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Class: FloatingRateCalculationParameters

Defines the structures needed to represent the calculation parameters for daily averaged and compounded modular rates as defined in the 2021 ISDA Definitions in Section 7. This type is used to represent modular computed rates in interestRatePayouts.

URI: common_domain_model:FloatingRateCalculationParameters

 classDiagram
    class FloatingRateCalculationParameters
    click FloatingRateCalculationParameters href "../FloatingRateCalculationParameters/"
      FloatingRateCalculationParameters : applicableBusinessDays





        FloatingRateCalculationParameters --> "0..1" BusinessCenters : applicableBusinessDays
        click BusinessCenters href "../BusinessCenters/"



      FloatingRateCalculationParameters : calculationMethod





        FloatingRateCalculationParameters --> "1" CalculationMethodEnum : calculationMethod
        click CalculationMethodEnum href "../CalculationMethodEnum/"



      FloatingRateCalculationParameters : lockoutCalculation





        FloatingRateCalculationParameters --> "0..1" OffsetCalculation : lockoutCalculation
        click OffsetCalculation href "../OffsetCalculation/"



      FloatingRateCalculationParameters : lookbackCalculation





        FloatingRateCalculationParameters --> "0..1" OffsetCalculation : lookbackCalculation
        click OffsetCalculation href "../OffsetCalculation/"



      FloatingRateCalculationParameters : observationParameters





        FloatingRateCalculationParameters --> "0..1" ObservationParameters : observationParameters
        click ObservationParameters href "../ObservationParameters/"



      FloatingRateCalculationParameters : observationShiftCalculation





        FloatingRateCalculationParameters --> "0..1" ObservationShiftCalculation : observationShiftCalculation
        click ObservationShiftCalculation href "../ObservationShiftCalculation/"

Slots

Name Cardinality and Range Description Inheritance
calculationMethod 1
CalculationMethodEnum		 calculation type (averaging or compounding) direct
observationShiftCalculation 0..1
ObservationShiftCalculation		 any obervation shift parameters if applicable direct
lookbackCalculation 0..1
OffsetCalculation		 any lookback parameters if applicable direct
lockoutCalculation 0..1
OffsetCalculation		 any lockout parameters if applicable direct
applicableBusinessDays 0..1
BusinessCenters		 the business days that are applicable for the calculation direct
observationParameters 0..1
ObservationParameters		 any applicable observation parameters, such as daily caps or floors direct

Usages

used by used in type used
FallbackRateParameters calculationParameters range FloatingRateCalculationParameters
InflationRateSpecification calculationParameters range FloatingRateCalculationParameters
FloatingRate calculationParameters range FloatingRateCalculationParameters
FloatingRateSpecification calculationParameters range FloatingRateCalculationParameters

In Subsets

Comments

  • Rosetta func: EvaluateCalculatedRate — Evaluate a calculated rate as described in the 2021 ISDA Definitions.
  • Rosetta func: GenerateObservationDatesAndWeights — Apply shifts to generate the list of observation dates and weights for each of those date.
  • Rosetta func: DetermineObservationPeriod — Determine any applicable offsets/shifts for the period for observing an index, and then generate the date range to be used for observing the index, based on the calculation period, plus any applicable offsets/shift.
  • Rosetta func: GenerateWeightings — Determine the weighting dates and the corresponding weights to be used for weighting observation.
  • Rosetta func: DetermineWeightingDates — Determine the dates to be used for weighting observation.
  • Rosetta func: ProcessObservations — Apply daily observation parameters to rate observation. These are discussed in the 2021 ISDA Definitions, section 7.2.3 and 7.2.4.

