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Class: SwapCurveValuation

A class to specify a valuation swap curve, which is used as part of the strike construct for the bond and convertible bond options.

URI: common_domain_model:SwapCurveValuation

 classDiagram
    class SwapCurveValuation
    click SwapCurveValuation href "../SwapCurveValuation/"
      SwapCurveValuation <|-- MakeWholeAmount
        click MakeWholeAmount href "../MakeWholeAmount/"

      SwapCurveValuation : floatingRateIndex





        SwapCurveValuation --> "1" FloatingRateIndexEnum : floatingRateIndex
        click FloatingRateIndexEnum href "../FloatingRateIndexEnum/"



      SwapCurveValuation : indexTenor





        SwapCurveValuation --> "0..1" Period : indexTenor
        click Period href "../Period/"



      SwapCurveValuation : side





        SwapCurveValuation --> "0..1" QuotationSideEnum : side
        click QuotationSideEnum href "../QuotationSideEnum/"



      SwapCurveValuation : spread

Inheritance

Slots

Name Cardinality and Range Description Inheritance
floatingRateIndex 1
FloatingRateIndexEnum		 The reference index that is used to specify the floating interest rate direct
indexTenor 0..1
Period		 The ISDA Designated Maturity, i direct
spread 1
Decimal		 Spread in basis points over the floating rate index direct
side 0..1
QuotationSideEnum		 The side (bid/mid/ask) of the measure direct

Usages

used by used in type used
ReferenceSwapCurve swapUnwindValue range SwapCurveValuation

In Subsets

Identifier and Mapping Information

Schema Source

Mappings

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

LinkML Source

Direct

name: SwapCurveValuation
description: A class to specify a valuation swap curve, which is used as part of the
  strike construct for the bond and convertible bond options.
in_subset:
- cdm_observable_asset
from_schema: https://w3id.org/lmodel/common-domain-model
slots:
- floatingRateIndex
- indexTenor
- spread
- side
slot_usage:
  indexTenor:
    name: indexTenor
    description: The ISDA Designated Maturity, i.e. the tenor of the floating rate.

Induced

name: SwapCurveValuation
description: A class to specify a valuation swap curve, which is used as part of the
  strike construct for the bond and convertible bond options.
in_subset:
- cdm_observable_asset
from_schema: https://w3id.org/lmodel/common-domain-model
slot_usage:
  indexTenor:
    name: indexTenor
    description: The ISDA Designated Maturity, i.e. the tenor of the floating rate.
attributes:
  floatingRateIndex:
    name: floatingRateIndex
    annotations:
      metadata_scheme:
        tag: metadata_scheme
        value: true
    description: The reference index that is used to specify the floating interest
      rate.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: SwapCurveValuation
    domain_of:
    - FloatingRateIndex
    - InterestRateCurve
    - SwapCurveValuation
    - FallbackRateParameters
    - FloatingRateIndexIdentification
    - StubFloatingRate
    range: FloatingRateIndexEnum
    required: true
  indexTenor:
    name: indexTenor
    description: The ISDA Designated Maturity, i.e. the tenor of the floating rate.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: SwapCurveValuation
    domain_of:
    - FloatingRateIndex
    - InflationIndex
    - SwapCurveValuation
    - StubFloatingRate
    range: Period
  spread:
    name: spread
    description: Spread in basis points over the floating rate index.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: SwapCurveValuation
    domain_of:
    - SwapCurveValuation
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    - CommodityPriceReturnTerms
    range: decimal
    required: true
  side:
    name: side
    description: The side (bid/mid/ask) of the measure.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: SwapCurveValuation
    domain_of:
    - SwapCurveValuation
    range: QuotationSideEnum