Class: CollateralInterestCalculationParameters

Represents parameters for calculating the amount the floating interest calculation, e.g. for a single currency or defaults for all currencies.

URI: common_domain_model:CollateralInterestCalculationParameters

 classDiagram
    class CollateralInterestCalculationParameters
    click CollateralInterestCalculationParameters href "../CollateralInterestCalculationParameters/"
      CollateralInterestCalculationParameters : compoundingBusinessCenter

      CollateralInterestCalculationParameters : compoundingType





        CollateralInterestCalculationParameters --> "0..1" CompoundingTypeEnum : compoundingType
        click CompoundingTypeEnum href "../CompoundingTypeEnum/"



      CollateralInterestCalculationParameters : dayCountFraction





        CollateralInterestCalculationParameters --> "1" DayCountFractionEnum : dayCountFraction
        click DayCountFractionEnum href "../DayCountFractionEnum/"



      CollateralInterestCalculationParameters : fixedRate

      CollateralInterestCalculationParameters : floatingRate





        CollateralInterestCalculationParameters --> "0..1" CollateralAgreementFloatingRate : floatingRate
        click CollateralAgreementFloatingRate href "../CollateralAgreementFloatingRate/"



      CollateralInterestCalculationParameters : inBaseCurrency

      CollateralInterestCalculationParameters : rounding





        CollateralInterestCalculationParameters --> "0..1" Rounding : rounding
        click Rounding href "../Rounding/"



      CollateralInterestCalculationParameters : roundingFrequency





        CollateralInterestCalculationParameters --> "0..1" RoundingFrequencyEnum : roundingFrequency
        click RoundingFrequencyEnum href "../RoundingFrequencyEnum/"



      CollateralInterestCalculationParameters : withholdingTaxRate

Slots

Name	Cardinality and Range	Description	Inheritance
fixedRate	0..1 Decimal	Specifies the applicable fixed rate if used	direct
floatingRate	0..1 CollateralAgreementFloatingRate	Specifies the floating interest rate to be used	direct
inBaseCurrency	1 Boolean	If True, specifies that the interest transfers should be converted to base cu...	direct
compoundingType	0..1 CompoundingTypeEnum	Specifies the type of compounding to be applied (None, Business, Calendar)	direct
compoundingBusinessCenter	* BusinessCenter	Specifies the applicable business centers for compounding	direct
dayCountFraction	1 DayCountFractionEnum	Specifies the day count fraction to use for that currency	direct
rounding	0..1 Rounding	Specifies the rounding rules for settling in that currency	direct
roundingFrequency	0..1 RoundingFrequencyEnum	Specifies when/how often is rounding applied?	direct
withholdingTaxRate	0..1 Decimal	Specifies the withholding tax rate if a withholding tax is applicable	direct

Usages

used by	used in	type	used
CollateralInterestParameters	interestCalculationParameters	range	CollateralInterestCalculationParameters

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	`{'compoundingType': {'equals_string': 'Business'}}`	`{'compoundingBusinessCenter': {'required': True}}`

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	`{'compoundingType': {'none_of': [{'equals_string_in': ['Business']}]}}`	`{'compoundingBusinessCenter': {'required': False}}`

In Subsets

CdmProductCollateral

Comments

Rosetta condition: InterestRate — required choice fixedRate, floatingRate
Rosetta condition: DCF — dayCountFraction = DayCountFractionEnum -> ACT_360 or dayCountFraction = DayCountFractionEnum -> ACT_365_FIXED
Rosetta condition: CompoundingBC1 — if compoundingType = CompoundingTypeEnum -> Business then compoundingBusinessCenter exists
Rosetta condition: CompoundingBC2 — if compoundingType <> CompoundingTypeEnum -> Business then compoundingBusinessCenter is absent