Identifier and Mapping Information

Annotations

property value
rosetta_functions [{"name":"EvaluateCalculatedRate","description":"Evaluate a calculated rate as described in the 2021 ISDA Definitions.","inputs":[{"name":"interestRateIndex","type":"InterestRateIndex","cardinality":"1..1"},{"name":"calculationParameters","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"resetDates","type":"ResetDates","cardinality":"0..1"},{"name":"calculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"priorCalculationPeriod","type":"CalculationPeriodBase","cardinality":"0..1"},{"name":"dayCount","type":"DayCountFractionEnum","cardinality":"1..1"}],"output":{"name":"results","type":"FloatingRateSettingDetails","cardinality":"1..1"}},{"name":"GenerateObservationDatesAndWeights","description":"Apply shifts to generate the list of observation dates and weights for each of those date.","inputs":[{"name":"calculationParams","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"resetDates","type":"ResetDates","cardinality":"0..1"},{"name":"calculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"priorCalculationPeriod","type":"CalculationPeriodBase","cardinality":"0..1"}],"output":{"name":"results","type":"CalculatedRateObservationDatesAndWeights","cardinality":"1..1"}},{"name":"DetermineObservationPeriod","description":"Determine any applicable offsets/shifts for the period for observing an index, and then generate the date range to be used for observing the index, based on the calculation period, plus any applicable offsets/shift.","inputs":[{"name":"adjustedCalculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"calculationParams","type":"FloatingRateCalculationParameters","cardinality":"1..1"}],"output":{"name":"observationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"}},{"name":"GenerateWeightings","description":"Determine the weighting dates and the corresponding weights to be used for weighting observation.","inputs":[{"name":"calculationParams","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"observationDates","type":"date","cardinality":"0.."},{"name":"observationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"adjustedCalculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"lockoutDays","type":"int","cardinality":"1..1"}],"output":{"name":"weights","type":"number","cardinality":"0.."}},{"name":"DetermineWeightingDates","description":"Determine the dates to be used for weighting observation.","inputs":[{"name":"calculationParams","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"observationDates","type":"date","cardinality":"0.."},{"name":"observationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"adjustedCalculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"lockoutDays","type":"int","cardinality":"1..1"}],"output":{"name":"weightingDates","type":"date","cardinality":"0.."}},{"name":"ProcessObservations","description":"Apply daily observation parameters to rate observation. These are discussed in the 2021 ISDA Definitions, section 7.2.3 and 7.2.4.","inputs":[{"name":"calculationParameters","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"rawObservations","type":"number","cardinality":"0.."}],"output":{"name":"processedObservations","type":"number","cardinality":"0.."}}]

