Class: ResetDates

A data defining: the parameters used to generate the reset dates schedule and associated fixing dates. The reset dates are the dates on which the new index value (which is observed on the fixing date) is applied for each period and on which the interest rate hence begins to accrue.

URI: common_domain_model:ResetDates

 classDiagram
    class ResetDates
    click ResetDates href "../ResetDates/"
      ResetDates : calculationPeriodDatesReference





        ResetDates --> "0..1" CalculationPeriodDates : calculationPeriodDatesReference
        click CalculationPeriodDates href "../CalculationPeriodDates/"



      ResetDates : finalFixingDate





        ResetDates --> "0..1" AdjustableDate : finalFixingDate
        click AdjustableDate href "../AdjustableDate/"



      ResetDates : fixingDates





        ResetDates --> "0..1" RelativeDateOffset : fixingDates
        click RelativeDateOffset href "../RelativeDateOffset/"



      ResetDates : initialFixingDate





        ResetDates --> "0..1" InitialFixingDate : initialFixingDate
        click InitialFixingDate href "../InitialFixingDate/"



      ResetDates : rateCutOffDaysOffset





        ResetDates --> "0..1" Offset : rateCutOffDaysOffset
        click Offset href "../Offset/"



      ResetDates : resetDatesAdjustments





        ResetDates --> "0..1" BusinessDayAdjustments : resetDatesAdjustments
        click BusinessDayAdjustments href "../BusinessDayAdjustments/"



      ResetDates : resetFrequency





        ResetDates --> "0..1" ResetFrequency : resetFrequency
        click ResetFrequency href "../ResetFrequency/"



      ResetDates : resetRelativeTo





        ResetDates --> "0..1" ResetRelativeToEnum : resetRelativeTo
        click ResetRelativeToEnum href "../ResetRelativeToEnum/"

Slots

Name	Cardinality and Range	Description	Inheritance
calculationPeriodDatesReference	0..1 CalculationPeriodDates	A pointer style reference to the associated calculation period dates componen...	direct
resetRelativeTo	0..1 ResetRelativeToEnum	Specifies whether the reset dates are determined with respect to each adjuste...	direct
initialFixingDate	0..1 InitialFixingDate	The initial fixing date	direct
fixingDates	0..1 RelativeDateOffset	The fixing dates are the dates on which the index values are observed	direct
finalFixingDate	0..1 AdjustableDate	This attribute is not part of the FpML ResetDate, and has been added as part ...	direct
rateCutOffDaysOffset	0..1 Offset	Specifies the number of business days before the period end date when the rat...	direct
resetFrequency	0..1 ResetFrequency	The frequency at which the reset dates occur	direct
resetDatesAdjustments	0..1 BusinessDayAdjustments	The definition of the business day convention and financial business centers ...	direct

Usages

used by	used in	type	used
InterestRatePayout	resetDates	range	ResetDates

In Subsets

CdmProductCommonSchedule

Comments

Rosetta condition: RateCutOffDaysOffset — if rateCutOffDaysOffset exists then rateCutOffDaysOffset -> periodMultiplier < 0
Rosetta condition: WeeklyPeriod — if resetFrequency -> period = PeriodExtendedEnum -> W then resetFrequency -> weeklyRollConvention exists
Rosetta condition: NonWeeklyPeriod — if resetFrequency -> period <> PeriodExtendedEnum -> W then resetFrequency -> weeklyRollConvention is absent

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:ResetDates
native	common_domain_model:ResetDates

LinkML Source

Direct

name: ResetDates
annotations:
  metadata_key:
    tag: metadata_key
    value: true
description: 'A data defining:  the parameters used to generate the reset dates schedule
  and associated fixing dates. The reset dates are the dates on which the new index
  value (which is observed on the fixing date) is applied for each period and on which
  the interest rate hence begins to accrue.'
comments:
- 'Rosetta condition: RateCutOffDaysOffset — if rateCutOffDaysOffset exists then rateCutOffDaysOffset
  -> periodMultiplier < 0'
- 'Rosetta condition: WeeklyPeriod — if resetFrequency -> period = PeriodExtendedEnum
  -> W then resetFrequency -> weeklyRollConvention exists'
- 'Rosetta condition: NonWeeklyPeriod — if resetFrequency -> period <> PeriodExtendedEnum
  -> W then resetFrequency -> weeklyRollConvention is absent'
in_subset:
- cdm_product_common_schedule
from_schema: https://w3id.org/lmodel/common-domain-model
slots:
- calculationPeriodDatesReference
- resetRelativeTo
- initialFixingDate
- fixingDates
- finalFixingDate
- rateCutOffDaysOffset
- resetFrequency
- resetDatesAdjustments
slot_usage:
  calculationPeriodDatesReference:
    name: calculationPeriodDatesReference
    required: false

