Class: FloatingRateProcessingDetails

name: FloatingRateProcessingDetails
annotations:
  rosetta_functions:
    tag: rosetta_functions
    value: '[{"name":"ApplyFloatingRateProcessing","description":"Perform rate treatments
      on floating rates, such as applying spreads, multipliers, caps and floors, rounding,
      and negative interest treatment. TODO: initialRate needs to be supported.  Also,
      to support compounding methods, it may be necessary to split the before spread
      and after spread values and return both, so that cashflows can be computed both
      ways. This may require this function to be redesigned or split into pieces (e.g.
      factor out the post-spread processing).  Rate treatments are described in Section
      6 of the 2021 ISDA Definitions.  Negative treatment does not correctly support
      the case where compounded periods are applicable and will need to be enhanced
      for that case when compounding calculations are developed.","inputs":[{"name":"processing","type":"FloatingRateProcessingParameters","cardinality":"1..1"},{"name":"rawRate","type":"number","cardinality":"1..1"},{"name":"calculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"isInitialPeriod","type":"boolean","cardinality":"1..1"}],"output":{"name":"details","type":"FloatingRateProcessingDetails","cardinality":"1..1"}}]'
description: Type for reporting the details of the rate treatment.  This could potentially
  be replaced by the existing FloatingRateDefinition type , but this is slightly more
  detailed.
comments:
- 'Rosetta func: ApplyFloatingRateProcessing — Perform rate treatments on floating
  rates, such as applying spreads, multipliers, caps and floors, rounding, and negative
  interest treatment. TODO: initialRate needs to be supported.  Also, to support compounding
  methods, it may be necessary to split the before spread and after spread values
  and return both, so that cashflows can be computed both ways. This may require this
  function to be redesigned or split into pieces (e.g. factor out the post-spread
  processing).  Rate treatments are described in Section 6 of the 2021 ISDA Definitions.  Negative
  treatment does not correctly support the case where compounded periods are applicable
  and will need to be enhanced for that case when compounding calculations are developed.'
in_subset:
- cdm_product_asset_floatingrate
from_schema: https://w3id.org/lmodel/common-domain-model
slots:
- rawRate
- processingParameters
- processedRate
- spreadExclusiveRate

name: FloatingRateProcessingDetails
annotations:
  rosetta_functions:
    tag: rosetta_functions
    value: '[{"name":"ApplyFloatingRateProcessing","description":"Perform rate treatments
      on floating rates, such as applying spreads, multipliers, caps and floors, rounding,
      and negative interest treatment. TODO: initialRate needs to be supported.  Also,
      to support compounding methods, it may be necessary to split the before spread
      and after spread values and return both, so that cashflows can be computed both
      ways. This may require this function to be redesigned or split into pieces (e.g.
      factor out the post-spread processing).  Rate treatments are described in Section
      6 of the 2021 ISDA Definitions.  Negative treatment does not correctly support
      the case where compounded periods are applicable and will need to be enhanced
      for that case when compounding calculations are developed.","inputs":[{"name":"processing","type":"FloatingRateProcessingParameters","cardinality":"1..1"},{"name":"rawRate","type":"number","cardinality":"1..1"},{"name":"calculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"isInitialPeriod","type":"boolean","cardinality":"1..1"}],"output":{"name":"details","type":"FloatingRateProcessingDetails","cardinality":"1..1"}}]'
description: Type for reporting the details of the rate treatment.  This could potentially
  be replaced by the existing FloatingRateDefinition type , but this is slightly more
  detailed.
comments:
- 'Rosetta func: ApplyFloatingRateProcessing — Perform rate treatments on floating
  rates, such as applying spreads, multipliers, caps and floors, rounding, and negative
  interest treatment. TODO: initialRate needs to be supported.  Also, to support compounding
  methods, it may be necessary to split the before spread and after spread values
  and return both, so that cashflows can be computed both ways. This may require this
  function to be redesigned or split into pieces (e.g. factor out the post-spread
  processing).  Rate treatments are described in Section 6 of the 2021 ISDA Definitions.  Negative
  treatment does not correctly support the case where compounded periods are applicable
  and will need to be enhanced for that case when compounding calculations are developed.'
in_subset:
- cdm_product_asset_floatingrate
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  rawRate:
    name: rawRate
    description: The raw or untreated rate, prior to any of the rate treatments.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateProcessingDetails
    domain_of:
    - FloatingRateProcessingDetails
    range: decimal
    required: true
  processingParameters:
    name: processingParameters
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateProcessingDetails
    domain_of:
    - FloatingRateProcessingDetails
    range: FloatingRateProcessingParameters
  processedRate:
    name: processedRate
    description: The value of the rate after processing.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateProcessingDetails
    domain_of:
    - FloatingRateProcessingDetails
    range: decimal
    required: true
  spreadExclusiveRate:
    name: spreadExclusiveRate
    description: The value of the processed rate without the spread applied, for subsequent
      compounding, etc.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateProcessingDetails
    domain_of:
    - FloatingRateProcessingDetails
    range: decimal
    required: true