ores.refdata.zero_convention

Table of Contents

Specifies the day count fraction and compounding method used when bootstrapping a discount or zero-rate curve in ORE. Corresponds to the <Zero> element in ORE conventions.xml. The id field is the natural key (ORE <Id> element).

Flags

Primary key

Unique convention identifier.

Examples: 'EUR-ZERO-CONVENTIONS', 'USD-ZERO-CONVENTIONS'. 

std::string("EUR-ZERO-CONVENTIONS")

Natural keys

Columns

tenor_based

Whether the curve is defined on a tenor grid (true) or on absolute dates (false). 

true

day_count_fraction

Day count fraction code (canonical FpML, e.g. 'ACT/365.FIXED'). 

std::string("ACT/365.FIXED")

compounding

Compounding method (canonical CDM, e.g. 'Continuous'). Present only when tenor_based is true. 

std::string("Continuous")

compounding_frequency

Frequency at which the rate is compounded (canonical CDM). Present only when compounding is 'Compounded'. 

std::nullopt

tenor_calendar

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

std::string("TARGET")

spot_lag

Number of business days from today to the spot date. 

std::nullopt

spot_calendar

Calendar used to compute the spot date. 

std::nullopt

roll_convention

Business day convention applied to tenor dates (canonical FpML). 

std::nullopt

end_of_month

Whether end-of-month convention applies. 

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
tenor_based Tenor Based
day_count_fraction DCF
compounding Compounding
tenor_calendar Tenor Calendar
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
day_count_fraction Day Count Fraction dayCountFractionEdit line_edit   true e.g. ACT/365.FIXED
compounding Compounding compoundingEdit line_edit     e.g. Continuous
compounding_frequency Compounding Frequency compoundingFrequencyEdit line_edit     e.g. Annual
tenor_calendar Tenor Calendar tenorCalendarEdit line_edit     e.g. TARGET
spot_calendar Spot Calendar spotCalendarEdit line_edit      
roll_convention Roll Convention rollConventionEdit line_edit      

Columns (Qt model)

enum_name field header type width
Id id Id string 200
TenorBased tenor_based Tenor Based   100
DayCountFraction day_count_fraction DCF string 140
Compounding compounding Compounding string 120
TenorCalendar tenor_calendar Tenor Calendar string 130
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)