Class: CalculationPeriod

name: CalculationPeriod
description: 'A data defining:  the parameters used in the calculation of a fixed
  or floating rate calculation period amount. This data forms:  part of cashflows
  representation of a swap stream.'
comments:
- 'Rosetta condition: NotionalChoice — required choice notionalAmount, fxLinkedNotionalAmount'
- 'Rosetta condition: RateChoice — required choice floatingRateDefinition, fixedRate'
- 'Rosetta condition: StartDateChoice — required choice adjustedStartDate, unadjustedStartDate'
- 'Rosetta condition: EndDateChoice — required choice adjustedEndDate, unadjustedEndDate'
in_subset:
- cdm_product_common_schedule
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:CalculationPeriod
is_a: CalculationPeriodBase
slots:
- unadjustedStartDate
- unadjustedEndDate
- calculationPeriodNumberOfDays
- notionalAmount
- fxLinkedNotionalAmount
- floatingRateDefinition
- fixedRate
- dayCountYearFraction
- forecastAmount
- forecastRate
slot_usage:
  calculationPeriodNumberOfDays:
    name: calculationPeriodNumberOfDays
    description: The number of days from the adjusted effective / start date to the
      adjusted termination / end date calculated in accordance with the applicable
      day count fraction.
    required: false
  fixedRate:
    name: fixedRate
    description: The calculation period fixed rate. A per annum rate, expressed as
      a decimal. A fixed rate of 5% would be represented as 0.05.
    required: false
  forecastRate:
    name: forecastRate
    description: A value representing the forecast rate used to calculate the forecast
      future value of the accrual period. This is a calculated rate determined based
      on averaging the rates in the rateObservation elements, and incorporates all
      of the rate treatment and averaging rules. A value of 1% should be represented
      as 0.01.
rules:
- postconditions:
    exactly_one_of:
    - slot_conditions:
        notionalAmount:
          name: notionalAmount
          required: true
    - slot_conditions:
        fxLinkedNotionalAmount:
          name: fxLinkedNotionalAmount
          required: true
  description: condition to represent an FpML choice construct.
- postconditions:
    exactly_one_of:
    - slot_conditions:
        floatingRateDefinition:
          name: floatingRateDefinition
          required: true
    - slot_conditions:
        fixedRate:
          name: fixedRate
          required: true
  description: condition to represent an FpML choice construct.
- postconditions:
    exactly_one_of:
    - slot_conditions:
        adjustedStartDate:
          name: adjustedStartDate
          required: true
    - slot_conditions:
        unadjustedStartDate:
          name: unadjustedStartDate
          required: true
  description: 'FpML validation rule ird-30 - Context: CalculationPeriod (complex
    type). unadjustedStartDate exists or adjustedStartDate exists.'
- postconditions:
    exactly_one_of:
    - slot_conditions:
        adjustedEndDate:
          name: adjustedEndDate
          required: true
    - slot_conditions:
        unadjustedEndDate:
          name: unadjustedEndDate
          required: true
  description: 'FpML validation rule ird-31 - Context: CalculationPeriod (complex
    type). unadjustedEndDate exists or adjustedEndDate exists.'

name: CalculationPeriod
description: 'A data defining:  the parameters used in the calculation of a fixed
  or floating rate calculation period amount. This data forms:  part of cashflows
  representation of a swap stream.'
comments:
- 'Rosetta condition: NotionalChoice — required choice notionalAmount, fxLinkedNotionalAmount'
- 'Rosetta condition: RateChoice — required choice floatingRateDefinition, fixedRate'
- 'Rosetta condition: StartDateChoice — required choice adjustedStartDate, unadjustedStartDate'
- 'Rosetta condition: EndDateChoice — required choice adjustedEndDate, unadjustedEndDate'
in_subset:
- cdm_product_common_schedule
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:CalculationPeriod
is_a: CalculationPeriodBase
slot_usage:
  calculationPeriodNumberOfDays:
    name: calculationPeriodNumberOfDays
    description: The number of days from the adjusted effective / start date to the
      adjusted termination / end date calculated in accordance with the applicable
      day count fraction.
    required: false
  fixedRate:
    name: fixedRate
    description: The calculation period fixed rate. A per annum rate, expressed as
      a decimal. A fixed rate of 5% would be represented as 0.05.
    required: false
  forecastRate:
    name: forecastRate
    description: A value representing the forecast rate used to calculate the forecast
      future value of the accrual period. This is a calculated rate determined based
      on averaging the rates in the rateObservation elements, and incorporates all
      of the rate treatment and averaging rules. A value of 1% should be represented
      as 0.01.
