Class: CreditIndex

Specification of an index based on credit risk, typically composed using corporate debt instruments in a region or industry sector, e.g. the iTraxx indices.

URI: common_domain_model:CreditIndex

 classDiagram
    class CreditIndex
    click CreditIndex href "../CreditIndex/"
      IndexBase <|-- CreditIndex
        click IndexBase href "../IndexBase/"

      CreditIndex : assetClass





        CreditIndex --> "0..1" AssetClassEnum : assetClass
        click AssetClassEnum href "../AssetClassEnum/"



      CreditIndex : assetType





        CreditIndex --> "1" AssetTypeEnum : assetType
        click AssetTypeEnum href "../AssetTypeEnum/"



      CreditIndex : exchange





        CreditIndex --> "0..1" LegalEntity : exchange
        click LegalEntity href "../LegalEntity/"



      CreditIndex : excludedReferenceEntity





        CreditIndex --> "*" ReferenceInformation : excludedReferenceEntity
        click ReferenceInformation href "../ReferenceInformation/"



      CreditIndex : identifier





        CreditIndex --> "1..*" AssetIdentifier : identifier
        click AssetIdentifier href "../AssetIdentifier/"



      CreditIndex : indexAnnexDate

      CreditIndex : indexAnnexSource





        CreditIndex --> "0..1" IndexAnnexSourceEnum : indexAnnexSource
        click IndexAnnexSourceEnum href "../IndexAnnexSourceEnum/"



      CreditIndex : indexAnnexVersion

      CreditIndex : indexFactor

      CreditIndex : indexSeries

      CreditIndex : isExchangeListed

      CreditIndex : name

      CreditIndex : provider





        CreditIndex --> "0..1" LegalEntity : provider
        click LegalEntity href "../LegalEntity/"



      CreditIndex : relatedExchange





        CreditIndex --> "*" LegalEntity : relatedExchange
        click LegalEntity href "../LegalEntity/"



      CreditIndex : seniority





        CreditIndex --> "0..1" CreditSeniorityEnum : seniority
        click CreditSeniorityEnum href "../CreditSeniorityEnum/"



      CreditIndex : settledEntityMatrix





        CreditIndex --> "0..1" SettledEntityMatrix : settledEntityMatrix
        click SettledEntityMatrix href "../SettledEntityMatrix/"



      CreditIndex : taxonomy





        CreditIndex --> "*" Taxonomy : taxonomy
        click Taxonomy href "../Taxonomy/"



      CreditIndex : tranche





        CreditIndex --> "0..1" Tranche : tranche
        click Tranche href "../Tranche/"

Inheritance

AssetBase
- IndexBase
  - CreditIndex

Slots

Name	Cardinality and Range	Description	Inheritance
indexSeries	0..1 Integer	A CDS index series identifier, e	direct
indexAnnexVersion	0..1 Integer	A CDS index series version identifier, e	direct
indexAnnexDate	0..1 date	A CDS index series annex date	direct
indexAnnexSource	0..1 IndexAnnexSourceEnum	A CDS index series annex source	direct
excludedReferenceEntity	* ReferenceInformation	Excluded reference entity	direct
tranche	0..1 Tranche	This element contains CDS tranche terms	direct
settledEntityMatrix	0..1 SettledEntityMatrix	Used to specify the Relevant Settled Entity Matrix when there are settled ent...	direct
indexFactor	0..1 Decimal	Index Factor is the index version factor or percent, expressed as an absolute...	direct
seniority	0..1 CreditSeniorityEnum	Seniority of debt instruments comprising the index	direct
name	0..1 string	A description of the Index	IndexBase
provider	0..1 LegalEntity	The organisation that creates or maintains the Index	IndexBase
assetClass	0..1 AssetClassEnum	The Asset Class of the Index	IndexBase
identifier	1..* AssetIdentifier	Asset Identifiers are used to uniquely identify an Asset, using a specified A...	AssetBase
taxonomy	* Taxonomy	Defines the taxonomy of an object by combining a taxonomy source (i	AssetBase
isExchangeListed	0..1 Boolean	Defines whether the Asset is listed on a public exchange	AssetBase
exchange	0..1 LegalEntity	If the Asset is listed, defines the public exchange of the listing	AssetBase
relatedExchange	* LegalEntity	Provides the related Exchanges, if applicable	AssetBase
assetType	1 AssetTypeEnum	Specifies the type of asset	AssetBase

Usages

used by	used in	type	used
GeneralTerms	indexReferenceInformation	range	CreditIndex

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	`{'indexSeries': {'required': True}}`	`{'indexSeries': {'minimum_value': 0}}`

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	`{'indexAnnexVersion': {'required': True}}`	`{'indexAnnexVersion': {'minimum_value': 0}}`

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	`{'indexFactor': {'required': True}}`	`{'indexFactor': {'minimum_value': 0, 'maximum_value': 1}}`

