Class: PriceSchedule

name: PriceSchedule
annotations:
  rosetta_functions:
    tag: rosetta_functions
    value: '[{"name":"FilterPrice","description":"Filter list of prices based on price
      type.","inputs":[{"name":"prices","type":"PriceSchedule","cardinality":"0..*"},{"name":"priceType","type":"PriceTypeEnum","cardinality":"1..1"},{"name":"arithmeticOperators","type":"ArithmeticOperationEnum","cardinality":"0..*"},{"name":"priceExpression","type":"PriceExpressionEnum","cardinality":"0..1"}],"output":{"name":"price","type":"PriceSchedule","cardinality":"0..1"}}]'
description: 'Specifies the price of a financial instrument in a trade as a schedule
  of measures. A price generically expresses the value of an exchange as a ratio:
  it measures the amount of one thing needed to be exchanged for 1 unit of another
  thing (e.g. cash in a specific currency in exchange for a bond or share). This generic
  representation can be used to support any type of financial price beyond just cash
  price: e.g. an interest rate, a foreign exchange rate, etc. This data type is generically
  based on a schedule and can also be used to represent a price as a single value.'
comments:
- 'Rosetta condition: UnitOfAmountExists — if priceType = Variance or priceType =
  Volatility or priceType = Correlation then unit is absent and perUnitOf is absent
  else unit exists and perUnitOf exists'
- 'Rosetta condition: PositiveAssetPrice — if (priceType = ExchangeRate or priceType
  = AssetPrice) and arithmeticOperator is absent then value > 0 or datedValue -> value
  all > 0'
- 'Rosetta condition: PositiveSpotRate — if (priceType = ExchangeRate or priceType
  = AssetPrice) and composite -> baseValue exists then composite -> baseValue > 0'
- 'Rosetta condition: PositivePremium — if priceType = Premium then value > 0'
- 'Rosetta condition: CurrencyUnitForInterestRate — if priceType = PriceTypeEnum ->
  InterestRate then unit -> currency exists'
- 'Rosetta condition: Choice — optional choice arithmeticOperator, composite'
- 'Rosetta condition: Premium — if premiumType exists then priceType = Premium'
- 'Rosetta condition: ArithmeticOperator — arithmeticOperator <> Subtract and arithmeticOperator
  <> Divide'
- 'Rosetta condition: SpreadPrice — if arithmeticOperator = Add then priceType = AssetPrice
  or priceType = InterestRate'
- 'Rosetta condition: ForwardPoint — if composite -> operandType = ForwardPoint then
  priceType = ExchangeRate'
- 'Rosetta condition: AccruedInterest — if composite -> operandType = AccruedInterest
  then priceType = AssetPrice'
- 'Rosetta condition: InterestRateFeeType — if priceSubType = Fee or priceSubType
  = Rebate then priceType = InterestRate'
- 'Rosetta func: FilterPrice — Filter list of prices based on price type.'
in_subset:
- cdm_observable_asset
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: MeasureSchedule
slots:
- perUnitOf
- priceType
- priceSubType
- priceExpression
- composite
- arithmeticOperator
- premiumType
slot_usage:
  arithmeticOperator:
    name: arithmeticOperator
    description: (Optionally) When the price is to be understood as an operator to
      apply to an observable, i.e. a spread, multiplier or min/max.
    required: false
rules:
- postconditions:
    any_of:
    - slot_conditions:
        arithmeticOperator:
          name: arithmeticOperator
          required: true
    - slot_conditions:
        composite:
          name: composite
          required: true
  description: The price can be specified mutually exclusively as an operator (e.g.
    a spread or multiplier) or a composite.
- preconditions:
    slot_conditions:
      premiumType:
        name: premiumType
        required: true
  postconditions:
    slot_conditions:
      priceType:
        name: priceType
        equals_string: Premium
  description: If we are applying a premium to the price then we must define this
    as a premium in priceType.

name: PriceSchedule
annotations:
  rosetta_functions:
    tag: rosetta_functions
    value: '[{"name":"FilterPrice","description":"Filter list of prices based on price
      type.","inputs":[{"name":"prices","type":"PriceSchedule","cardinality":"0..*"},{"name":"priceType","type":"PriceTypeEnum","cardinality":"1..1"},{"name":"arithmeticOperators","type":"ArithmeticOperationEnum","cardinality":"0..*"},{"name":"priceExpression","type":"PriceExpressionEnum","cardinality":"0..1"}],"output":{"name":"price","type":"PriceSchedule","cardinality":"0..1"}}]'
description: 'Specifies the price of a financial instrument in a trade as a schedule
  of measures. A price generically expresses the value of an exchange as a ratio:
  it measures the amount of one thing needed to be exchanged for 1 unit of another
  thing (e.g. cash in a specific currency in exchange for a bond or share). This generic
  representation can be used to support any type of financial price beyond just cash
  price: e.g. an interest rate, a foreign exchange rate, etc. This data type is generically
  based on a schedule and can also be used to represent a price as a single value.'