Schema Source

Mappings

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

LinkML Source

Direct

name: FloatingRateCalculationParameters
annotations:
  rosetta_functions:
    tag: rosetta_functions
    value: '[{"name":"EvaluateCalculatedRate","description":"Evaluate a calculated
      rate as described in the 2021 ISDA Definitions.","inputs":[{"name":"interestRateIndex","type":"InterestRateIndex","cardinality":"1..1"},{"name":"calculationParameters","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"resetDates","type":"ResetDates","cardinality":"0..1"},{"name":"calculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"priorCalculationPeriod","type":"CalculationPeriodBase","cardinality":"0..1"},{"name":"dayCount","type":"DayCountFractionEnum","cardinality":"1..1"}],"output":{"name":"results","type":"FloatingRateSettingDetails","cardinality":"1..1"}},{"name":"GenerateObservationDatesAndWeights","description":"Apply
      shifts to generate the list of observation dates and weights for each of those
      date.","inputs":[{"name":"calculationParams","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"resetDates","type":"ResetDates","cardinality":"0..1"},{"name":"calculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"priorCalculationPeriod","type":"CalculationPeriodBase","cardinality":"0..1"}],"output":{"name":"results","type":"CalculatedRateObservationDatesAndWeights","cardinality":"1..1"}},{"name":"DetermineObservationPeriod","description":"Determine
      any applicable offsets/shifts for the period for observing an index, and then
      generate the date range to be used for observing the index, based on the calculation
      period, plus any applicable offsets/shift.","inputs":[{"name":"adjustedCalculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"calculationParams","type":"FloatingRateCalculationParameters","cardinality":"1..1"}],"output":{"name":"observationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"}},{"name":"GenerateWeightings","description":"Determine
      the weighting dates and the corresponding weights to be used for weighting observation.","inputs":[{"name":"calculationParams","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"observationDates","type":"date","cardinality":"0..*"},{"name":"observationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"adjustedCalculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"lockoutDays","type":"int","cardinality":"1..1"}],"output":{"name":"weights","type":"number","cardinality":"0..*"}},{"name":"DetermineWeightingDates","description":"Determine
      the dates to be used for weighting observation.","inputs":[{"name":"calculationParams","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"observationDates","type":"date","cardinality":"0..*"},{"name":"observationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"adjustedCalculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"lockoutDays","type":"int","cardinality":"1..1"}],"output":{"name":"weightingDates","type":"date","cardinality":"0..*"}},{"name":"ProcessObservations","description":"Apply
      daily observation parameters to rate observation.  These are discussed in the
      2021 ISDA Definitions, section 7.2.3 and 7.2.4.","inputs":[{"name":"calculationParameters","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"rawObservations","type":"number","cardinality":"0..*"}],"output":{"name":"processedObservations","type":"number","cardinality":"0..*"}}]'
description: Defines the structures needed to represent the calculation parameters
  for daily averaged and compounded modular rates as defined in the 2021 ISDA Definitions
  in Section 7. This type is used to represent modular computed rates in interestRatePayouts.
comments:
- 'Rosetta func: EvaluateCalculatedRate — Evaluate a calculated rate as described
  in the 2021 ISDA Definitions.'
- 'Rosetta func: GenerateObservationDatesAndWeights — Apply shifts to generate the
  list of observation dates and weights for each of those date.'
- 'Rosetta func: DetermineObservationPeriod — Determine any applicable offsets/shifts
  for the period for observing an index, and then generate the date range to be used
  for observing the index, based on the calculation period, plus any applicable offsets/shift.'
- 'Rosetta func: GenerateWeightings — Determine the weighting dates and the corresponding
  weights to be used for weighting observation.'
- 'Rosetta func: DetermineWeightingDates — Determine the dates to be used for weighting
  observation.'
- 'Rosetta func: ProcessObservations — Apply daily observation parameters to rate
  observation.  These are discussed in the 2021 ISDA Definitions, section 7.2.3 and
  7.2.4.'
in_subset:
- cdm_observable_asset_calculatedrate
from_schema: https://w3id.org/lmodel/common-domain-model
slots:
- calculationMethod
- observationShiftCalculation
- lookbackCalculation
- lockoutCalculation
- applicableBusinessDays
- observationParameters
slot_usage:
  calculationMethod:
    name: calculationMethod
    description: calculation type (averaging or compounding).
    range: CalculationMethodEnum

