Class: FloatingRateSettingDetails

Type for reporting the raw (untreated) observed or calculated rate for a calculation period. If this is a calculated rate, it allows details of the observations and the resulting rate to be returned.

URI: common_domain_model:FloatingRateSettingDetails

 classDiagram
    class FloatingRateSettingDetails
    click FloatingRateSettingDetails href "../FloatingRateSettingDetails/"
      FloatingRateSettingDetails : calculationDetails





        FloatingRateSettingDetails --> "0..1" CalculatedRateDetails : calculationDetails
        click CalculatedRateDetails href "../CalculatedRateDetails/"



      FloatingRateSettingDetails : floatingRate

      FloatingRateSettingDetails : observationDate

      FloatingRateSettingDetails : resetDate

Slots

Name	Cardinality and Range	Description	Inheritance
calculationDetails	0..1 CalculatedRateDetails	Calculated rate details (observation dates, values, and weights)	direct
observationDate	0..1 date	The day upon which the rate was observed (for term rates)	direct
resetDate	0..1 date	The day for which the rate is needed (e	direct
floatingRate	1 Decimal	The resulting rate that was observed or calculated	direct

Usages

used by	used in	type	used
FloatingAmountCalculationDetails	floatingRate	range	FloatingRateSettingDetails

In Subsets

CdmProductAssetFloatingrate

Comments

Rosetta func: DetermineFloatingRateReset — Get the value of a floating rate by either observing it directly or performing a rate calculation. This function works differently depending on the rate category and style, as described in the 2021 ISDA Definitions, Section 6.6.
Rosetta func: ProcessFloatingRateReset — Entry point for the function that performs the floating rate resetting operation. There are different variations depending on the processing type (e.g. screen rate, OIS, modular calculated rate. .
Rosetta func: EvaluateScreenRate — Evaluate/lookup the value of a screen rate.

Identifier and Mapping Information

Annotations

property

value

rosetta_functions

[{"name":"DetermineFloatingRateReset","description":"Get the value of a floating rate by either observing it directly or performing a rate calculation. This function works differently depending on the rate category and style, as described in the 2021 ISDA Definitions, Section 6.6.","inputs":[{"name":"interestRatePayout","type":"InterestRatePayout","cardinality":"1..1"},{"name":"calcPeriod","type":"CalculationPeriodBase","cardinality":"1..1"}],"output":{"name":"floatingRate","type":"FloatingRateSettingDetails","cardinality":"1..1"}},{"name":"ProcessFloatingRateReset","description":"Entry point for the function that performs the floating rate resetting operation. There are different variations depending on the processing type (e.g. screen rate, OIS, modular calculated rate. .","inputs":[{"name":"interestRatePayout","type":"InterestRatePayout","cardinality":"1..1"},{"name":"calcPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"processingType","type":"FloatingRateIndexProcessingTypeEnum","cardinality":"1..1"}],"output":{"name":"floatingRate","type":"FloatingRateSettingDetails","cardinality":"1..1"},"code_implementation":true},{"name":"EvaluateScreenRate","description":"Evaluate/lookup the value of a screen rate.","inputs":[{"name":"rateDef","type":"FloatingRate","cardinality":"1..1"},{"name":"resetDates","type":"ResetDates","cardinality":"1..1"},{"name":"calculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"}],"output":{"name":"details","type":"FloatingRateSettingDetails","cardinality":"1..1"}}]

Schema Source

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

Mappings

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

LinkML Source

Direct

name: FloatingRateSettingDetails
annotations:
  rosetta_functions:
    tag: rosetta_functions
    value: '[{"name":"DetermineFloatingRateReset","description":"Get the value of
      a floating rate by either observing it directly or performing a rate calculation.  This
      function works differently depending on the rate category and style, as described
      in the 2021 ISDA Definitions, Section 6.6.","inputs":[{"name":"interestRatePayout","type":"InterestRatePayout","cardinality":"1..1"},{"name":"calcPeriod","type":"CalculationPeriodBase","cardinality":"1..1"}],"output":{"name":"floatingRate","type":"FloatingRateSettingDetails","cardinality":"1..1"}},{"name":"ProcessFloatingRateReset","description":"Entry
      point for the function that performs the floating rate resetting operation.  There
      are different variations depending on the processing type (e.g. screen rate,
      OIS, modular calculated rate. .","inputs":[{"name":"interestRatePayout","type":"InterestRatePayout","cardinality":"1..1"},{"name":"calcPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"processingType","type":"FloatingRateIndexProcessingTypeEnum","cardinality":"1..1"}],"output":{"name":"floatingRate","type":"FloatingRateSettingDetails","cardinality":"1..1"},"code_implementation":true},{"name":"EvaluateScreenRate","description":"Evaluate/lookup
      the value of a screen rate.","inputs":[{"name":"rateDef","type":"FloatingRate","cardinality":"1..1"},{"name":"resetDates","type":"ResetDates","cardinality":"1..1"},{"name":"calculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"}],"output":{"name":"details","type":"FloatingRateSettingDetails","cardinality":"1..1"}}]'
description: Type for reporting the raw (untreated) observed or calculated rate for
  a calculation period.  If this is a calculated rate, it allows details of the observations
  and the resulting rate to be returned.
comments:
- 'Rosetta func: DetermineFloatingRateReset — Get the value of a floating rate by
  either observing it directly or performing a rate calculation.  This function works
  differently depending on the rate category and style, as described in the 2021 ISDA
  Definitions, Section 6.6.'
- 'Rosetta func: ProcessFloatingRateReset — Entry point for the function that performs
  the floating rate resetting operation.  There are different variations depending
  on the processing type (e.g. screen rate, OIS, modular calculated rate. .'
- 'Rosetta func: EvaluateScreenRate — Evaluate/lookup the value of a screen rate.'
in_subset:
- cdm_product_asset_floatingrate
from_schema: https://w3id.org/lmodel/common-domain-model
slots:
- calculationDetails
- observationDate
- resetDate
- floatingRate
slot_usage:
  observationDate:
    name: observationDate
    description: The day upon which the rate was observed (for term rates).
    required: false
  resetDate:
    name: resetDate
    description: The day for which the rate is needed (e.g. period beginning or end
      date).
    required: false
  floatingRate:
    name: floatingRate
    description: The resulting rate that was observed or calculated.
    range: decimal
    required: true
    multivalued: false

