Class: AccrualFactorCalculationTerms

Describes the input terms involved in the calculation of the accrual factor. Optionnally, long and short stub interpolation rates can be specified.

URI: common_domain_model:AccrualFactorCalculationTerms

 classDiagram
    class AccrualFactorCalculationTerms
    click AccrualFactorCalculationTerms href "../AccrualFactorCalculationTerms/"
      AccrualFactorCalculationTerms : dayCountFraction





        AccrualFactorCalculationTerms --> "1" DayCountFractionEnum : dayCountFraction
        click DayCountFractionEnum href "../DayCountFractionEnum/"



      AccrualFactorCalculationTerms : interpolationTerms





        AccrualFactorCalculationTerms --> "0..1" StubValue : interpolationTerms
        click StubValue href "../StubValue/"



      AccrualFactorCalculationTerms : tenorTillMaturity

Slots

Name	Cardinality and Range	Description	Inheritance
tenorTillMaturity	1 Decimal	The duration between last fixing date and the payment date of accruals, calcu...	direct
dayCountFraction	1 DayCountFractionEnum	The enumerated values to specify the day count fraction	direct
interpolationTerms	0..1 StubValue	Describes the rate, tenor, period duration for the short and long stubs, when...	direct

Usages

used by	used in	type	used
AccrualFactor	calculationTerms	range	AccrualFactorCalculationTerms

In Subsets

CdmEventCommon

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: AccrualFactorCalculationTerms
description: Describes the input terms involved in the calculation of the accrual
  factor. Optionnally, long and short stub interpolation rates can be specified.
in_subset:
- cdm_event_common
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:AccrualFactorCalculationTerms
slots:
- tenorTillMaturity
- dayCountFraction
- interpolationTerms

Induced

name: AccrualFactorCalculationTerms
description: Describes the input terms involved in the calculation of the accrual
  factor. Optionnally, long and short stub interpolation rates can be specified.
in_subset:
- cdm_event_common
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:AccrualFactorCalculationTerms
attributes:
  tenorTillMaturity:
    name: tenorTillMaturity
    description: The duration between last fixing date and the payment date of accruals,
      calculated in accordance with the appropriate DayCountFraction.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AccrualFactorCalculationTerms.tenorTillMaturity
    rank: 1000
    owner: AccrualFactorCalculationTerms
    domain_of:
    - AccrualFactorCalculationTerms
    range: decimal
    required: true
  dayCountFraction:
    name: dayCountFraction
    description: The enumerated values to specify the day count fraction.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AccrualFactorCalculationTerms.dayCountFraction
    rank: 1000
    owner: AccrualFactorCalculationTerms
    domain_of:
    - AccrualFactorCalculationTerms
    - FloatingRateIndexCalculationDefaults
    - InterestRatePayout
    - CollateralInterestCalculationParameters
    range: DayCountFractionEnum
    required: true
  interpolationTerms:
    name: interpolationTerms
    description: Describes the rate, tenor, period duration for the short and long
      stubs, when the accrualRate optionnaly results from an interpolation method.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AccrualFactorCalculationTerms.interpolationTerms
    rank: 1000
    owner: AccrualFactorCalculationTerms
    domain_of:
    - AccrualFactorCalculationTerms
    range: StubValue