Skip to content

Class: FloatingRateBase

A class defining a floating interest rate through the specification of the floating rate index, the tenor, the multiplier schedule, the spread, the qualification of whether a specific rate treatment and/or a cap or floor apply.

URI: common_domain_model:FloatingRateBase

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

      FloatingRateBase : capRateSchedule





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



      FloatingRateBase : floorRateSchedule





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



      FloatingRateBase : rateOption





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



      FloatingRateBase : spreadSchedule





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

Inheritance

Slots

Name Cardinality and Range Description Inheritance
rateOption 0..1
InterestRateIndex or 
FloatingRateIndex or 
InflationIndex		 direct
spreadSchedule 0..1
SpreadSchedule		 The ISDA Spread or a Spread schedule expressed as explicit spreads and dates direct
capRateSchedule 0..1
StrikeSchedule		 The cap rate or cap rate schedule, if any, which applies to the floating rate direct
floorRateSchedule 0..1
StrikeSchedule		 The floor rate or floor rate schedule, if any, which applies to the floating ... direct

In Subsets

Identifier and Mapping Information

Annotations

property value
metadata_key True

Schema Source

Mappings

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

LinkML Source

Direct

name: FloatingRateBase
annotations:
  metadata_key:
    tag: metadata_key
    value: true
description: A class defining a floating interest rate through the specification of
  the floating rate index, the tenor, the multiplier schedule, the spread, the qualification
  of whether a specific rate treatment and/or a cap or floor apply.
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
slots:
- rateOption
- spreadSchedule
- capRateSchedule
- floorRateSchedule

Induced

name: FloatingRateBase
annotations:
  metadata_key:
    tag: metadata_key
    value: true
description: A class defining a floating interest rate through the specification of
  the floating rate index, the tenor, the multiplier schedule, the spread, the qualification
  of whether a specific rate treatment and/or a cap or floor apply.
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  rateOption:
    name: rateOption
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateBase
    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: FloatingRateBase
    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: FloatingRateBase
    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: FloatingRateBase
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: StrikeSchedule