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Class: CollateralAgreementFloatingRate

Represents the parameters needed to calculate the floating rate paid on collateral holdings.

URI: common_domain_model:CollateralAgreementFloatingRate

 classDiagram
    class CollateralAgreementFloatingRate
    click CollateralAgreementFloatingRate href "../CollateralAgreementFloatingRate/"
      FloatingRateBase <|-- CollateralAgreementFloatingRate
        click FloatingRateBase href "../FloatingRateBase/"

      CollateralAgreementFloatingRate : capRateSchedule





        CollateralAgreementFloatingRate --> "0..1" StrikeSchedule : capRateSchedule
        click StrikeSchedule href "../StrikeSchedule/"



      CollateralAgreementFloatingRate : compressibleSpread

      CollateralAgreementFloatingRate : floorRateSchedule





        CollateralAgreementFloatingRate --> "0..1" StrikeSchedule : floorRateSchedule
        click StrikeSchedule href "../StrikeSchedule/"



      CollateralAgreementFloatingRate : negativeInterest

      CollateralAgreementFloatingRate : rateOption





        CollateralAgreementFloatingRate --> "0..1" InterestRateIndex : rateOption
        click InterestRateIndex href "../InterestRateIndex/"



      CollateralAgreementFloatingRate : spreadSchedule





        CollateralAgreementFloatingRate --> "0..1" SpreadSchedule : spreadSchedule
        click SpreadSchedule href "../SpreadSchedule/"

Inheritance

Slots

Name Cardinality and Range Description Inheritance
negativeInterest 1
Boolean		 Specifies how negative rates should be applied direct
compressibleSpread 1
Boolean		 Specifies how spreads should be applied in a low/negative rate environment direct
rateOption 0..1
InterestRateIndex or 
FloatingRateIndex or 
InflationIndex		 FloatingRateBase
spreadSchedule 0..1
SpreadSchedule		 The ISDA Spread or a Spread schedule expressed as explicit spreads and dates FloatingRateBase
capRateSchedule 0..1
StrikeSchedule		 The cap rate or cap rate schedule, if any, which applies to the floating rate FloatingRateBase
floorRateSchedule 0..1
StrikeSchedule		 The floor rate or floor rate schedule, if any, which applies to the floating ... FloatingRateBase

Usages

used by used in type used
CollateralInterestCalculationParameters floatingRate range CollateralAgreementFloatingRate

In Subsets

Identifier and Mapping Information

Schema Source

Mappings

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

LinkML Source

Direct

name: CollateralAgreementFloatingRate
description: Represents the parameters needed to calculate the floating rate paid
  on collateral holdings.
in_subset:
- cdm_product_collateral
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:CollateralAgreementFloatingRate
is_a: FloatingRateBase
slots:
- negativeInterest
- compressibleSpread

Induced

name: CollateralAgreementFloatingRate
description: Represents the parameters needed to calculate the floating rate paid
  on collateral holdings.
in_subset:
- cdm_product_collateral
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:CollateralAgreementFloatingRate
is_a: FloatingRateBase
attributes:
  negativeInterest:
    name: negativeInterest
    description: Specifies how negative rates should be applied.  If rates go negative,
      should the payment be reversed (true) or zeroed out (false)?
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CollateralAgreementFloatingRate.negativeInterest
    rank: 1000
    owner: CollateralAgreementFloatingRate
    domain_of:
    - CollateralAgreementFloatingRate
    range: boolean
    required: true
  compressibleSpread:
    name: compressibleSpread
    description: Specifies how spreads should be applied in a low/negative rate environment.  If
      true, spread is applied only if rate is positive.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CollateralAgreementFloatingRate.compressibleSpread
    rank: 1000
    owner: CollateralAgreementFloatingRate
    domain_of:
    - CollateralAgreementFloatingRate
    range: boolean
    required: true
  rateOption:
    name: rateOption
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CollateralAgreementFloatingRate
    domain_of:
    - FloatingRateBase
    range: InterestRateIndex
    any_of:
    - range: FloatingRateIndex
    - range: InflationIndex
  spreadSchedule:
    name: spreadSchedule
    description: The ISDA Spread or a Spread schedule expressed as explicit spreads
      and dates. In the case of a schedule, the step dates may be subject to adjustment
      in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
      The spread is a per annum rate, expressed as a decimal. For purposes of determining
      a calculation period amount, if positive the spread will be added to the floating
      rate and if negative the spread will be subtracted from the floating rate. A
      positive 10 basis point (0.1%) spread would be represented as 0.001.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CollateralAgreementFloatingRate
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: SpreadSchedule
  capRateSchedule:
    name: capRateSchedule
    description: The cap rate or cap rate schedule, if any, which applies to the floating
      rate. The cap rate (strike) is only required where the floating rate on a swap
      stream is capped at a certain level. A cap rate schedule is expressed as explicit
      cap rates and dates and the step dates may be subject to adjustment in accordance
      with any adjustments specified in calculationPeriodDatesAdjustments. The cap
      rate is assumed to be exclusive of any spread and is a per annum rate, expressed
      as a decimal. A cap rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CollateralAgreementFloatingRate
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: StrikeSchedule
  floorRateSchedule:
    name: floorRateSchedule
    description: The floor rate or floor rate schedule, if any, which applies to the
      floating rate. The floor rate (strike) is only required where the floating rate
      on a swap stream is floored at a certain strike level. A floor rate schedule
      is expressed as explicit floor rates and dates and the step dates may be subject
      to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
      The floor rate is assumed to be exclusive of any spread and is a per annum rate,
      expressed as a decimal. A floor rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CollateralAgreementFloatingRate
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: StrikeSchedule