Induced

name: FloatingRateSettingDetails
annotations:
  rosetta_functions:
    tag: rosetta_functions
    value: '[{"name":"DetermineFloatingRateReset","description":"Get the value of
      a floating rate by either observing it directly or performing a rate calculation.  This
      function works differently depending on the rate category and style, as described
      in the 2021 ISDA Definitions, Section 6.6.","inputs":[{"name":"interestRatePayout","type":"InterestRatePayout","cardinality":"1..1"},{"name":"calcPeriod","type":"CalculationPeriodBase","cardinality":"1..1"}],"output":{"name":"floatingRate","type":"FloatingRateSettingDetails","cardinality":"1..1"}},{"name":"ProcessFloatingRateReset","description":"Entry
      point for the function that performs the floating rate resetting operation.  There
      are different variations depending on the processing type (e.g. screen rate,
      OIS, modular calculated rate. .","inputs":[{"name":"interestRatePayout","type":"InterestRatePayout","cardinality":"1..1"},{"name":"calcPeriod","type":"CalculationPeriodBase","cardinality":"1..1"},{"name":"processingType","type":"FloatingRateIndexProcessingTypeEnum","cardinality":"1..1"}],"output":{"name":"floatingRate","type":"FloatingRateSettingDetails","cardinality":"1..1"},"code_implementation":true},{"name":"EvaluateScreenRate","description":"Evaluate/lookup
      the value of a screen rate.","inputs":[{"name":"rateDef","type":"FloatingRate","cardinality":"1..1"},{"name":"resetDates","type":"ResetDates","cardinality":"1..1"},{"name":"calculationPeriod","type":"CalculationPeriodBase","cardinality":"1..1"}],"output":{"name":"details","type":"FloatingRateSettingDetails","cardinality":"1..1"}}]'
description: Type for reporting the raw (untreated) observed or calculated rate for
  a calculation period.  If this is a calculated rate, it allows details of the observations
  and the resulting rate to be returned.
comments:
- 'Rosetta func: DetermineFloatingRateReset — Get the value of a floating rate by
  either observing it directly or performing a rate calculation.  This function works
  differently depending on the rate category and style, as described in the 2021 ISDA
  Definitions, Section 6.6.'
- 'Rosetta func: ProcessFloatingRateReset — Entry point for the function that performs
  the floating rate resetting operation.  There are different variations depending
  on the processing type (e.g. screen rate, OIS, modular calculated rate. .'
- 'Rosetta func: EvaluateScreenRate — Evaluate/lookup the value of a screen rate.'
in_subset:
- cdm_product_asset_floatingrate
from_schema: https://w3id.org/lmodel/common-domain-model
slot_usage:
  observationDate:
    name: observationDate
    description: The day upon which the rate was observed (for term rates).
    required: false
  resetDate:
    name: resetDate
    description: The day for which the rate is needed (e.g. period beginning or end
      date).
    required: false
  floatingRate:
    name: floatingRate
    description: The resulting rate that was observed or calculated.
    range: decimal
    required: true
    multivalued: false
attributes:
  calculationDetails:
    name: calculationDetails
    description: Calculated rate details (observation dates, values, and weights).
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateSettingDetails
    domain_of:
    - FloatingRateSettingDetails
    range: CalculatedRateDetails
  observationDate:
    name: observationDate
    description: The day upon which the rate was observed (for term rates).
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateSettingDetails
    domain_of:
    - ObservationIdentifier
    - ObservationSchedule
    - FloatingRateSettingDetails
    range: date
    required: false
  resetDate:
    name: resetDate
    description: The day for which the rate is needed (e.g. period beginning or end
      date).
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateSettingDetails
    domain_of:
    - ResetInstruction
    - Reset
    - RateObservation
    - FxLinkedNotionalAmount
    - FloatingRateSettingDetails
    range: date
    required: false
  floatingRate:
    name: floatingRate
    description: The resulting rate that was observed or calculated.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: FloatingRateSettingDetails
    domain_of:
    - StubValue
    - FloatingAmountCalculationDetails
    - FloatingRateSettingDetails
    - CollateralInterestCalculationParameters
    range: decimal
    required: true
    multivalued: false
    inlined: true
    inlined_as_list: true