Induced

name: ResetDates
annotations:
  metadata_key:
    tag: metadata_key
    value: true
description: 'A data defining:  the parameters used to generate the reset dates schedule
  and associated fixing dates. The reset dates are the dates on which the new index
  value (which is observed on the fixing date) is applied for each period and on which
  the interest rate hence begins to accrue.'
comments:
- 'Rosetta condition: RateCutOffDaysOffset — if rateCutOffDaysOffset exists then rateCutOffDaysOffset
  -> periodMultiplier < 0'
- 'Rosetta condition: WeeklyPeriod — if resetFrequency -> period = PeriodExtendedEnum
  -> W then resetFrequency -> weeklyRollConvention exists'
- 'Rosetta condition: NonWeeklyPeriod — if resetFrequency -> period <> PeriodExtendedEnum
  -> W then resetFrequency -> weeklyRollConvention is absent'
in_subset:
- cdm_product_common_schedule
from_schema: https://w3id.org/lmodel/common-domain-model
slot_usage:
  calculationPeriodDatesReference:
    name: calculationPeriodDatesReference
    required: false
attributes:
  calculationPeriodDatesReference:
    name: calculationPeriodDatesReference
    annotations:
      metadata_reference:
        tag: metadata_reference
        value: true
    description: A pointer style reference to the associated calculation period dates
      component defined elsewhere in the document.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ResetDates
    domain_of:
    - StubPeriod
    - DateRelativeToCalculationPeriodDates
    - ResetDates
    - StubCalculationPeriodAmount
    range: CalculationPeriodDates
    required: false
  resetRelativeTo:
    name: resetRelativeTo
    description: Specifies whether the reset dates are determined with respect to
      each adjusted calculation period start date or adjusted calculation period end
      date. If the reset frequency is specified as daily this element must not be
      included.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ResetDates
    domain_of:
    - ResetDates
    range: ResetRelativeToEnum
  initialFixingDate:
    name: initialFixingDate
    description: The initial fixing date.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ResetDates
    domain_of:
    - ResetDates
    - InitialFixingDate
    range: InitialFixingDate
  fixingDates:
    name: fixingDates
    description: The fixing dates are the dates on which the index values are observed.
      The fixing dates are specified by reference to the reset date through business
      days offset and an associated set of financial business centers. Normally these
      offset calculation rules will be those specified in the ISDA definition for
      the relevant floating rate index (ISDA's Floating Rate Option). However, non-standard
      offset calculation rules may apply for a trade if mutually agreed by the principal
      parties to the transaction.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ResetDates
    domain_of:
    - ResetDates
    range: RelativeDateOffset
  finalFixingDate:
    name: finalFixingDate
    description: This attribute is not part of the FpML ResetDate, and has been added
      as part of the CDM to support the credit derivatives final fixing date.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ResetDates
    domain_of:
    - ResetDates
    range: AdjustableDate
  rateCutOffDaysOffset:
    name: rateCutOffDaysOffset
    description: Specifies the number of business days before the period end date
      when the rate cut-off date is assumed to apply. The financial business centers
      associated with determining the rate cut-off date are those specified in the
      reset dates adjustments. The rate cut-off number of days must be a negative
      integer (a value of zero would imply no rate cut off applies in which case the
      rateCutOffDaysOffset element should not be included). The relevant rate for
      each reset date in the period from, and including, a rate cut-off date to, but
      excluding, the next applicable period end date (or, in the case of the last
      calculation period, the termination date) will (solely for purposes of calculating
      the floating amount payable on the next applicable payment date) be deemed to
      be the relevant rate in effect on that rate cut-off date. For example, if rate
      cut-off days for a daily averaging deal is -2 business days, then the refix
      rate applied on (period end date - 2 days) will also be applied as the reset
      on (period end date - 1 day), i.e. the actual number of reset dates remains
      the same but from the rate cut-off date until the period end date, the same
      refix rate is applied. Note that in the case of several calculation periods
      contributing to a single payment, the rate cut-off is assumed only to apply
      to the final calculation period contributing to that payment. The day type associated
      with the offset must imply a business days offset.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ResetDates
    domain_of:
    - ResetDates
    range: Offset
  resetFrequency:
    name: resetFrequency
    description: The frequency at which the reset dates occur. In the case of a weekly
      reset frequency, also specifies the day of the week that the reset occurs. If
      the reset frequency is greater than the calculation period frequency then this
      implies that more than one reset is established for each calculation period
      and some form of rate averaging is applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ResetDates
    domain_of:
    - ResetDates
    range: ResetFrequency
  resetDatesAdjustments:
    name: resetDatesAdjustments
    description: The definition of the business day convention and financial business
      centers used for adjusting the reset date if it would otherwise fall on a day
      that is not a business day in the specified business center.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ResetDates
    domain_of:
    - ResetDates
    range: BusinessDayAdjustments