Induced

name: FloatingRateCalculationParameters
annotations:
  rosetta_functions:
    tag: rosetta_functions
    value: '[{"name":"EvaluateCalculatedRate","description":"Evaluate a calculated
      rate as described in the 2021 ISDA Definitions.","inputs":[{"name":"interestRateIndex","type":"InterestRateIndex","cardinality":"1..1"},{"name":"calculationParameters","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"resetDates","type":"ResetDates","cardinality":"0..1"},{"name":"calculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"priorCalculationPeriod","type":"CalculationPeriodBase","cardinality":"0..1"},{"name":"dayCount","type":"DayCountFractionEnum","cardinality":"1..1"}],"output":{"name":"results","type":"FloatingRateSettingDetails","cardinality":"1..1"}},{"name":"GenerateObservationDatesAndWeights","description":"Apply
      shifts to generate the list of observation dates and weights for each of those
      date.","inputs":[{"name":"calculationParams","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"resetDates","type":"ResetDates","cardinality":"0..1"},{"name":"calculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"priorCalculationPeriod","type":"CalculationPeriodBase","cardinality":"0..1"}],"output":{"name":"results","type":"CalculatedRateObservationDatesAndWeights","cardinality":"1..1"}},{"name":"DetermineObservationPeriod","description":"Determine
      any applicable offsets/shifts for the period for observing an index, and then
      generate the date range to be used for observing the index, based on the calculation
      period, plus any applicable offsets/shift.","inputs":[{"name":"adjustedCalculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"calculationParams","type":"FloatingRateCalculationParameters","cardinality":"1..1"}],"output":{"name":"observationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"}},{"name":"GenerateWeightings","description":"Determine
      the weighting dates and the corresponding weights to be used for weighting observation.","inputs":[{"name":"calculationParams","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"observationDates","type":"date","cardinality":"0..*"},{"name":"observationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"adjustedCalculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"lockoutDays","type":"int","cardinality":"1..1"}],"output":{"name":"weights","type":"number","cardinality":"0..*"}},{"name":"DetermineWeightingDates","description":"Determine
      the dates to be used for weighting observation.","inputs":[{"name":"calculationParams","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"observationDates","type":"date","cardinality":"0..*"},{"name":"observationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"adjustedCalculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"lockoutDays","type":"int","cardinality":"1..1"}],"output":{"name":"weightingDates","type":"date","cardinality":"0..*"}},{"name":"ProcessObservations","description":"Apply
      daily observation parameters to rate observation.  These are discussed in the
      2021 ISDA Definitions, section 7.2.3 and 7.2.4.","inputs":[{"name":"calculationParameters","type":"FloatingRateCalculationParameters","cardinality":"1..1"},{"name":"rawObservations","type":"number","cardinality":"0..*"}],"output":{"name":"processedObservations","type":"number","cardinality":"0..*"}}]'
description: Defines the structures needed to represent the calculation parameters
  for daily averaged and compounded modular rates as defined in the 2021 ISDA Definitions
  in Section 7. This type is used to represent modular computed rates in interestRatePayouts.
comments:
- 'Rosetta func: EvaluateCalculatedRate — Evaluate a calculated rate as described
  in the 2021 ISDA Definitions.'
- 'Rosetta func: GenerateObservationDatesAndWeights — Apply shifts to generate the
  list of observation dates and weights for each of those date.'
- 'Rosetta func: DetermineObservationPeriod — Determine any applicable offsets/shifts
  for the period for observing an index, and then generate the date range to be used
  for observing the index, based on the calculation period, plus any applicable offsets/shift.'
- 'Rosetta func: GenerateWeightings — Determine the weighting dates and the corresponding
  weights to be used for weighting observation.'
- 'Rosetta func: DetermineWeightingDates — Determine the dates to be used for weighting
  observation.'
- 'Rosetta func: ProcessObservations — Apply daily observation parameters to rate
  observation.  These are discussed in the 2021 ISDA Definitions, section 7.2.3 and
  7.2.4.'
in_subset:
- cdm_observable_asset_calculatedrate
from_schema: https://w3id.org/lmodel/common-domain-model
slot_usage:
  calculationMethod:
    name: calculationMethod
    description: calculation type (averaging or compounding).
    range: CalculationMethodEnum
attributes:
  calculationMethod:
    name: calculationMethod
    description: calculation type (averaging or compounding).
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:AveragingCalculationMethod.calculationMethod
    rank: 1000
    owner: FloatingRateCalculationParameters
    domain_of:
    - AveragingCalculationMethod
    - FloatingRateCalculationParameters
    - InflationRateSpecification
    range: CalculationMethodEnum
    required: true
  observationShiftCalculation:
    name: observationShiftCalculation
    description: any obervation shift parameters if applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateCalculationParameters
    domain_of:
    - FloatingRateCalculationParameters
    range: ObservationShiftCalculation
  lookbackCalculation:
    name: lookbackCalculation
    description: any lookback  parameters if applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateCalculationParameters
    domain_of:
    - FloatingRateCalculationParameters
    range: OffsetCalculation
  lockoutCalculation:
    name: lockoutCalculation
    description: any lockout  parameters if applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateCalculationParameters
    domain_of:
    - FloatingRateCalculationParameters
    range: OffsetCalculation
  applicableBusinessDays:
    name: applicableBusinessDays
    description: the business days that are applicable for the calculation.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateCalculationParameters
    domain_of:
    - FloatingRateCalculationParameters
    - FloatingRateIndexCalculationDefaults
    range: BusinessCenters
  observationParameters:
    name: observationParameters
    description: ' any applicable observation parameters, such as daily caps or floors.'
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateCalculationParameters
    domain_of:
    - FloatingRateCalculationParameters
    range: ObservationParameters