Class: CorrelationReturnTerms

URI: common_domain_model:CorrelationReturnTerms

 classDiagram
    class CorrelationReturnTerms
    click CorrelationReturnTerms href "../CorrelationReturnTerms/"
      ReturnTermsBase <|-- CorrelationReturnTerms
        click ReturnTermsBase href "../ReturnTermsBase/"

      CorrelationReturnTerms : annualizationFactor

      CorrelationReturnTerms : boundedCorrelation





        CorrelationReturnTerms --> "0..1" NumberRange : boundedCorrelation
        click NumberRange href "../NumberRange/"



      CorrelationReturnTerms : correlationStrikePrice





        CorrelationReturnTerms --> "1" Price : correlationStrikePrice
        click Price href "../Price/"



      CorrelationReturnTerms : dividendApplicability





        CorrelationReturnTerms --> "0..1" DividendApplicability : dividendApplicability
        click DividendApplicability href "../DividendApplicability/"



      CorrelationReturnTerms : equityUnderlierProvisions





        CorrelationReturnTerms --> "0..1" EquityUnderlierProvisions : equityUnderlierProvisions
        click EquityUnderlierProvisions href "../EquityUnderlierProvisions/"



      CorrelationReturnTerms : expectedN

      CorrelationReturnTerms : initialLevel

      CorrelationReturnTerms : initialLevelSource





        CorrelationReturnTerms --> "0..1" DeterminationMethodEnum : initialLevelSource
        click DeterminationMethodEnum href "../DeterminationMethodEnum/"



      CorrelationReturnTerms : meanAdjustment

      CorrelationReturnTerms : numberOfDataSeries

      CorrelationReturnTerms : performance

      CorrelationReturnTerms : sharePriceDividendAdjustment

      CorrelationReturnTerms : valuationTerms





        CorrelationReturnTerms --> "1" ValuationTerms : valuationTerms
        click ValuationTerms href "../ValuationTerms/"

Inheritance

ReturnTermsBase
- CorrelationReturnTerms

Slots

Name	Cardinality and Range	Description	Inheritance
correlationStrikePrice	1 Price	Correlation Strike Price in accordance with the ISDA 2011 Equity Derivatives ...	direct
boundedCorrelation	0..1 NumberRange	Describes correlation bounds, which form a cap and a floor on the realized co...	direct
numberOfDataSeries	0..1 Integer	Number of data series, normal market practice is that correlation data sets a...	direct
valuationTerms	1 ValuationTerms	Contains all non-date valuation information	ReturnTermsBase
annualizationFactor	0..1 Integer	This specifies the numerator of an annualization factor	ReturnTermsBase
dividendApplicability	0..1 DividendApplicability	The parameters which define whether dividends are applicable	ReturnTermsBase
equityUnderlierProvisions	0..1 EquityUnderlierProvisions	Contains Equity Underlyer provisions regarding jurisdiction and fallbacks	ReturnTermsBase
sharePriceDividendAdjustment	0..1 Boolean	Indicates whether the price of shares is adjusted for dividends or not	ReturnTermsBase
expectedN	1 Integer	Expected number of trading days	ReturnTermsBase
initialLevel	0..1 Decimal	Contract will strike off this initial level	ReturnTermsBase
initialLevelSource	0..1 DeterminationMethodEnum	In this context, this is AgreedInitialPrice - a specified Initial Index Level	ReturnTermsBase
meanAdjustment	0..1 Boolean	Specifies whether Mean Adjustment is applicable or not in the calculation of ...	ReturnTermsBase
performance	0..1 string	Performance calculation, in accordance with Part 1 Section 12 of the 2018 ISD...	ReturnTermsBase

Usages

used by	used in	type	used
ReturnTerms	correlationReturnTerms	range	CorrelationReturnTerms
PortfolioReturnTerms	correlationReturnTerms	range	CorrelationReturnTerms

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	`{'numberOfDataSeries': {'required': True}}`	`{'numberOfDataSeries': {'comments': ['Rosetta: strictly greater than'], 'minimum_value': 0}}`

In Subsets

CdmProductAsset

Comments

Rosetta condition: PositiveNumberOfDataSeries — if numberOfDataSeries exists then numberOfDataSeries > 0
Rosetta condition: CorrelationValue — correlationStrikePrice -> value > -1 and correlationStrikePrice -> value < 1

Identifier and Mapping Information

Schema Source

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

Mappings

Mapping Type	Mapped Value
self	common_domain_model:CorrelationReturnTerms
native	common_domain_model:CorrelationReturnTerms

