventions by curve type" section — spot/forward curves, FX swap curves (near-leg quoting), and credit/CDS curves (IMM-anchored). Each row names the default tenor anchor a convention's regular PERIOD tenors resolve from, and which algorithm governs resolution for the convention at all: ANCHOR_OFFSET (anchor date plus a fixed offset — spot/forward and FX swap conventions) or SCHEDULE_STEP (anchor plus a calendar offset, then n steps along a named tenor_schedule axis — credit/CDS and FOMC conventions, story Decision D2). Which tenor labels actually belong to a given convention, and any per-tenor anchor or offset override (needed for SPECIAL tenors such as O/N, which resolve differently under the spot/forward convention than under the swap convention, and for every SCHEDULE_STEP tenor, whose resolution row names the schedule axis and step count), is recorded in Tenor Convention Resolution, not here.

Flags

Columns

code

Unique convention code.

Examples: 'RATES_SPOT_FORWARD', 'FX_SWAP_NEAR_LEG', 'CREDIT_CDS_IMM', 'VOL_SURFACE_TODAY'. 

std::string(faker::word::noun()) + "_convention_" + std::to_string(++counter)

description

Human-readable description of the resolution scheme and where it applies. 

std::string(faker::lorem::sentence())

measured_from

Default tenor anchor code (references tenor_anchor.code) this convention's regular PERIOD tenors resolve from. NONE whenever every tenor under this convention carries its own anchor_override (as FX_SWAP_NEAR_LEG does — it has no PERIOD tenors to fall back to a default for) or whenever resolution_algorithm does not use a fixed anchor at all (SCHEDULE_STEP, where the walk starts from the resolution row's own anchor_override) — not only the latter case. 

std::string("SPOT")

resolution_algorithm

Which algorithm resolves a tenor under this convention: ANCHOR_OFFSET (anchor date plus a fixed day/week/month/year offset) or SCHEDULE_STEP (anchor plus a calendar offset, then n steps along the resolution row's named schedule_code axis — see tenor_schedule). 

std::string("ANCHOR_OFFSET")

SQL

Flags

Insert trigger

Validations

column validation_function
measured_from ores_refdata_validate_tenor_anchor_fn
resolution_algorithm ores_refdata_validate_tenor_resolution_algorithm_fn
change_reason_code ores_dq_validate_change_reason_fn

C++

Flags

Repository

Domain includes

#include <string>

Conventions

Qt

Detail fields

field label widget type is_key is_required placeholder flag_source combo_domain_type combo_fetch_include combo_fetch_fn combo_watcher_name combo_code_field combo_tooltip_field combo_sort_field combo_label combo_setter_pascal
code Code codeEdit line_edit true true Enter convention code                    
description Description descriptionEdit text_edit     Enter a description                    
measured_from Measured From measuredFromCombo dynamic_combo   true     refdata::domain::tenor_anchor ores.qt/LookupFetcher.hpp fetch_tenor_anchors measuredFromWatcher code description display_order tenor anchors MeasuredFromCombo
resolution_algorithm Resolution Algorithm resolutionAlgorithmCombo dynamic_combo   true     refdata::domain::tenor_resolution_algorithm ores.qt/LookupFetcher.hpp fetch_tenor_resolution_algorithms resolutionAlgorithmWatcher code description display_order tenor resolution algorithms ResolutionAlgorithmCombo

Columns (Qt model)

enum_name field header type width
Code code Code string 200
Description description Description string 300
MeasuredFrom measured_from Measured From string 130
Algorithm resolution_algorithm Resolution Algorithm string 150
Version version Version int 80
ModifiedBy modified_by Modified By string 120
RecordedAt recorded_at Recorded At timestamp 150

Related entity shortcuts

signal icon label tooltip
Anchors Anchor Anchors Open Tenor Anchors list
ResolutionAlgorithms Tag Resolution Algorithms Open Tenor Resolution Algorithms list

Custom repository methods

See also

  • Tenor — the "Tenor conventions by curve type" section this table persists.
  • Tenor Anchor — the measured_from reference point lookup.
  • Tenor (entity model) — the tenor catalog this convention resolves.
  • Tenor Convention Resolution — membership and per-tenor anchor overrides for this convention.
  • IMM Dates — the quarterly roll schedule the ROLL_QUARTER schedule axis follows.

Emacs 29.3 (Org mode 9.6.15)