Specifying tenors in LUSID

You are required to specify a tenor in various places in LUSID, for example in a flow convention or index convention, as part of a complex market data object such as a FX forward curve, and also optionally in a recipe to specify a 'look back' validity period for market data.

To do this, use the syntax <integer><unit>, where:

• <integer> is zero or a positive whole number.

• <unit> is one of the following:

  • Min - Minute

  • Hour - Hour

  • D - Day

  • BD - Business day (as determined by a calendar)

  • W - Week

  • M - Month

  • Q or Qtr - Quarter

  • SA - Semi-annual

  • Y - Year

For example, 1Min or 2D or 3M or 10Y.

Note the following:

• You cannot specify fractions of numbers, so to represent one and a half years you would specify 18M.

• Some tenors are equivalent, so for example 12M ≡ 4Q ≡ 2SA ≡ 1Y and 6M ≡ 2Q ≡ 1SA and so on. Others are not, so for example 52W ≠ 1Y.

• You can specify 2Day instead of 2D, 3Month instead of 3M and so on, but LUSID stores the acronym rather than the noun.

• You can specify 1T (one term) for instruments (such as a zero-coupon bond) that require a single or 'empty' tenor.