ores.trading.credit_linked_swap_instrument

1. Flags
2. Columns
3. Foreign keys
- 3.1. trade_id
- 3.2. trade_activity_id
4. SQL
- 4.1. Flags
- 4.2. Checks
5. C++
6. See also

Represents the product facts of a CreditLinkedSwap trade: the credit curve and the fixed recovery rate. The four payment groups are rows of swap_legs told apart by leg_group.

This row is the family's fact table, not its identity. The header, ores.trading.credit_instrument, holds the trade type code, the party, the instrument's start and maturity dates and its description; this table holds only the product's own fields, and joins the header by trade_id.

1. Flags

2. Columns

2.1. trade_id

The trade this instrument belongs to, and the instrument's own key.

The trade id identifies both the trade and its instrument, so the instrument carries no identity of its own: this column is the key, and the trade it names gives the instrument its scope.

2.2. trade_activity_id

The activity that wrote this version.

2.3. credit_curve_id

The credit curve of the swap, from the required CreditCurveId element.

std::string("RED:2I65BYEG6")

2.4. recovery_rate

The fixed recovery rate as a fraction. Null when the document states none.

2.5. settles_accrual

Whether the accrued premium settles on default, from SettlesAccrual. Null when the document states none.

2.6. default_payment_time

When the default payment falls, from DefaultPaymentTime (e.g. atDefault). Null when the document states none.

3. Foreign keys

3.1. trade_id

The trade that carries this instrument. An instrument is written beside its trade, so a row cannot exist without one.

#include "ores.trading.api/generators/trade_generator.hpp"
#include "ores.trading.core/repository/trade_repository.hpp"

{
    auto anchor = ores::trading::generators::generate_synthetic_trade(ctx);
    anchor.party_id = *party_ctx.party_id();
    ores::trading::repository::trade_repository().write(party_ctx, anchor);
    v.trade_id = anchor.id;
}

3.2. trade_activity_id

The activity that wrote this version. A database foreign key: the activity is immutable.

#include "ores.trading.api/generators/trade_activity_generator.hpp"
#include "ores.trading.core/repository/trade_activity_repository.hpp"

{
    auto activity = ores::trading::generators::generate_synthetic_trade_activity(ctx);
    activity.party_id = *party_ctx.party_id();
    ores::trading::repository::trade_activity_repository().write(party_ctx, activity);
    v.trade_activity_id = activity.id;
}

4. SQL

4.1. Flags

4.2. Checks

expression
"credit_curve_id" <> ''
"recovery_rate" is null or ("recovery_rate" >= 0 and "recovery_rate" <= 1)

5. C++

The C++ domain class is a fact table's: the two keys stay flat, the implicit scaffolding columns carry the version and the tenant, and the columns below are the product's own fields. The row carries no instrument_identity and no audit member, because it carries neither the identity nor the party: the header, ores.trading.credit_instrument, owns both and this row joins it by trade_id. The SQL schema, DB entity and column lists are unaffected. The entity templates consume these annotations; domain and repository profiles regenerate correctly.

5.1. Flags

5.2. Repository

5.3. Domain includes

#include <chrono>
#include <optional>
#include <string>
#include <boost/uuid/uuid.hpp>

5.4. Conventions

5.5. Table display

column	header
trade_id	ID
credit_curve_id	Credit Curve
recovery_rate	Recovery Rate
default_payment_time	Default Payment
modified_by	Modified By
version	Version

5.6. Custom repository methods

6. See also

ores.trading — component group overview.