Class: AdjustmentFactorCalculationTerms

Describes the input terms involved in the calculation of the adjustment factor applied to the price of the underlier impacted by a Corporate Action.

URI: common_domain_model:AdjustmentFactorCalculationTerms

 classDiagram
    class AdjustmentFactorCalculationTerms
    click AdjustmentFactorCalculationTerms href "../AdjustmentFactorCalculationTerms/"
      AdjustmentFactorCalculationTerms : accrualFactor





        AdjustmentFactorCalculationTerms --> "0..1" AccrualFactor : accrualFactor
        click AccrualFactor href "../AccrualFactor/"



      AdjustmentFactorCalculationTerms : bespokeCalculationFormula

      AdjustmentFactorCalculationTerms : dividendObservation





        AdjustmentFactorCalculationTerms --> "0..1" PriceSchedule : dividendObservation
        click PriceSchedule href "../PriceSchedule/"



      AdjustmentFactorCalculationTerms : dividendRatio

      AdjustmentFactorCalculationTerms : lastFixingPriceBeforeAdjustment





        AdjustmentFactorCalculationTerms --> "0..1" Price : lastFixingPriceBeforeAdjustment
        click Price href "../Price/"



      AdjustmentFactorCalculationTerms : merger





        AdjustmentFactorCalculationTerms --> "0..1" Merger : merger
        click Merger href "../Merger/"



      AdjustmentFactorCalculationTerms : rightsSubscriptionPrice





        AdjustmentFactorCalculationTerms --> "0..1" Price : rightsSubscriptionPrice
        click Price href "../Price/"



      AdjustmentFactorCalculationTerms : shareForRightsRatio

      AdjustmentFactorCalculationTerms : shareForShareRatio

      AdjustmentFactorCalculationTerms : spinOff





        AdjustmentFactorCalculationTerms --> "0..1" SpinOff : spinOff
        click SpinOff href "../SpinOff/"

Slots

Name	Cardinality and Range	Description	Inheritance
shareForShareRatio	0..1 Decimal	Multiple value, say 'M/N' where 'M' is the number of shares after the event a...	direct
shareForRightsRatio	0..1 Decimal	Multiple value, say 'M/N' where 'M' is the number of rights after the event, ...	direct
rightsSubscriptionPrice	0..1 Price	The price to pay per each right	direct
dividendRatio	0..1 Decimal	Multiplier value (e	direct
spinOff	0..1 SpinOff	Defines the underlier for both the Parent Company and the Child Compagny invo...	direct
merger	0..1 Merger	Defines the underlier for both the Purchaser Company and the Acquired Compagn...	direct
accrualFactor	0..1 AccrualFactor	The accrual rate and related terms, to adjust the price of an underlier impac...	direct
lastFixingPriceBeforeAdjustment	0..1 Price	The last fixing price of the Underlier affected by the CorporateAction, befor...	direct
dividendObservation	0..1 PriceSchedule	To record observations of dividends	direct
bespokeCalculationFormula	0..1 string	To describe the formula used to calculate the Adjustment Factor	direct

Usages

used by	used in	type	used
AdjustmentFactor	calculationTerms	range	AdjustmentFactorCalculationTerms

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions

Rule Applied	Preconditions	Postconditions	Elseconditions

In Subsets

CdmEventCommon

Comments

Rosetta condition: SpinOffOrMergerOrAccrual — optional choice spinOff, merger, accrualFactor
Rosetta condition: DividendObservation — if dividendObservation exists then dividendObservation -> priceType = PriceTypeEnum -> Dividend
Rosetta condition: ShareRatio — optional choice shareForShareRatio, shareForRightsRatio

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: AdjustmentFactorCalculationTerms
description: Describes the input terms involved in the calculation of the adjustment
  factor applied to the price of the underlier impacted by a Corporate Action.
comments:
- 'Rosetta condition: SpinOffOrMergerOrAccrual — optional choice spinOff, merger,
  accrualFactor'
- 'Rosetta condition: DividendObservation — if dividendObservation exists then dividendObservation
  -> priceType = PriceTypeEnum -> Dividend'
- 'Rosetta condition: ShareRatio — optional choice shareForShareRatio, shareForRightsRatio'
in_subset:
- cdm_event_common
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:AdjustmentFactorCalculationTerms
slots:
- shareForShareRatio
- shareForRightsRatio
- rightsSubscriptionPrice
- dividendRatio
- spinOff
- merger
- accrualFactor
- lastFixingPriceBeforeAdjustment
- dividendObservation
- bespokeCalculationFormula
rules:
- postconditions:
    any_of:
    - slot_conditions:
        spinOff:
          name: spinOff
          required: true
    - slot_conditions:
        merger:
          name: merger
          required: true
    - slot_conditions:
        accrualFactor:
          name: accrualFactor
          required: true
  description: SpinOffOrMergerOrAccrual
- postconditions:
    any_of:
    - slot_conditions:
        shareForShareRatio:
          name: shareForShareRatio
          required: true
    - slot_conditions:
        shareForRightsRatio:
          name: shareForRightsRatio
          required: true
  description: ShareRatio

