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).
1. Flags
2. Columns
2.1. id
Unique convention identifier.
Examples: 'EUR-ZERO-CONVENTIONS', 'USD-ZERO-CONVENTIONS'.
std::string("EUR-ZERO-CONVENTIONS")
2.2. tenor_based
Whether the curve is defined on a tenor grid (true) or on absolute dates (false).
true
2.3. day_count_fraction
Day count fraction code (canonical FpML, e.g. 'ACT/365.FIXED').
std::string("ACT/365.FIXED")
2.4. compounding
Compounding method (canonical CDM, e.g. 'Continuous'). Present only when tenor_based is true.
std::string("Continuous")
2.5. compounding_frequency
Frequency at which the rate is compounded (canonical CDM). Present only when compounding is 'Compounded'.
std::nullopt
2.6. tenor_calendar
Calendar used to determine tenor dates (e.g. 'TARGET').
std::string("TARGET")
2.7. spot_lag
Number of business days from today to the spot date.
std::nullopt
2.8. spot_calendar
Calendar used to compute the spot date.
std::nullopt
2.9. roll_convention
Business day convention applied to tenor dates (canonical FpML).
std::nullopt
2.10. end_of_month
Whether end-of-month convention applies.
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 |
| tenor_based | Tenor Based |
| day_count_fraction | DCF |
| compounding | Compounding |
| tenor_calendar | Tenor Calendar |
| 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 |
| 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 |
4.7.2. Columns
| enum_name | field | header | type | width |
|---|---|---|---|---|
| Id | id | Id | string | 200 |
| TenorBased | tenor_based | Tenor Based | bool | 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 |
4.8. Custom repository methods
5. See also
- ores.refdata — component group overview.