ores.synthetic.variance_calibration_input_point
Table of Contents
One fixing date of a variance_calibration_input: the fixing as it was stored, the
number read from it, and the daily log return it gives in the pair's market
convention. A point the fit may not use is kept with the reason, such as a value
that is not a number, so the input states every date the window held and not only
the ones that counted.
log_return is the return from the previous used point to this one, after the
inversion the input names. The first used point has no return, and a point whose
value cannot be read has neither a value nor a return.
1. Flags
2. Columns
2.1. id
Surrogate UUID uniquely identifying this point.
2.2. party_id
Owning party, the input's.
ctx.generate_uuid()
2.3. input_id
The variance_calibration_input this point belongs to.
ctx.generate_uuid()
2.4. fixing_date
The fixing date.
std::chrono::year_month_day{std::chrono::floor<std::chrono::days>(ctx.past_timepoint())}
2.5. fixing_text
The fixing exactly as the store held it, before it was read as a number.
std::string("1.0850")
2.6. fixing_value
The fixing read as a number, in the item's own convention; absent when the text is not a number.
std::optional<double>(1.085)
2.7. log_return
The daily log return to this point in the pair's market convention; absent for the first used point and for a point that was not read.
std::optional<double>(0.001)
2.8. used
Whether the fit may use this point's return.
true
2.9. exclusion_reason
Why the point is not used, such as "the value is not a number" or "the first point has no return"; empty when it is used.
std::string("")
3. SQL
3.1. Flags
3.2. Checks
| expression |
|---|
| ("used" and "exclusion_reason" = '') or (not "used" and "exclusion_reason" <> '') |
| not "used" or "log_return" is not null |
| "fixing_value" is not null or not "used" |
4. Foreign keys
4.1. input_id
5. C++
5.1. Flags
5.2. Repository
5.3. Domain includes
#include <boost/uuid/uuid.hpp> #include <chrono> #include <optional> #include <string>
5.4. Entity includes
#include <optional> #include <string>
5.5. Conventions
5.6. Table display
| column | header |
|---|---|
| fixing_date | Date |
| fixing_text | Fixing |
| log_return | Return |
| used | Used |
| exclusion_reason | Left Out |
| version | Version |
6. See also
- Variance Calibration Input – the input this point belongs to.