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: CollateralInterestCalculationParameters
description: Represents parameters for calculating the amount the floating interest
  calculation, e.g.  for a single currency or defaults for all currencies.
comments:
- 'Rosetta condition: InterestRate — required choice fixedRate, floatingRate'
- 'Rosetta condition: DCF — dayCountFraction = DayCountFractionEnum -> ACT_360 or
  dayCountFraction = DayCountFractionEnum -> ACT_365_FIXED'
- 'Rosetta condition: CompoundingBC1 — if compoundingType = CompoundingTypeEnum ->
  Business then compoundingBusinessCenter exists'
- 'Rosetta condition: CompoundingBC2 — if compoundingType <> CompoundingTypeEnum ->
  Business then compoundingBusinessCenter is absent'
in_subset:
- cdm_product_collateral
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:CollateralInterestCalculationParameters
slots:
- fixedRate
- floatingRate
- inBaseCurrency
- compoundingType
- compoundingBusinessCenter
- dayCountFraction
- rounding
- roundingFrequency
- withholdingTaxRate
slot_usage:
  fixedRate:
    name: fixedRate
    description: Specifies the applicable fixed rate  if used.
    required: false
  floatingRate:
    name: floatingRate
    description: Specifies the floating interest rate to be used.
    range: CollateralAgreementFloatingRate
    multivalued: false
  dayCountFraction:
    name: dayCountFraction
    description: Specifies the day count fraction to use for that currency.
  rounding:
    name: rounding
    description: Specifies the rounding rules for settling in that currency.
    range: Rounding
rules:
- postconditions:
    exactly_one_of:
    - slot_conditions:
        fixedRate:
          name: fixedRate
          required: true
    - slot_conditions:
        floatingRate:
          name: floatingRate
          required: true
  description: InterestRate
- preconditions:
    slot_conditions:
      compoundingType:
        name: compoundingType
        equals_string: Business
  postconditions:
    slot_conditions:
      compoundingBusinessCenter:
        name: compoundingBusinessCenter
        required: true
  description: CompoundingBC1
- preconditions:
    slot_conditions:
      compoundingType:
        name: compoundingType
        none_of:
        - equals_string_in:
          - Business
  postconditions:
    slot_conditions:
      compoundingBusinessCenter:
        name: compoundingBusinessCenter
        required: false
  description: CompoundingBC2
  comments:
  - 'Rosetta negation: compoundingType <> CompoundingTypeEnum -> Business'