comments:
- 'Rosetta condition: UnitOfAmountExists — if priceType = Variance or priceType =
  Volatility or priceType = Correlation then unit is absent and perUnitOf is absent
  else unit exists and perUnitOf exists'
- 'Rosetta condition: PositiveAssetPrice — if (priceType = ExchangeRate or priceType
  = AssetPrice) and arithmeticOperator is absent then value > 0 or datedValue -> value
  all > 0'
- 'Rosetta condition: PositiveSpotRate — if (priceType = ExchangeRate or priceType
  = AssetPrice) and composite -> baseValue exists then composite -> baseValue > 0'
- 'Rosetta condition: PositivePremium — if priceType = Premium then value > 0'
- 'Rosetta condition: CurrencyUnitForInterestRate — if priceType = PriceTypeEnum ->
  InterestRate then unit -> currency exists'
- 'Rosetta condition: Choice — optional choice arithmeticOperator, composite'
- 'Rosetta condition: Premium — if premiumType exists then priceType = Premium'
- 'Rosetta condition: ArithmeticOperator — arithmeticOperator <> Subtract and arithmeticOperator
  <> Divide'
- 'Rosetta condition: SpreadPrice — if arithmeticOperator = Add then priceType = AssetPrice
  or priceType = InterestRate'
- 'Rosetta condition: ForwardPoint — if composite -> operandType = ForwardPoint then
  priceType = ExchangeRate'
- 'Rosetta condition: AccruedInterest — if composite -> operandType = AccruedInterest
  then priceType = AssetPrice'
- 'Rosetta condition: InterestRateFeeType — if priceSubType = Fee or priceSubType
  = Rebate then priceType = InterestRate'
- 'Rosetta func: FilterPrice — Filter list of prices based on price type.'
in_subset:
- cdm_observable_asset
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: MeasureSchedule
slot_usage:
  arithmeticOperator:
    name: arithmeticOperator
    description: (Optionally) When the price is to be understood as an operator to
      apply to an observable, i.e. a spread, multiplier or min/max.
    required: false
attributes:
  perUnitOf:
    name: perUnitOf
    description: Provides an attribute to define the unit of the thing being priced.
      For example, {amount, unitOfAmount, PerUnitOfAmount} = [10, EUR, Shares] = (10.00
      EUR/SHARE) * (300,000 SHARES) = EUR 3,000,000.00 (Shares cancel out in the calculation).
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: PriceSchedule
    domain_of:
    - PriceSchedule
    range: UnitType
  priceType:
    name: priceType
    description: 'Specifies the price type as an enumeration: interest rate, exchange
      rate, asset price etc. This attribute is mandatory so that prices can always
      be clasiffied according to their type. The price type implies some constraints
      on the price''s units.'
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: PriceSchedule
    domain_of:
    - PriceSchedule
    range: PriceTypeEnum
    required: true
  priceSubType:
    name: priceSubType
    description: Allows further classification of the chosen price type.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: PriceSchedule
    domain_of:
    - PriceSchedule
    range: PriceSubTypeEnum
  priceExpression:
    name: priceExpression
    description: (Optionally) Specifies whether the price is expressed in absolute
      or percentage terms.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: PriceSchedule
    domain_of:
    - PriceSchedule
    range: PriceExpressionEnum
  composite:
    name: composite
    description: '(Optionally) Specifies the underlying price components if the price
      can be expressed as a composite: e.g. dirty price = clean price + accrued.'
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: PriceSchedule
    domain_of:
    - PriceSchedule
    - FxFeature
    range: PriceComposite
  arithmeticOperator:
    name: arithmeticOperator
    description: (Optionally) When the price is to be understood as an operator to
      apply to an observable, i.e. a spread, multiplier or min/max.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: PriceSchedule
    domain_of:
    - PriceComposite
    - PriceSchedule
    range: ArithmeticOperationEnum
    required: false
  premiumType:
    name: premiumType
    description: (Optionally) Additional attribute that can further define any premium
      to the price.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: PriceSchedule
    domain_of:
    - PriceSchedule
    range: PremiumTypeEnum
  datedValue:
    name: datedValue
    description: A schedule of step date and value pairs. On each step date the associated
      step value becomes effective. The step dates are used to order the steps by
      ascending order. This attribute is optional so the data type may be used to
      define a schedule with a single value.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: PriceSchedule
    domain_of:
    - MeasureSchedule
    - Schedule
    range: DatedValue
    multivalued: true
    inlined: true
    inlined_as_list: true
  value:
    name: value
    description: Specifies the value of the measure as a number. Optional because
      in a measure vector or schedule, this single value may be omitted.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: PriceSchedule
    domain_of:
    - MeasureBase
    - Schedule
    - DatedValue
    - Taxonomy
    - TaxonomyClassification
    - CodeValue
    - AdjustmentFactor
    - AccrualFactor
    - DisputeResolution
    - OtherEligibleAndPostedSupport
    - CSAThresholdVariableSet
    - CSAMinimumTransferAmountVariableSet
    - MasterAgreementVariableSet
    range: decimal
  unit:
    name: unit
    description: Qualifies the unit by which the amount is measured. Optional because
      a measure may be unit-less (e.g. when representing a ratio between amounts in
      the same unit).
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: PriceSchedule
    domain_of:
    - MeasureBase
    - Qty
    - Term
    range: UnitType
rules:
- postconditions:
    any_of:
    - slot_conditions:
        arithmeticOperator:
          name: arithmeticOperator
          required: true
    - slot_conditions:
        composite:
          name: composite
          required: true
  description: The price can be specified mutually exclusively as an operator (e.g.
    a spread or multiplier) or a composite.
- preconditions:
    slot_conditions:
      premiumType:
        name: premiumType
        required: true
  postconditions:
    slot_conditions:
      priceType:
        name: priceType
        equals_string: Premium
  description: If we are applying a premium to the price then we must define this
    as a premium in priceType.