LinkML Source

Direct

name: CorrelationReturnTerms
comments:
- 'Rosetta condition: PositiveNumberOfDataSeries — if numberOfDataSeries exists then
  numberOfDataSeries > 0'
- 'Rosetta condition: CorrelationValue — correlationStrikePrice -> value > -1 and
  correlationStrikePrice -> value < 1'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTermsBase
slots:
- correlationStrikePrice
- boundedCorrelation
- numberOfDataSeries
rules:
- preconditions:
    slot_conditions:
      numberOfDataSeries:
        name: numberOfDataSeries
        required: true
  postconditions:
    slot_conditions:
      numberOfDataSeries:
        name: numberOfDataSeries
        comments:
        - 'Rosetta: strictly greater than'
        minimum_value: 0
  description: The number of data series must be positive

Induced

name: CorrelationReturnTerms
comments:
- 'Rosetta condition: PositiveNumberOfDataSeries — if numberOfDataSeries exists then
  numberOfDataSeries > 0'
- 'Rosetta condition: CorrelationValue — correlationStrikePrice -> value > -1 and
  correlationStrikePrice -> value < 1'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTermsBase
attributes:
  correlationStrikePrice:
    name: correlationStrikePrice
    description: Correlation Strike Price in accordance with the ISDA 2011 Equity
      Derivatives Definitions.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - CorrelationReturnTerms
    range: Price
    required: true
  boundedCorrelation:
    name: boundedCorrelation
    description: Describes correlation bounds, which form a cap and a floor on the
      realized correlation.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - CorrelationReturnTerms
    range: NumberRange
  numberOfDataSeries:
    name: numberOfDataSeries
    description: Number of data series, normal market practice is that correlation
      data sets are drawn from geographic market areas, such as America, Europe and
      Asia Pacific, each of these geographic areas will have its own data series to
      avoid contagion.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - CorrelationReturnTerms
    range: integer
  valuationTerms:
    name: valuationTerms
    description: Contains all non-date valuation information.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - ReturnTermsBase
    range: ValuationTerms
    required: true
  annualizationFactor:
    name: annualizationFactor
    description: This specifies the numerator of an annualization factor. Frequently
      this number is equal to the number of observations of prices in a year e.g.
      252.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - ReturnTermsBase
    range: integer
  dividendApplicability:
    name: dividendApplicability
    description: The parameters which define whether dividends are applicable
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - ReturnTermsBase
    range: DividendApplicability
  equityUnderlierProvisions:
    name: equityUnderlierProvisions
    description: Contains Equity Underlyer provisions regarding jurisdiction and fallbacks.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - ReturnTermsBase
    range: EquityUnderlierProvisions
  sharePriceDividendAdjustment:
    name: sharePriceDividendAdjustment
    description: Indicates whether the price of shares is adjusted for dividends or
      not.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - ReturnTermsBase
    range: boolean
  expectedN:
    name: expectedN
    description: Expected number of trading days.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - ReturnTermsBase
    range: integer
    required: true
  initialLevel:
    name: initialLevel
    description: Contract will strike off this initial level. Providing just the initialLevel
      without initialLevelSource, infers that this is AgreedInitialPrice - a specified
      Initial Index Level.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - ReturnTermsBase
    range: decimal
  initialLevelSource:
    name: initialLevelSource
    description: In this context, this is AgreedInitialPrice - a specified Initial
      Index Level.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - ReturnTermsBase
    range: DeterminationMethodEnum
  meanAdjustment:
    name: meanAdjustment
    description: Specifies whether Mean Adjustment is applicable or not in the calculation
      of the Realized Volatility, Variance or Correlation
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - ReturnTermsBase
    range: boolean
  performance:
    name: performance
    description: Performance calculation, in accordance with Part 1 Section 12 of
      the 2018 ISDA CDM Equity Confirmation for Security Equity Swap, Para 75. 'Equity
      Performance'. Cumulative performance is used as a notional multiplier factor
      on both legs of an Equity Swap.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - DividendReturnTerms
    - PriceReturnTerms
    - ReturnTermsBase
    range: string
rules:
- preconditions:
    slot_conditions:
      numberOfDataSeries:
        name: numberOfDataSeries
        required: true
  postconditions:
    slot_conditions:
      numberOfDataSeries:
        name: numberOfDataSeries
        comments:
        - 'Rosetta: strictly greater than'
        minimum_value: 0
  description: The number of data series must be positive