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Class: CalculatedRateDetails

Type for reporting details of calculated rates, including the observations that went into the final reported rate.

URI: common_domain_model:CalculatedRateDetails

 classDiagram
    class CalculatedRateDetails
    click CalculatedRateDetails href "../CalculatedRateDetails/"
      CalculatedRateDetails : aggregateValue

      CalculatedRateDetails : aggregateWeight

      CalculatedRateDetails : calculatedRate

      CalculatedRateDetails : compoundedGrowth

      CalculatedRateDetails : growthFactor

      CalculatedRateDetails : observations





        CalculatedRateDetails --> "0..1" CalculatedRateObservations : observations
        click CalculatedRateObservations href "../CalculatedRateObservations/"



      CalculatedRateDetails : weightedRates

Slots

Name Cardinality and Range Description Inheritance
observations 0..1
CalculatedRateObservations		 The observation dates and weights for each observation date direct
weightedRates *
Decimal		 The weighted value of each observation direct
growthFactor *
Decimal		 The daily growth factors, showing the weighted rates divided by the day count... direct
compoundedGrowth *
Decimal		 The compounding curve, showing how the initial value grew during the calculat... direct
aggregateValue 0..1
Decimal		 The total sum or product of all the individual terms that went into the calcu... direct
aggregateWeight 0..1
Decimal		 The total weight of all the terms that went into the calculated rate direct
calculatedRate 0..1
Decimal		 The resulting calculated weight direct

Usages

used by used in type used
FloatingRateSettingDetails calculationDetails range CalculatedRateDetails

In Subsets

Comments

  • Rosetta func: ApplyCompoundingFormula — Implements the compounding formula: Product of ( 1 + (rate * weight) / basis), then backs out the final rate. This is used to support section 7.3 of the 2021 ISDA Definitions.
  • Rosetta func: ApplyAveragingFormula — Implements the weighted arithmetic averaging formula. Sums the weighted rates and divides by the total weight. This is used to support section 7.4 of the 2021 ISDA Definitions.

Identifier and Mapping Information

Annotations

property value
rosetta_functions [{"name":"ApplyCompoundingFormula","description":"Implements the compounding formula: Product of ( 1 + (rate * weight) / basis), then backs out the final rate. This is used to support section 7.3 of the 2021 ISDA Definitions.","inputs":[{"name":"observations","type":"number","cardinality":"0.."},{"name":"weights","type":"number","cardinality":"0.."},{"name":"yearFrac","type":"number","cardinality":"1..1"}],"output":{"name":"results","type":"CalculatedRateDetails","cardinality":"1..1"}},{"name":"ApplyAveragingFormula","description":"Implements the weighted arithmetic averaging formula. Sums the weighted rates and divides by the total weight. This is used to support section 7.4 of the 2021 ISDA Definitions.","inputs":[{"name":"observations","type":"number","cardinality":"0.."},{"name":"weights","type":"number","cardinality":"0.."}],"output":{"name":"results","type":"CalculatedRateDetails","cardinality":"1..1"}}]

Schema Source

Mappings

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

LinkML Source

Direct

name: CalculatedRateDetails
annotations:
  rosetta_functions:
    tag: rosetta_functions
    value: '[{"name":"ApplyCompoundingFormula","description":"Implements the compounding
      formula:   Product of ( 1 + (rate * weight) / basis), then backs out the final
      rate. This is used to support section 7.3 of the 2021 ISDA Definitions.","inputs":[{"name":"observations","type":"number","cardinality":"0..*"},{"name":"weights","type":"number","cardinality":"0..*"},{"name":"yearFrac","type":"number","cardinality":"1..1"}],"output":{"name":"results","type":"CalculatedRateDetails","cardinality":"1..1"}},{"name":"ApplyAveragingFormula","description":"Implements
      the weighted arithmetic averaging formula.  Sums the weighted rates and divides
      by the total weight.  This is used to support section 7.4 of the 2021 ISDA Definitions.","inputs":[{"name":"observations","type":"number","cardinality":"0..*"},{"name":"weights","type":"number","cardinality":"0..*"}],"output":{"name":"results","type":"CalculatedRateDetails","cardinality":"1..1"}}]'
description: Type for reporting details of calculated rates, including the observations
  that went into the final reported rate.
comments:
- 'Rosetta func: ApplyCompoundingFormula — Implements the compounding formula:   Product
  of ( 1 + (rate * weight) / basis), then backs out the final rate. This is used to
  support section 7.3 of the 2021 ISDA Definitions.'
- 'Rosetta func: ApplyAveragingFormula — Implements the weighted arithmetic averaging
  formula.  Sums the weighted rates and divides by the total weight.  This is used
  to support section 7.4 of the 2021 ISDA Definitions.'
in_subset:
- cdm_observable_asset_calculatedrate
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:CalculatedRateDetails
slots:
- observations
- weightedRates
- growthFactor
- compoundedGrowth
- aggregateValue
- aggregateWeight
- calculatedRate
slot_usage:
  observations:
    name: observations
    description: The observation dates and weights for each observation date.
    range: CalculatedRateObservations
    required: false
    multivalued: false
  aggregateValue:
    name: aggregateValue
    description: The total sum or product of all the individual terms that went into
      the calculated rate.
    range: decimal
    required: false

