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Class: ReturnTermsBase

Contains all common elements in variance, volatility and correlation return Terms.

URI: common_domain_model:ReturnTermsBase

 classDiagram
    class ReturnTermsBase
    click ReturnTermsBase href "../ReturnTermsBase/"
      ReturnTermsBase <|-- VarianceReturnTerms
        click VarianceReturnTerms href "../VarianceReturnTerms/"
      ReturnTermsBase <|-- VolatilityReturnTerms
        click VolatilityReturnTerms href "../VolatilityReturnTerms/"
      ReturnTermsBase <|-- CorrelationReturnTerms
        click CorrelationReturnTerms href "../CorrelationReturnTerms/"

      ReturnTermsBase : annualizationFactor

      ReturnTermsBase : dividendApplicability





        ReturnTermsBase --> "0..1" DividendApplicability : dividendApplicability
        click DividendApplicability href "../DividendApplicability/"



      ReturnTermsBase : equityUnderlierProvisions





        ReturnTermsBase --> "0..1" EquityUnderlierProvisions : equityUnderlierProvisions
        click EquityUnderlierProvisions href "../EquityUnderlierProvisions/"



      ReturnTermsBase : expectedN

      ReturnTermsBase : initialLevel

      ReturnTermsBase : initialLevelSource





        ReturnTermsBase --> "0..1" DeterminationMethodEnum : initialLevelSource
        click DeterminationMethodEnum href "../DeterminationMethodEnum/"



      ReturnTermsBase : meanAdjustment

      ReturnTermsBase : performance

      ReturnTermsBase : sharePriceDividendAdjustment

      ReturnTermsBase : valuationTerms





        ReturnTermsBase --> "1" ValuationTerms : valuationTerms
        click ValuationTerms href "../ValuationTerms/"

Inheritance

Slots

Name Cardinality and Range Description Inheritance
valuationTerms 1
ValuationTerms		 Contains all non-date valuation information direct
annualizationFactor 0..1
Integer		 This specifies the numerator of an annualization factor direct
dividendApplicability 0..1
DividendApplicability		 The parameters which define whether dividends are applicable direct
equityUnderlierProvisions 0..1
EquityUnderlierProvisions		 Contains Equity Underlyer provisions regarding jurisdiction and fallbacks direct
sharePriceDividendAdjustment 0..1
Boolean		 Indicates whether the price of shares is adjusted for dividends or not direct
expectedN 1
Integer		 Expected number of trading days direct
initialLevel 0..1
Decimal		 Contract will strike off this initial level direct
initialLevelSource 0..1
DeterminationMethodEnum		 In this context, this is AgreedInitialPrice - a specified Initial Index Level direct
meanAdjustment 0..1
Boolean		 Specifies whether Mean Adjustment is applicable or not in the calculation of ... direct
performance 0..1
string		 Performance calculation, in accordance with Part 1 Section 12 of the 2018 ISD... direct

Rules

Rule Applied Preconditions Postconditions Elseconditions
slot_conditions {'initialLevel': {'required': False}} {'initialLevelSource': {'required': True}}

Rule Applied Preconditions Postconditions Elseconditions

In Subsets

Comments

  • Rosetta condition: InitialLevelOrInitialLevelSource — if initialLevel is absent then initialLevelSource exists and if initialLevelSource is absent then initialLevel exists
  • Rosetta condition: PositiveExpectedN — expectedN > 0

Identifier and Mapping Information

Schema Source

Mappings

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

LinkML Source

Direct

name: ReturnTermsBase
description: Contains all common elements in variance, volatility and correlation
  return Terms.
comments:
- 'Rosetta condition: InitialLevelOrInitialLevelSource — if initialLevel is absent
  then initialLevelSource exists and if initialLevelSource is absent then initialLevel
  exists'
- 'Rosetta condition: PositiveExpectedN — expectedN > 0'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
slots:
- valuationTerms
- annualizationFactor
- dividendApplicability
- equityUnderlierProvisions
- sharePriceDividendAdjustment
- expectedN
- initialLevel
- initialLevelSource
- meanAdjustment
- performance
rules:
- preconditions:
    slot_conditions:
      initialLevel:
        name: initialLevel
        required: false
  postconditions:
    slot_conditions:
      initialLevelSource:
        name: initialLevelSource
        required: true
  description: At least one of initialLevel and initialLevelSource must be present,
    or both
- postconditions:
    slot_conditions:
      expectedN:
        name: expectedN
        comments:
        - 'Rosetta: strictly greater than'
        minimum_value: 0
  description: The number of expected trading dates must be positive

Induced

name: ReturnTermsBase
description: Contains all common elements in variance, volatility and correlation
  return Terms.
comments:
- 'Rosetta condition: InitialLevelOrInitialLevelSource — if initialLevel is absent
  then initialLevelSource exists and if initialLevelSource is absent then initialLevel
  exists'
- 'Rosetta condition: PositiveExpectedN — expectedN > 0'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  valuationTerms:
    name: valuationTerms
    description: Contains all non-date valuation information.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: ValuationTerms
    required: true
  annualizationFactor:
    name: annualizationFactor
    description: This specifies the numerator of an annualization factor. Frequently
      this number is equal to the number of observations of prices in a year e.g.
      252.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: integer
  dividendApplicability:
    name: dividendApplicability
    description: The parameters which define whether dividends are applicable
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: DividendApplicability
  equityUnderlierProvisions:
    name: equityUnderlierProvisions
    description: Contains Equity Underlyer provisions regarding jurisdiction and fallbacks.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: EquityUnderlierProvisions
  sharePriceDividendAdjustment:
    name: sharePriceDividendAdjustment
    description: Indicates whether the price of shares is adjusted for dividends or
      not.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: boolean
  expectedN:
    name: expectedN
    description: Expected number of trading days.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: integer
    required: true
  initialLevel:
    name: initialLevel
    description: Contract will strike off this initial level. Providing just the initialLevel
      without initialLevelSource, infers that this is AgreedInitialPrice - a specified
      Initial Index Level.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: decimal
  initialLevelSource:
    name: initialLevelSource
    description: In this context, this is AgreedInitialPrice - a specified Initial
      Index Level.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: DeterminationMethodEnum
  meanAdjustment:
    name: meanAdjustment
    description: Specifies whether Mean Adjustment is applicable or not in the calculation
      of the Realized Volatility, Variance or Correlation
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: boolean
  performance:
    name: performance
    description: Performance calculation, in accordance with Part 1 Section 12 of
      the 2018 ISDA CDM Equity Confirmation for Security Equity Swap, Para 75. 'Equity
      Performance'. Cumulative performance is used as a notional multiplier factor
      on both legs of an Equity Swap.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - DividendReturnTerms
    - PriceReturnTerms
    - ReturnTermsBase
    range: string
rules:
- preconditions:
    slot_conditions:
      initialLevel:
        name: initialLevel
        required: false
  postconditions:
    slot_conditions:
      initialLevelSource:
        name: initialLevelSource
        required: true
  description: At least one of initialLevel and initialLevelSource must be present,
    or both
- postconditions:
    slot_conditions:
      expectedN:
        name: expectedN
        comments:
        - 'Rosetta: strictly greater than'
        minimum_value: 0
  description: The number of expected trading dates must be positive