Induced

name: AdjustmentFactorCalculationTerms
description: Describes the input terms involved in the calculation of the adjustment
  factor applied to the price of the underlier impacted by a Corporate Action.
comments:
- 'Rosetta condition: SpinOffOrMergerOrAccrual — optional choice spinOff, merger,
  accrualFactor'
- 'Rosetta condition: DividendObservation — if dividendObservation exists then dividendObservation
  -> priceType = PriceTypeEnum -> Dividend'
- 'Rosetta condition: ShareRatio — optional choice shareForShareRatio, shareForRightsRatio'
in_subset:
- cdm_event_common
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:AdjustmentFactorCalculationTerms
attributes:
  shareForShareRatio:
    name: shareForShareRatio
    description: 'Multiple value, say ''M/N'' where ''M'' is the number of shares
      after the event and ''N'' is the number of shares prior to the event. '
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AdjustmentFactorCalculationTerms.shareForShareRatio
    rank: 1000
    owner: AdjustmentFactorCalculationTerms
    domain_of:
    - AdjustmentFactorCalculationTerms
    range: decimal
  shareForRightsRatio:
    name: shareForRightsRatio
    description: 'Multiple value, say ''M/N'' where ''M'' is the number of rights
      after the event, and ''N'' of shares prior to the event. '
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AdjustmentFactorCalculationTerms.shareForRightsRatio
    rank: 1000
    owner: AdjustmentFactorCalculationTerms
    domain_of:
    - AdjustmentFactorCalculationTerms
    range: decimal
  rightsSubscriptionPrice:
    name: rightsSubscriptionPrice
    description: The price to pay per each right.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AdjustmentFactorCalculationTerms.rightsSubscriptionPrice
    rank: 1000
    owner: AdjustmentFactorCalculationTerms
    domain_of:
    - AdjustmentFactorCalculationTerms
    range: Price
  dividendRatio:
    name: dividendRatio
    description: Multiplier value (e.g. 85 %, etc.) to calculate net dividend amount,
      given gross amount before taking into account the relevant fiscal features.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AdjustmentFactorCalculationTerms.dividendRatio
    rank: 1000
    owner: AdjustmentFactorCalculationTerms
    domain_of:
    - AdjustmentFactorCalculationTerms
    range: decimal
  spinOff:
    name: spinOff
    description: Defines the underlier for both the Parent Company and the Child Compagny
      involved in Spin Off corporate action, as well as the respective price observation
      for each.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AdjustmentFactorCalculationTerms.spinOff
    rank: 1000
    owner: AdjustmentFactorCalculationTerms
    domain_of:
    - AdjustmentFactorCalculationTerms
    range: SpinOff
  merger:
    name: merger
    description: Defines the underlier for both the Purchaser Company and the Acquired
      Compagny involved in Spin Off corporate action, as well as the respective price
      observation for each.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AdjustmentFactorCalculationTerms.merger
    rank: 1000
    owner: AdjustmentFactorCalculationTerms
    domain_of:
    - AdjustmentFactorCalculationTerms
    range: Merger
  accrualFactor:
    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 last fixing and applying accruals for each remaining underlier
      price fixing date required i.e. for each, adjustedPrice = lastFixingPrice x
      (1 + accrualRate x DCF).
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AdjustmentFactorCalculationTerms.accrualFactor
    rank: 1000
    owner: AdjustmentFactorCalculationTerms
    domain_of:
    - AdjustmentFactorCalculationTerms
    range: AccrualFactor
  lastFixingPriceBeforeAdjustment:
    name: lastFixingPriceBeforeAdjustment
    description: The last fixing price of the Underlier affected by the CorporateAction,
      before any adjustment with regards to the CorporateAction.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AdjustmentFactorCalculationTerms.lastFixingPriceBeforeAdjustment
    rank: 1000
    owner: AdjustmentFactorCalculationTerms
    domain_of:
    - AdjustmentFactorCalculationTerms
    range: Price
  dividendObservation:
    name: dividendObservation
    description: To record observations of dividends.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: AdjustmentFactorCalculationTerms
    domain_of:
    - CorporateAction
    - AdjustmentFactorCalculationTerms
    range: PriceSchedule
  bespokeCalculationFormula:
    name: bespokeCalculationFormula
    description: To describe the formula used to calculate the Adjustment Factor.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AdjustmentFactorCalculationTerms.bespokeCalculationFormula
    rank: 1000
    owner: AdjustmentFactorCalculationTerms
    domain_of:
    - AdjustmentFactorCalculationTerms
    range: string
rules:
- postconditions:
    any_of:
    - slot_conditions:
        spinOff:
          name: spinOff
          required: true
    - slot_conditions:
        merger:
          name: merger
          required: true
    - slot_conditions:
        accrualFactor:
          name: accrualFactor
          required: true
  description: SpinOffOrMergerOrAccrual
- postconditions:
    any_of:
    - slot_conditions:
        shareForShareRatio:
          name: shareForShareRatio
          required: true
    - slot_conditions:
        shareForRightsRatio:
          name: shareForRightsRatio
          required: true
  description: ShareRatio