Induced

name: CalculatedRateDetails
annotations:
  rosetta_functions:
    tag: rosetta_functions
    value: '[{"name":"ApplyCompoundingFormula","description":"Implements the compounding
      formula:   Product of ( 1 + (rate * weight) / basis), then backs out the final
      rate. This is used to support section 7.3 of the 2021 ISDA Definitions.","inputs":[{"name":"observations","type":"number","cardinality":"0..*"},{"name":"weights","type":"number","cardinality":"0..*"},{"name":"yearFrac","type":"number","cardinality":"1..1"}],"output":{"name":"results","type":"CalculatedRateDetails","cardinality":"1..1"}},{"name":"ApplyAveragingFormula","description":"Implements
      the weighted arithmetic averaging formula.  Sums the weighted rates and divides
      by the total weight.  This is used to support section 7.4 of the 2021 ISDA Definitions.","inputs":[{"name":"observations","type":"number","cardinality":"0..*"},{"name":"weights","type":"number","cardinality":"0..*"}],"output":{"name":"results","type":"CalculatedRateDetails","cardinality":"1..1"}}]'
description: Type for reporting details of calculated rates, including the observations
  that went into the final reported rate.
comments:
- 'Rosetta func: ApplyCompoundingFormula — Implements the compounding formula:   Product
  of ( 1 + (rate * weight) / basis), then backs out the final rate. This is used to
  support section 7.3 of the 2021 ISDA Definitions.'
- 'Rosetta func: ApplyAveragingFormula — Implements the weighted arithmetic averaging
  formula.  Sums the weighted rates and divides by the total weight.  This is used
  to support section 7.4 of the 2021 ISDA Definitions.'
in_subset:
- cdm_observable_asset_calculatedrate
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:CalculatedRateDetails
slot_usage:
  observations:
    name: observations
    description: The observation dates and weights for each observation date.
    range: CalculatedRateObservations
    required: false
    multivalued: false
  aggregateValue:
    name: aggregateValue
    description: The total sum or product of all the individual terms that went into
      the calculated rate.
    range: decimal
    required: false
attributes:
  observations:
    name: observations
    annotations:
      metadata_reference:
        tag: metadata_reference
        value: true
    description: The observation dates and weights for each observation date.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CalculatedRateDetails
    domain_of:
    - Reset
    - CalculatedRateDetails
    range: CalculatedRateObservations
    required: false
    multivalued: false
    inlined: true
    inlined_as_list: true
  weightedRates:
    name: weightedRates
    description: The weighted value of each observation.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculatedRateDetails.weightedRates
    rank: 1000
    owner: CalculatedRateDetails
    domain_of:
    - CalculatedRateDetails
    range: decimal
    multivalued: true
  growthFactor:
    name: growthFactor
    description: The daily growth factors, showing the weighted rates divided by the
      day count basis plus one, giving how much the value grows for each step in the
      calculation.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculatedRateDetails.growthFactor
    rank: 1000
    owner: CalculatedRateDetails
    domain_of:
    - CalculatedRateDetails
    range: decimal
    multivalued: true
  compoundedGrowth:
    name: compoundedGrowth
    description: The compounding curve, showing how the initial value grew during
      the calculation period.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculatedRateDetails.compoundedGrowth
    rank: 1000
    owner: CalculatedRateDetails
    domain_of:
    - CalculatedRateDetails
    range: decimal
    multivalued: true
  aggregateValue:
    name: aggregateValue
    description: The total sum or product of all the individual terms that went into
      the calculated rate.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CalculatedRateDetails
    domain_of:
    - Exposure
    - CalculatedRateDetails
    range: decimal
    required: false
  aggregateWeight:
    name: aggregateWeight
    description: The total weight of all the terms that went into the calculated rate.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculatedRateDetails.aggregateWeight
    rank: 1000
    owner: CalculatedRateDetails
    domain_of:
    - CalculatedRateDetails
    range: decimal
  calculatedRate:
    name: calculatedRate
    description: The resulting calculated weight.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculatedRateDetails.calculatedRate
    rank: 1000
    owner: CalculatedRateDetails
    domain_of:
    - CalculatedRateDetails
    - FloatingRateDefinition
    range: decimal