In Subsets

CdmObservableAsset

Comments

Rosetta condition: IndexSeries — if indexSeries exists then indexSeries >= 0
Rosetta condition: IndexAnnexVersion — if indexAnnexVersion exists then indexAnnexVersion >= 0
Rosetta condition: IndexFactor — if indexFactor exists then indexFactor >= 0 and indexFactor <= 1
Rosetta condition: CreditAssetClass — assetClass = AssetClassEnum -> Credit

Identifier and Mapping Information

Annotations

property	value
metadata_key	True

Schema Source

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

Mappings

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

LinkML Source

Direct

name: CreditIndex
annotations:
  metadata_key:
    tag: metadata_key
    value: true
description: Specification of an index based on credit risk, typically composed using
  corporate debt instruments in a region or industry sector, e.g. the iTraxx indices.
comments:
- 'Rosetta condition: IndexSeries — if indexSeries exists then indexSeries >= 0'
- 'Rosetta condition: IndexAnnexVersion — if indexAnnexVersion exists then indexAnnexVersion
  >= 0'
- 'Rosetta condition: IndexFactor — if indexFactor exists then indexFactor >= 0 and
  indexFactor <= 1'
- 'Rosetta condition: CreditAssetClass — assetClass = AssetClassEnum -> Credit'
in_subset:
- cdm_observable_asset
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: IndexBase
slots:
- indexSeries
- indexAnnexVersion
- indexAnnexDate
- indexAnnexSource
- excludedReferenceEntity
- tranche
- settledEntityMatrix
- indexFactor
- seniority
slot_usage:
  tranche:
    name: tranche
    description: This element contains CDS tranche terms.
    range: Tranche
  seniority:
    name: seniority
    description: Seniority of debt instruments comprising the index.
    range: CreditSeniorityEnum
rules:
- preconditions:
    slot_conditions:
      indexSeries:
        name: indexSeries
        required: true
  postconditions:
    slot_conditions:
      indexSeries:
        name: indexSeries
        minimum_value: 0
  description: FpML specifies the type associated to indexSeries as a positive integer.
- preconditions:
    slot_conditions:
      indexAnnexVersion:
        name: indexAnnexVersion
        required: true
  postconditions:
    slot_conditions:
      indexAnnexVersion:
        name: indexAnnexVersion
        minimum_value: 0
  description: FpML specifies the type associated to indexVersion as a positive integer.
- preconditions:
    slot_conditions:
      indexFactor:
        name: indexFactor
        required: true
  postconditions:
    slot_conditions:
      indexFactor:
        name: indexFactor
        minimum_value: 0
        maximum_value: 1
  description: Index factor is expressed as a decimal and should be a positive number
    between o and 1.

