Class: BoundedVariance

URI: common_domain_model:BoundedVariance

 classDiagram
    class BoundedVariance
    click BoundedVariance href "../BoundedVariance/"
      BoundedVariance : daysInRangeAdjustment

      BoundedVariance : lowerBarrier

      BoundedVariance : realisedVarianceMethod





        BoundedVariance --> "1" RealisedVarianceMethodEnum : realisedVarianceMethod
        click RealisedVarianceMethodEnum href "../RealisedVarianceMethodEnum/"



      BoundedVariance : upperBarrier

Slots

Name	Cardinality and Range	Description	Inheritance
realisedVarianceMethod	1 RealisedVarianceMethodEnum	The contract specifies which price must satisfy the boundary condition	direct
daysInRangeAdjustment	1 Boolean	The contract specifies whether the notional should be scaled by the Number of...	direct
upperBarrier	0..1 Decimal	All observations above this price level will be excluded from the variance ca...	direct
lowerBarrier	0..1 Decimal	All observations below this price level will be excluded from the variance ca...	direct

Usages

used by	used in	type	used
VarianceCapFloor	boundedVariance	range	BoundedVariance

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	`{'upperBarrier': {'required': True}}`	`{'upperBarrier': {'minimum_value': 0}}`

In Subsets

CdmProductAsset

Comments

Rosetta condition: NonNegativeBarriers — if upperBarrier exists then upperBarrier >= 0 and if lowerBarrier exists then lowerBarrier >= 0

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: BoundedVariance
comments:
- 'Rosetta condition: NonNegativeBarriers — if upperBarrier exists then upperBarrier
  >= 0 and if lowerBarrier exists then lowerBarrier >= 0'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:BoundedVariance
slots:
- realisedVarianceMethod
- daysInRangeAdjustment
- upperBarrier
- lowerBarrier
rules:
- preconditions:
    slot_conditions:
      upperBarrier:
        name: upperBarrier
        required: true
  postconditions:
    slot_conditions:
      upperBarrier:
        name: upperBarrier
        minimum_value: 0
  description: Barriers cannot be set to negative values

Induced

name: BoundedVariance
comments:
- 'Rosetta condition: NonNegativeBarriers — if upperBarrier exists then upperBarrier
  >= 0 and if lowerBarrier exists then lowerBarrier >= 0'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:BoundedVariance
attributes:
  realisedVarianceMethod:
    name: realisedVarianceMethod
    description: The contract specifies which price must satisfy the boundary condition.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:BoundedVariance.realisedVarianceMethod
    rank: 1000
    owner: BoundedVariance
    domain_of:
    - BoundedVariance
    range: RealisedVarianceMethodEnum
    required: true
  daysInRangeAdjustment:
    name: daysInRangeAdjustment
    description: The contract specifies whether the notional should be scaled by the
      Number of Days in Range divided by the Expected N. The number of Days in Ranges
      refers to the number of returns that contribute to the realized volatility.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:BoundedVariance.daysInRangeAdjustment
    rank: 1000
    owner: BoundedVariance
    domain_of:
    - BoundedVariance
    range: boolean
    required: true
  upperBarrier:
    name: upperBarrier
    description: All observations above this price level will be excluded from the
      variance calculation.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:BoundedVariance.upperBarrier
    rank: 1000
    owner: BoundedVariance
    domain_of:
    - BoundedVariance
    range: decimal
  lowerBarrier:
    name: lowerBarrier
    description: All observations below this price level will be excluded from the
      variance calculation.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:BoundedVariance.lowerBarrier
    rank: 1000
    owner: BoundedVariance
    domain_of:
    - BoundedVariance
    range: decimal
rules:
- preconditions:
    slot_conditions:
      upperBarrier:
        name: upperBarrier
        required: true
  postconditions:
    slot_conditions:
      upperBarrier:
        name: upperBarrier
        minimum_value: 0
  description: Barriers cannot be set to negative values