Class: FloatingRateDefinition

A data defining: parameters associated with a floating rate reset. This data forms: part of the cashflows representation of a stream.

URI: common_domain_model:FloatingRateDefinition

 classDiagram
    class FloatingRateDefinition
    click FloatingRateDefinition href "../FloatingRateDefinition/"
      FloatingRateDefinition : calculatedRate

      FloatingRateDefinition : capRate





        FloatingRateDefinition --> "*" Strike : capRate
        click Strike href "../Strike/"



      FloatingRateDefinition : floatingRateMultiplier

      FloatingRateDefinition : floorRate





        FloatingRateDefinition --> "*" Strike : floorRate
        click Strike href "../Strike/"



      FloatingRateDefinition : rateObservation





        FloatingRateDefinition --> "*" RateObservation : rateObservation
        click RateObservation href "../RateObservation/"



      FloatingRateDefinition : spread

Slots

Name	Cardinality and Range	Description	Inheritance
calculatedRate	0..1 Decimal	The final calculated rate for a calculation period after any required averagi...	direct
rateObservation	* RateObservation	The details of a particular rate observation, including the fixing date and o...	direct
floatingRateMultiplier	0..1 Decimal	A rate multiplier to apply to the floating rate	direct
spread	0..1 Decimal	The ISDA Spread, if any, which applies for the calculation period	direct
capRate	* Strike	The cap rate, if any, which applies to the floating rate for the calculation ...	direct
floorRate	* Strike	The floor rate, if any, which applies to the floating rate for the calculatio...	direct

Usages

used by	used in	type	used
CalculationPeriod	floatingRateDefinition	range	FloatingRateDefinition

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	`{'floatingRateMultiplier': {'required': True}}`	`{'floatingRateMultiplier': {'none_of': [{'equals_string_in': ['1']}]}}`

In Subsets

CdmProductAsset

Comments

Rosetta condition: FloatingRateMultiplier — if floatingRateMultiplier exists then floatingRateMultiplier <> 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:FloatingRateDefinition
native	common_domain_model:FloatingRateDefinition

LinkML Source

Direct

name: FloatingRateDefinition
description: 'A data defining:  parameters associated with a floating rate reset.
  This data forms:  part of the cashflows representation of a stream.'
comments:
- 'Rosetta condition: FloatingRateMultiplier — if floatingRateMultiplier exists then
  floatingRateMultiplier <> 1'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
slots:
- calculatedRate
- rateObservation
- floatingRateMultiplier
- spread
- capRate
- floorRate
slot_usage:
  calculatedRate:
    name: calculatedRate
    description: The final calculated rate for a calculation period after any required
      averaging of rates A calculated rate of 5% would be represented as 0.05.
  spread:
    name: spread
    description: The ISDA Spread, if any, which applies for the calculation period.
      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.
    required: false
rules:
- preconditions:
    slot_conditions:
      floatingRateMultiplier:
        name: floatingRateMultiplier
        required: true
  postconditions:
    slot_conditions:
      floatingRateMultiplier:
        name: floatingRateMultiplier
        none_of:
        - equals_string_in:
          - '1'
  description: FpML specifies that the floatingRateMultiplier should only be included
    if different from 1.

Induced

name: FloatingRateDefinition
description: 'A data defining:  parameters associated with a floating rate reset.
  This data forms:  part of the cashflows representation of a stream.'
comments:
- 'Rosetta condition: FloatingRateMultiplier — if floatingRateMultiplier exists then
  floatingRateMultiplier <> 1'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
slot_usage:
  calculatedRate:
    name: calculatedRate
    description: The final calculated rate for a calculation period after any required
      averaging of rates A calculated rate of 5% would be represented as 0.05.
  spread:
    name: spread
    description: The ISDA Spread, if any, which applies for the calculation period.
      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.
    required: false
attributes:
  calculatedRate:
    name: calculatedRate
    description: The final calculated rate for a calculation period after any required
      averaging of rates A calculated rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model
    close_mappings:
    - fpml_5_10:CalculatedRateDetails.calculatedRate
    rank: 1000
    owner: FloatingRateDefinition
    domain_of:
    - CalculatedRateDetails
    - FloatingRateDefinition
    range: decimal
  rateObservation:
    name: rateObservation
    description: The details of a particular rate observation, including the fixing
      date and observed rate. A list of rate observation elements may be ordered in
      the document by ascending adjusted fixing date. An FpML document containing
      an unordered list of rate observations is still regarded as a conformant document.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateDefinition
    domain_of:
    - FloatingRateDefinition
    range: RateObservation
    multivalued: true
    inlined: true
    inlined_as_list: true
  floatingRateMultiplier:
    name: floatingRateMultiplier
    description: A rate multiplier to apply to the floating rate. The multiplier can
      be a positive or negative decimal. This element should only be included if the
      multiplier is not equal to 1 (one).
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateDefinition
    domain_of:
    - FloatingRateDefinition
    range: decimal
  spread:
    name: spread
    description: The ISDA Spread, if any, which applies for the calculation period.
      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: FloatingRateDefinition
    domain_of:
    - SwapCurveValuation
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    - CommodityPriceReturnTerms
    range: decimal
    required: false
  capRate:
    name: capRate
    description: The cap rate, if any, which applies to the floating rate for the
      calculation period. The cap rate (strike) is only required where the floating
      rate on a swap stream is capped at a certain strike level. 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: FloatingRateDefinition
    domain_of:
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    range: Strike
    multivalued: true
    inlined: true
    inlined_as_list: true
  floorRate:
    name: floorRate
    description: The floor rate, if any, which applies to the floating rate for the
      calculation period. The floor rate (strike) is only required where the floating
      rate on a swap stream is floored at a certain strike level. The floor rate is
      assumed to be exclusive of any spread and is a per annum rate, expressed as
      a decimal. The floor rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateDefinition
    domain_of:
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    range: Strike
    multivalued: true
    inlined: true
    inlined_as_list: true
rules:
- preconditions:
    slot_conditions:
      floatingRateMultiplier:
        name: floatingRateMultiplier
        required: true
  postconditions:
    slot_conditions:
      floatingRateMultiplier:
        name: floatingRateMultiplier
        none_of:
        - equals_string_in:
          - '1'
  description: FpML specifies that the floatingRateMultiplier should only be included
    if different from 1.