Induced

name: CreditIndex
annotations:
  metadata_key:
    tag: metadata_key
    value: true
description: Specification of an index based on credit risk, typically composed using
  corporate debt instruments in a region or industry sector, e.g. the iTraxx indices.
comments:
- 'Rosetta condition: IndexSeries — if indexSeries exists then indexSeries >= 0'
- 'Rosetta condition: IndexAnnexVersion — if indexAnnexVersion exists then indexAnnexVersion
  >= 0'
- 'Rosetta condition: IndexFactor — if indexFactor exists then indexFactor >= 0 and
  indexFactor <= 1'
- 'Rosetta condition: CreditAssetClass — assetClass = AssetClassEnum -> Credit'
in_subset:
- cdm_observable_asset
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: IndexBase
slot_usage:
  tranche:
    name: tranche
    description: This element contains CDS tranche terms.
    range: Tranche
  seniority:
    name: seniority
    description: Seniority of debt instruments comprising the index.
    range: CreditSeniorityEnum
attributes:
  indexSeries:
    name: indexSeries
    description: A CDS index series identifier, e.g. 1, 2, 3 etc.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditIndex
    domain_of:
    - CreditIndex
    range: integer
  indexAnnexVersion:
    name: indexAnnexVersion
    description: A CDS index series version identifier, e.g. 1, 2, 3 etc.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditIndex
    domain_of:
    - CreditIndex
    range: integer
  indexAnnexDate:
    name: indexAnnexDate
    description: A CDS index series annex date.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditIndex
    domain_of:
    - CreditIndex
    range: date
  indexAnnexSource:
    name: indexAnnexSource
    annotations:
      metadata_scheme:
        tag: metadata_scheme
        value: true
    description: A CDS index series annex source.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditIndex
    domain_of:
    - CreditIndex
    range: IndexAnnexSourceEnum
  excludedReferenceEntity:
    name: excludedReferenceEntity
    description: Excluded reference entity.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditIndex
    domain_of:
    - CreditIndex
    range: ReferenceInformation
    multivalued: true
    inlined: true
    inlined_as_list: true
  tranche:
    name: tranche
    annotations:
      metadata_scheme:
        tag: metadata_scheme
        value: true
    description: This element contains CDS tranche terms.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditIndex
    domain_of:
    - Loan
    - CreditIndex
    - BasketReferenceInformation
    range: Tranche
  settledEntityMatrix:
    name: settledEntityMatrix
    description: Used to specify the Relevant Settled Entity Matrix when there are
      settled entities at the time of the trade.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditIndex
    domain_of:
    - CreditIndex
    range: SettledEntityMatrix
  indexFactor:
    name: indexFactor
    description: Index Factor is the index version factor or percent, expressed as
      an absolute decimal value between 0 and 1, that multiplied by the original notional
      amount yields the notional amount covered by the seller of protection.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditIndex
    domain_of:
    - CreditIndex
    range: decimal
  seniority:
    name: seniority
    description: Seniority of debt instruments comprising the index.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditIndex
    domain_of:
    - DebtEconomics
    - CreditIndex
    range: CreditSeniorityEnum
  name:
    name: name
    annotations:
      metadata_scheme:
        tag: metadata_scheme
        value: true
    description: A description of the Index.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditIndex
    domain_of:
    - TaxonomyValue
    - BusinessUnit
    - LegalEntity
    - Party
    - Resource
    - AdditionalTerminationEvent
    - CSAThresholdVariableSet
    - CSAMinimumTransferAmountVariableSet
    - MasterAgreementClause
    - MasterAgreementClauseVariant
    - MasterAgreementVariableSet
    - IndexBase
    range: string
  provider:
    name: provider
    description: The organisation that creates or maintains the Index.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditIndex
    domain_of:
    - IndexBase
    range: LegalEntity
  assetClass:
    name: assetClass
    description: The Asset Class of the Index.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: CreditIndex
    domain_of:
    - StandardizedSchedule
    - StandardizedScheduleTradeInfo
    - IndexBase
    range: AssetClassEnum
    required: false
  identifier:
    name: identifier
    description: Asset Identifiers are used to uniquely identify an Asset, using a
      specified Asset Identifier Type.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AssetBase.identifier
    rank: 1000
    owner: CreditIndex
    domain_of:
    - AssetBase
    - AssetIdentifier
    - ProductIdentifier
    - AssignedIdentifier
    - BusinessUnit
    - PartyIdentifier
    - EntityIdentifier
    - PersonIdentifier
    - TransferBase
    - OtherAgreement
    - LegalAgreementBase
    - NonLegalEntity
    - MasterAgreementClauseVariant
    - Clause
    - ContractualDefinition
    - FloatingRateIndexMap
    - EligibleCollateralSpecification
    - NonTransferableProduct
    range: AssetIdentifier
    required: true
    multivalued: true
  taxonomy:
    name: taxonomy
    description: Defines the taxonomy of an object by combining a taxonomy source
      (i.e. the rules to classify the object) and a value (i.e. the output of those
      rules on the object.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AssetBase.taxonomy
    rank: 1000
    owner: CreditIndex
    domain_of:
    - AssetBase
    - NonTransferableProduct
    range: Taxonomy
    multivalued: true
    inlined: true
    inlined_as_list: true
  isExchangeListed:
    name: isExchangeListed
    description: Defines whether the Asset is listed on a public exchange.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AssetBase.isExchangeListed
    rank: 1000
    owner: CreditIndex
    domain_of:
    - AssetBase
    range: boolean
  exchange:
    name: exchange
    description: If the Asset is listed, defines the public exchange of the listing.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AssetBase.exchange
    rank: 1000
    owner: CreditIndex
    domain_of:
    - AssetBase
    - ListingExchange
    range: LegalEntity
  relatedExchange:
    name: relatedExchange
    description: Provides the related Exchanges, if applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AssetBase.relatedExchange
    rank: 1000
    owner: CreditIndex
    domain_of:
    - AssetBase
    range: LegalEntity
    multivalued: true
    inlined: true
    inlined_as_list: true
  assetType:
    name: assetType
    description: Specifies the type of asset.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AssetBase.assetType
    rank: 1000
    owner: CreditIndex
    domain_of:
    - AssetBase
    - AssetType
    range: AssetTypeEnum
    required: true
rules:
- preconditions:
    slot_conditions:
      indexSeries:
        name: indexSeries
        required: true
  postconditions:
    slot_conditions:
      indexSeries:
        name: indexSeries
        minimum_value: 0
  description: FpML specifies the type associated to indexSeries as a positive integer.
- preconditions:
    slot_conditions:
      indexAnnexVersion:
        name: indexAnnexVersion
        required: true
  postconditions:
    slot_conditions:
      indexAnnexVersion:
        name: indexAnnexVersion
        minimum_value: 0
  description: FpML specifies the type associated to indexVersion as a positive integer.
- preconditions:
    slot_conditions:
      indexFactor:
        name: indexFactor
        required: true
  postconditions:
    slot_conditions:
      indexFactor:
        name: indexFactor
        minimum_value: 0
        maximum_value: 1
  description: Index factor is expressed as a decimal and should be a positive number
    between o and 1.