attributes:
  unadjustedStartDate:
    name: unadjustedStartDate
    description: The calculation start date, unadjusted.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationPeriod.unadjustedStartDate
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    range: date
  unadjustedEndDate:
    name: unadjustedEndDate
    description: The calculation end date, unadjusted.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationPeriod.unadjustedEndDate
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    range: date
  calculationPeriodNumberOfDays:
    name: calculationPeriodNumberOfDays
    description: The number of days from the adjusted effective / start date to the
      adjusted termination / end date calculated in accordance with the applicable
      day count fraction.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - FutureValueAmount
    - CalculationPeriod
    range: integer
    required: false
  notionalAmount:
    name: notionalAmount
    description: The amount that a cashflow will accrue interest on.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationPeriod.notionalAmount
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    - FxLinkedNotionalAmount
    range: decimal
  fxLinkedNotionalAmount:
    name: fxLinkedNotionalAmount
    description: The amount that a cashflow will accrue interest on. This is the calculated
      amount of the FX linked - i.e. the other currency notional amount multiplied
      by the appropriate FX spot rate.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationPeriod.fxLinkedNotionalAmount
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    range: FxLinkedNotionalAmount
  floatingRateDefinition:
    name: floatingRateDefinition
    description: The floating rate reset information for the calculation period.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationPeriod.floatingRateDefinition
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    range: FloatingRateDefinition
  fixedRate:
    name: fixedRate
    description: The calculation period fixed rate. A per annum rate, expressed as
      a decimal. A fixed rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - FixedAmountCalculationDetails
    - CalculationPeriod
    - CollateralInterestCalculationParameters
    range: decimal
    required: false
  dayCountYearFraction:
    name: dayCountYearFraction
    description: The year fraction value of the calculation period, result of applying
      the ISDA rules for day count fraction defined in the ISDA Annex.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationPeriod.dayCountYearFraction
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    range: decimal
  forecastAmount:
    name: forecastAmount
    description: The amount representing the forecast of the accrued value of the
      calculation period. An intermediate value used to generate the forecastPaymentAmount
      in the PaymentCalculationPeriod.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationPeriod.forecastAmount
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    range: Money
  forecastRate:
    name: forecastRate
    description: A value representing the forecast rate used to calculate the forecast
      future value of the accrual period. This is a calculated rate determined based
      on averaging the rates in the rateObservation elements, and incorporates all
      of the rate treatment and averaging rules. A value of 1% should be represented
      as 0.01.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - RateObservation
    - CalculationPeriod
    range: decimal
  adjustedStartDate:
    name: adjustedStartDate
    description: The calculation period start date, adjusted according to any relevant
      business day convention.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationPeriodBase.adjustedStartDate
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriodBase
    range: date
  adjustedEndDate:
    name: adjustedEndDate
    description: The calculation period end date, adjusted according to any relevant
      business day convention.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculationPeriodBase.adjustedEndDate
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriodBase
    range: date
rules:
- postconditions:
    exactly_one_of:
    - slot_conditions:
        notionalAmount:
          name: notionalAmount
          required: true
    - slot_conditions:
        fxLinkedNotionalAmount:
          name: fxLinkedNotionalAmount
          required: true
  description: condition to represent an FpML choice construct.
- postconditions:
    exactly_one_of:
    - slot_conditions:
        floatingRateDefinition:
          name: floatingRateDefinition
          required: true
    - slot_conditions:
        fixedRate:
          name: fixedRate
          required: true
  description: condition to represent an FpML choice construct.
- postconditions:
    exactly_one_of:
    - slot_conditions:
        adjustedStartDate:
          name: adjustedStartDate
          required: true
    - slot_conditions:
        unadjustedStartDate:
          name: unadjustedStartDate
          required: true
  description: 'FpML validation rule ird-30 - Context: CalculationPeriod (complex
    type). unadjustedStartDate exists or adjustedStartDate exists.'
- postconditions:
    exactly_one_of:
    - slot_conditions:
        adjustedEndDate:
          name: adjustedEndDate
          required: true
    - slot_conditions:
        unadjustedEndDate:
          name: unadjustedEndDate
          required: true
  description: 'FpML validation rule ird-31 - Context: CalculationPeriod (complex
    type). unadjustedEndDate exists or adjustedEndDate exists.'