Induced

name: CollateralInterestCalculationParameters
description: Represents parameters for calculating the amount the floating interest
  calculation, e.g.  for a single currency or defaults for all currencies.
comments:
- 'Rosetta condition: InterestRate — required choice fixedRate, floatingRate'
- 'Rosetta condition: DCF — dayCountFraction = DayCountFractionEnum -> ACT_360 or
  dayCountFraction = DayCountFractionEnum -> ACT_365_FIXED'
- 'Rosetta condition: CompoundingBC1 — if compoundingType = CompoundingTypeEnum ->
  Business then compoundingBusinessCenter exists'
- 'Rosetta condition: CompoundingBC2 — if compoundingType <> CompoundingTypeEnum ->
  Business then compoundingBusinessCenter is absent'
in_subset:
- cdm_product_collateral
from_schema: https://w3id.org/lmodel/common-domain-model
close_mappings:
- fpml_5_10:CollateralInterestCalculationParameters
slot_usage:
  fixedRate:
    name: fixedRate
    description: Specifies the applicable fixed rate  if used.
    required: false
  floatingRate:
    name: floatingRate
    description: Specifies the floating interest rate to be used.
    range: CollateralAgreementFloatingRate
    multivalued: false
  dayCountFraction:
    name: dayCountFraction
    description: Specifies the day count fraction to use for that currency.
  rounding:
    name: rounding
    description: Specifies the rounding rules for settling in that currency.
    range: Rounding
attributes:
  fixedRate:
    name: fixedRate
    description: Specifies the applicable fixed rate  if used.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CollateralInterestCalculationParameters
    domain_of:
    - FixedAmountCalculationDetails
    - CalculationPeriod
    - CollateralInterestCalculationParameters
    range: decimal
    required: false
  floatingRate:
    name: floatingRate
    description: Specifies the floating interest rate to be used.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CollateralInterestCalculationParameters
    domain_of:
    - StubValue
    - FloatingAmountCalculationDetails
    - FloatingRateSettingDetails
    - CollateralInterestCalculationParameters
    range: CollateralAgreementFloatingRate
    multivalued: false
    inlined: true
    inlined_as_list: true
  inBaseCurrency:
    name: inBaseCurrency
    description: If True, specifies that the interest transfers should be converted
      to base currency equivalent, or if False specifies that the transfer should
      be in the currency of the collateral.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CollateralInterestCalculationParameters.inBaseCurrency
    rank: 1000
    owner: CollateralInterestCalculationParameters
    domain_of:
    - CollateralInterestCalculationParameters
    range: boolean
    required: true
  compoundingType:
    name: compoundingType
    description: Specifies the type of compounding to be applied (None, Business,
      Calendar).
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CollateralInterestCalculationParameters.compoundingType
    rank: 1000
    owner: CollateralInterestCalculationParameters
    domain_of:
    - CollateralInterestCalculationParameters
    range: CompoundingTypeEnum
  compoundingBusinessCenter:
    name: compoundingBusinessCenter
    description: Specifies the applicable business centers for compounding.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CollateralInterestCalculationParameters.compoundingBusinessCenter
    rank: 1000
    owner: CollateralInterestCalculationParameters
    domain_of:
    - CollateralInterestCalculationParameters
    range: BusinessCenter
    multivalued: true
    inlined: true
    inlined_as_list: true
  dayCountFraction:
    name: dayCountFraction
    description: Specifies the day count fraction to use for that currency.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AccrualFactorCalculationTerms.dayCountFraction
    rank: 1000
    owner: CollateralInterestCalculationParameters
    domain_of:
    - AccrualFactorCalculationTerms
    - FloatingRateIndexCalculationDefaults
    - InterestRatePayout
    - CollateralInterestCalculationParameters
    range: DayCountFractionEnum
    required: true
  rounding:
    name: rounding
    description: Specifies the rounding rules for settling in that currency.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CollateralInterestCalculationParameters
    domain_of:
    - RelativeTimeOffset
    - CreditSupportObligationsLegacy
    - CreditSupportObligationsInitialMargin
    - CreditSupportObligationsCollateralTransferAgreement
    - CreditSupportObligationsVariationMargin
    - FloatingRateProcessingParameters
    - CollateralInterestCalculationParameters
    - CommodityPriceReturnTerms
    range: Rounding
  roundingFrequency:
    name: roundingFrequency
    description: Specifies when/how often is rounding applied?
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CollateralInterestCalculationParameters.roundingFrequency
    rank: 1000
    owner: CollateralInterestCalculationParameters
    domain_of:
    - CollateralInterestCalculationParameters
    range: RoundingFrequencyEnum
  withholdingTaxRate:
    name: withholdingTaxRate
    description: Specifies the withholding tax rate if a withholding tax is applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CollateralInterestCalculationParameters.withholdingTaxRate
    rank: 1000
    owner: CollateralInterestCalculationParameters
    domain_of:
    - CollateralInterestCalculationParameters
    range: decimal
rules:
- postconditions:
    exactly_one_of:
    - slot_conditions:
        fixedRate:
          name: fixedRate
          required: true
    - slot_conditions:
        floatingRate:
          name: floatingRate
          required: true
  description: InterestRate
- preconditions:
    slot_conditions:
      compoundingType:
        name: compoundingType
        equals_string: Business
  postconditions:
    slot_conditions:
      compoundingBusinessCenter:
        name: compoundingBusinessCenter
        required: true
  description: CompoundingBC1
- preconditions:
    slot_conditions:
      compoundingType:
        name: compoundingType
        none_of:
        - equals_string_in:
          - Business
  postconditions:
    slot_conditions:
      compoundingBusinessCenter:
        name: compoundingBusinessCenter
        required: false
  description: CompoundingBC2
  comments:
  - 'Rosetta negation: compoundingType <> CompoundingTypeEnum -> Business'