Class: RateObservation

A class defining parameters associated with an individual observation or fixing. This class forms part of the cashflow representation of a stream.

URI: common_domain_model:RateObservation

 classDiagram
    class RateObservation
    click RateObservation href "../RateObservation/"
      RateObservation : adjustedFixingDate

      RateObservation : forecastRate

      RateObservation : observationWeight

      RateObservation : observedRate

      RateObservation : rateReference





        RateObservation --> "0..1" RateObservation : rateReference
        click RateObservation href "../RateObservation/"



      RateObservation : resetDate

      RateObservation : treatedForecastRate

      RateObservation : treatedRate

Slots

Name	Cardinality and Range	Description	Inheritance
resetDate	0..1 date	The reset date	direct
adjustedFixingDate	0..1 date	The adjusted fixing date, i	direct
observedRate	0..1 Decimal	The actual observed rate before any required rate treatment is applied, e	direct
treatedRate	0..1 Decimal	The observed rate after any required rate treatment is applied	direct
observationWeight	0..1 Integer	The number of days weighting to be associated with the rate observation, i	direct
rateReference	0..1 RateObservation	A pointer style reference to a floating rate component defined as part of a s...	direct
forecastRate	0..1 Decimal	The value representing the forecast rate used to calculate the forecast futur...	direct
treatedForecastRate	0..1 Decimal	The value representing the forecast rate after applying rate treatment rules	direct

Usages

used by	used in	type	used
RateObservation	rateReference	range	RateObservation
FloatingRateDefinition	rateObservation	range	RateObservation

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	`{'observationWeight': {'required': True}}`	`{'observationWeight': {'minimum_value': 0}}`

In Subsets

CdmObservableAsset

Comments

Rosetta condition: PositiveObservationWeight — if observationWeight exists then observationWeight >= 0

Identifier and Mapping Information

Annotations

property	value
metadata_key	True

Schema Source

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

Mappings

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

LinkML Source

Direct

name: RateObservation
annotations:
  metadata_key:
    tag: metadata_key
    value: true
description: A class defining parameters associated with an individual observation
  or fixing. This class forms part of the cashflow representation of a stream.
comments:
- 'Rosetta condition: PositiveObservationWeight — if observationWeight exists then
  observationWeight >= 0'
in_subset:
- cdm_observable_asset
from_schema: https://w3id.org/lmodel/common-domain-model
slots:
- resetDate
- adjustedFixingDate
- observedRate
- treatedRate
- observationWeight
- rateReference
- forecastRate
- treatedForecastRate
slot_usage:
  resetDate:
    name: resetDate
    description: The reset date.
    required: false
rules:
- preconditions:
    slot_conditions:
      observationWeight:
        name: observationWeight
        required: true
  postconditions:
    slot_conditions:
      observationWeight:
        name: observationWeight
        minimum_value: 0
  description: FpML specifies observationWeight as a positive integer.

Induced

name: RateObservation
annotations:
  metadata_key:
    tag: metadata_key
    value: true
description: A class defining parameters associated with an individual observation
  or fixing. This class forms part of the cashflow representation of a stream.
comments:
- 'Rosetta condition: PositiveObservationWeight — if observationWeight exists then
  observationWeight >= 0'
in_subset:
- cdm_observable_asset
from_schema: https://w3id.org/lmodel/common-domain-model
slot_usage:
  resetDate:
    name: resetDate
    description: The reset date.
    required: false
attributes:
  resetDate:
    name: resetDate
    description: The reset date.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: RateObservation
    domain_of:
    - ResetInstruction
    - Reset
    - RateObservation
    - FxLinkedNotionalAmount
    - FloatingRateSettingDetails
    range: date
    required: false
  adjustedFixingDate:
    name: adjustedFixingDate
    description: The adjusted fixing date, i.e. the actual date the rate is observed.
      The date should already be adjusted for any applicable business day convention.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    range: date
  observedRate:
    name: observedRate
    description: The actual observed rate before any required rate treatment is applied,
      e.g. before converting a rate quoted on a discount basis to an equivalent yield.
      An observed rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    range: decimal
  treatedRate:
    name: treatedRate
    description: The observed rate after any required rate treatment is applied. A
      treated rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    range: decimal
  observationWeight:
    name: observationWeight
    description: The number of days weighting to be associated with the rate observation,
      i.e. the number of days such rate is in effect. This is applicable in the case
      of a weighted average method of calculation where more than one reset date is
      established for a single calculation period.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    range: integer
  rateReference:
    name: rateReference
    annotations:
      metadata_reference:
        tag: metadata_reference
        value: true
    description: A pointer style reference to a floating rate component defined as
      part of a stub calculation period amount component. It is only required when
      it is necessary to distinguish two rate observations for the same fixing date
      which could occur when linear interpolation of two different rates occurs for
      a stub calculation period.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    range: RateObservation
  forecastRate:
    name: forecastRate
    description: The value representing the forecast rate used to calculate the forecast
      future value of the accrual period.A value of 1% should be represented as 0.01.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    - CalculationPeriod
    range: decimal
  treatedForecastRate:
    name: treatedForecastRate
    description: The value representing the forecast rate after applying rate treatment
      rules. A value of 1% should be represented as 0.01.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    range: decimal
rules:
- preconditions:
    slot_conditions:
      observationWeight:
        name: observationWeight
        required: true
  postconditions:
    slot_conditions:
      observationWeight:
        name: observationWeight
        minimum_value: 0
  description: FpML specifies observationWeight as a positive integer.