Class: AccrualFactor

The accrual rate and related terms, to adjust the price of an underlier impacted by a Corporate Action when economic impact consists in freezing the underlier price to the last fixing then applying accruals per each remaining underlier price fixing date required i.e. for each fixing date, adjustedPrice = lastFixingPrice x accrualFactor, where: accrualFactor = (1 + accrualRateValue x DCF).

URI: common_domain_model:AccrualFactor

 classDiagram
    class AccrualFactor
    click AccrualFactor href "../AccrualFactor/"
      AccrualFactor : calculationTerms





        AccrualFactor --> "0..1" AccrualFactorCalculationTerms : calculationTerms
        click AccrualFactorCalculationTerms href "../AccrualFactorCalculationTerms/"



      AccrualFactor : value





        AccrualFactor --> "1" PriceSchedule : value
        click PriceSchedule href "../PriceSchedule/"

Slots

Name	Cardinality and Range	Description	Inheritance
value	1 PriceSchedule	The rate to be applied to the last fixing price, for price accrual calculatio...	direct
calculationTerms	0..1 AccrualFactorCalculationTerms	Describes the input terms involved in the calculation of the accrual factor	direct

Usages

used by	used in	type	used
AdjustmentFactorCalculationTerms	accrualFactor	range	AccrualFactor

In Subsets

CdmEventCommon

Comments

Rosetta condition: AccrualPriceIsRate — value -> priceType = PriceTypeEnum -> InterestRate

Identifier and Mapping Information

Schema Source

from schema: https://w3id.org/lmodel/common-domain-model

Mappings

Mapping Type	Mapped Value
self	common_domain_model:AccrualFactor
native	common_domain_model:AccrualFactor
close	fpml_5_10:AccrualFactor

LinkML Source

Direct

name: AccrualFactor
description: 'The accrual rate and related terms, to adjust the price of an underlier
  impacted by a Corporate Action when economic impact consists in freezing the underlier
  price to the last fixing then applying accruals per each remaining underlier price
  fixing date required i.e. for each fixing date, adjustedPrice = lastFixingPrice
  x accrualFactor, where: accrualFactor = (1 + accrualRateValue x DCF).'
comments:
- 'Rosetta condition: AccrualPriceIsRate — value -> priceType = PriceTypeEnum -> InterestRate'
in_subset:
- cdm_event_common
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:AccrualFactor
slots:
- value
- calculationTerms
slot_usage:
  value:
    name: value
    description: The rate to be applied to the last fixing price, for price accrual
      calculation purposes. DatedValue may be used for the purpose of representing
      Price series if such calculation is required for multiple dates.
    range: PriceSchedule
    required: true
  calculationTerms:
    name: calculationTerms
    description: Describes the input terms involved in the calculation of the accrual
      factor.
    range: AccrualFactorCalculationTerms

Induced

name: AccrualFactor
description: 'The accrual rate and related terms, to adjust the price of an underlier
  impacted by a Corporate Action when economic impact consists in freezing the underlier
  price to the last fixing then applying accruals per each remaining underlier price
  fixing date required i.e. for each fixing date, adjustedPrice = lastFixingPrice
  x accrualFactor, where: accrualFactor = (1 + accrualRateValue x DCF).'
comments:
- 'Rosetta condition: AccrualPriceIsRate — value -> priceType = PriceTypeEnum -> InterestRate'
in_subset:
- cdm_event_common
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:AccrualFactor
slot_usage:
  value:
    name: value
    description: The rate to be applied to the last fixing price, for price accrual
      calculation purposes. DatedValue may be used for the purpose of representing
      Price series if such calculation is required for multiple dates.
    range: PriceSchedule
    required: true
  calculationTerms:
    name: calculationTerms
    description: Describes the input terms involved in the calculation of the accrual
      factor.
    range: AccrualFactorCalculationTerms
attributes:
  value:
    name: value
    description: The rate to be applied to the last fixing price, for price accrual
      calculation purposes. DatedValue may be used for the purpose of representing
      Price series if such calculation is required for multiple dates.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: AccrualFactor
    domain_of:
    - MeasureBase
    - Schedule
    - DatedValue
    - Taxonomy
    - TaxonomyClassification
    - CodeValue
    - AdjustmentFactor
    - AccrualFactor
    - DisputeResolution
    - OtherEligibleAndPostedSupport
    - CSAThresholdVariableSet
    - CSAMinimumTransferAmountVariableSet
    - MasterAgreementVariableSet
    range: PriceSchedule
    required: true
  calculationTerms:
    name: calculationTerms
    description: Describes the input terms involved in the calculation of the accrual
      factor.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AdjustmentFactor.calculationTerms
    rank: 1000
    owner: AccrualFactor
    domain_of:
    - AdjustmentFactor
    - AccrualFactor
    range: AccrualFactorCalculationTerms