Class: Tranche

The class to represent a CDS Tranche.

 classDiagram
    class Tranche
    click Tranche href "../Tranche/"
      Tranche : attachmentPoint

      Tranche : exhaustionPoint

      Tranche : incurredRecoveryApplicable

Slots

Name	Cardinality and Range	Description	Inheritance
attachmentPoint	1 Decimal	Lower bound percentage of the loss that the Tranche can endure, expressed as ...	direct
exhaustionPoint	1 Decimal	Upper bound percentage of the loss that the Tranche can endure, expressed as ...	direct
incurredRecoveryApplicable	0..1 Boolean	Outstanding Swap Notional Amount is defined at any time on any day, as the gr...	direct

Usages

used by	used in	type	used
CreditIndex	tranche	range	Tranche
BasketReferenceInformation	tranche	range	Tranche

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions

Rule Applied	Preconditions	Postconditions	Elseconditions

Rule Applied	Preconditions	Postconditions	Elseconditions

In Subsets

CdmProductAsset

Comments

Rosetta condition: AttachmentPoint — attachmentPoint >= 0.0 and attachmentPoint <= 1.0
Rosetta condition: ExhaustionPoint — exhaustionPoint >= 0.0 and exhaustionPoint <= 1.0
Rosetta condition: AttachmentPointLessThanExhaustionPoint — attachmentPoint <= exhaustionPoint

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: Tranche
description: The class to represent a CDS Tranche.
comments:
- 'Rosetta condition: AttachmentPoint — attachmentPoint >= 0.0 and attachmentPoint
  <= 1.0'
- 'Rosetta condition: ExhaustionPoint — exhaustionPoint >= 0.0 and exhaustionPoint
  <= 1.0'
- 'Rosetta condition: AttachmentPointLessThanExhaustionPoint — attachmentPoint <=
  exhaustionPoint'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
slots:
- attachmentPoint
- exhaustionPoint
- incurredRecoveryApplicable
rules:
- postconditions:
    slot_conditions:
      attachmentPoint:
        name: attachmentPoint
        minimum_value: 0.0
        maximum_value: 1.0
  description: FpML definition associated with the attachmentPoint element specifies
    that a schema facet to constraint the value between 0 to 1 will be introduced
    in FpML 4.3.
- postconditions:
    slot_conditions:
      exhaustionPoint:
        name: exhaustionPoint
        minimum_value: 0.0
        maximum_value: 1.0
  description: FpML definition associated with the exhaustionPoint element specifies
    that a schema facet to constraint the value between 0 to 1 will be introduced
    in FpML 4.3.
- description: 'FpML validation rule cd-40 - Context: Tranche (complex type) attachmentPoint
    must be less or equal to exhaustionPoint.'
  comments:
  - 'Rosetta comparison: attachmentPoint <= exhaustionPoint'

Induced

name: Tranche
description: The class to represent a CDS Tranche.
comments:
- 'Rosetta condition: AttachmentPoint — attachmentPoint >= 0.0 and attachmentPoint
  <= 1.0'
- 'Rosetta condition: ExhaustionPoint — exhaustionPoint >= 0.0 and exhaustionPoint
  <= 1.0'
- 'Rosetta condition: AttachmentPointLessThanExhaustionPoint — attachmentPoint <=
  exhaustionPoint'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  attachmentPoint:
    name: attachmentPoint
    description: Lower bound percentage of the loss that the Tranche can endure, expressed
      as a decimal. An attachment point of 5% would be represented as 0.05. The difference
      between Attachment and Exhaustion points is called the width of the Tranche.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: Tranche
    domain_of:
    - Tranche
    range: decimal
    required: true
  exhaustionPoint:
    name: exhaustionPoint
    description: Upper bound percentage of the loss that the Tranche can endure, expressed
      as a decimal. An exhaustion point of 5% would be represented as 0.05. The difference
      between Attachment and Exhaustion points is call the width of the Tranche.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: Tranche
    domain_of:
    - Tranche
    range: decimal
    required: true
  incurredRecoveryApplicable:
    name: incurredRecoveryApplicable
    description: 'Outstanding Swap Notional Amount is defined at any time on any day,
      as the greater of: (a) Zero; If Incurred Recovery Amount Applicable: (b) The
      Original Swap Notional Amount minus the sum of all Incurred Loss Amounts and
      all Incurred Recovery Amounts (if any) determined under this Confirmation at
      or prior to such time.Incurred Recovery Amount not populated: (b) The Original
      Swap Notional Amount minus the sum of all Incurred Loss Amounts determined under
      this Confirmation at or prior to such time.'
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: Tranche
    domain_of:
    - Tranche
    range: boolean
rules:
- postconditions:
    slot_conditions:
      attachmentPoint:
        name: attachmentPoint
        minimum_value: 0.0
        maximum_value: 1.0
  description: FpML definition associated with the attachmentPoint element specifies
    that a schema facet to constraint the value between 0 to 1 will be introduced
    in FpML 4.3.
- postconditions:
    slot_conditions:
      exhaustionPoint:
        name: exhaustionPoint
        minimum_value: 0.0
        maximum_value: 1.0
  description: FpML definition associated with the exhaustionPoint element specifies
    that a schema facet to constraint the value between 0 to 1 will be introduced
    in FpML 4.3.
- description: 'FpML validation rule cd-40 - Context: Tranche (complex type) attachmentPoint
    must be less or equal to exhaustionPoint.'
  comments:
  - 'Rosetta comparison: attachmentPoint <= exhaustionPoint'