Class: ValuationMethod

Specifies the parameters required to obtain a valuation, including the source, quotation method (bid, mid etc.) and any applicable quotation amount.

URI: common_domain_model:ValuationMethod

 classDiagram
    class ValuationMethod
    click ValuationMethod href "../ValuationMethod/"
      ValuationMethod : cashCollateralValuationMethod





        ValuationMethod --> "0..1" CashCollateralValuationMethod : cashCollateralValuationMethod
        click CashCollateralValuationMethod href "../CashCollateralValuationMethod/"



      ValuationMethod : minimumQuotationAmount





        ValuationMethod --> "0..1" Money : minimumQuotationAmount
        click Money href "../Money/"



      ValuationMethod : quotationAmount





        ValuationMethod --> "0..1" Money : quotationAmount
        click Money href "../Money/"



      ValuationMethod : quotationMethod





        ValuationMethod --> "0..1" QuotationRateTypeEnum : quotationMethod
        click QuotationRateTypeEnum href "../QuotationRateTypeEnum/"



      ValuationMethod : valuationMethod





        ValuationMethod --> "0..1" ValuationMethodEnum : valuationMethod
        click ValuationMethodEnum href "../ValuationMethodEnum/"



      ValuationMethod : valuationSource





        ValuationMethod --> "1" ValuationSource : valuationSource
        click ValuationSource href "../ValuationSource/"

Slots

Name	Cardinality and Range	Description	Inheritance
valuationSource	1 ValuationSource	The source for obtaining a valuation	direct
quotationMethod	0..1 QuotationRateTypeEnum	The type of price quotations to be requested from dealers when determining th...	direct
valuationMethod	0..1 ValuationMethodEnum	The ISDA defined methodology for determining the final price of the reference...	direct
quotationAmount	0..1 Money	In the determination of a cash settlement amount, if weighted average quotati...	direct
minimumQuotationAmount	0..1 Money	In the determination of a cash settlement amount, if weighted average quotati...	direct
cashCollateralValuationMethod	0..1 CashCollateralValuationMethod	Specifies the parameters representing several mid-market valuation and replac...	direct

Usages

used by	used in	type	used
CashSettlementTerms	valuationMethod	range	ValuationMethod

In Subsets

CdmObservableAsset

Comments

Rosetta condition: FpML_cd_37 — if (quotationAmount -> unit -> currency exists and minimumQuotationAmount -> unit -> currency exists) and quotationAmount -> unit -> currency = minimumQuotationAmount -> unit -> currency then quotationAmount -> value > minimumQuotationAmount -> value
Rosetta condition: Dealer — if quotationAmount exists or minimumQuotationAmount exists then valuationSource -> dealerOrCCP -> legalEntity exists

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: ValuationMethod
description: Specifies the parameters required to obtain a valuation, including the
  source, quotation method (bid, mid etc.) and any applicable quotation amount.
comments:
- 'Rosetta condition: FpML_cd_37 — if (quotationAmount -> unit -> currency exists
  and minimumQuotationAmount -> unit -> currency exists) and quotationAmount -> unit
  -> currency = minimumQuotationAmount -> unit -> currency then quotationAmount ->
  value > minimumQuotationAmount -> value'
- 'Rosetta condition: Dealer — if quotationAmount exists or minimumQuotationAmount
  exists then valuationSource -> dealerOrCCP -> legalEntity exists'
in_subset:
- cdm_observable_asset
from_schema: https://w3id.org/lmodel/common-domain-model
slots:
- valuationSource
- quotationMethod
- valuationMethod
- quotationAmount
- minimumQuotationAmount
- cashCollateralValuationMethod

Induced

name: ValuationMethod
description: Specifies the parameters required to obtain a valuation, including the
  source, quotation method (bid, mid etc.) and any applicable quotation amount.
comments:
- 'Rosetta condition: FpML_cd_37 — if (quotationAmount -> unit -> currency exists
  and minimumQuotationAmount -> unit -> currency exists) and quotationAmount -> unit
  -> currency = minimumQuotationAmount -> unit -> currency then quotationAmount ->
  value > minimumQuotationAmount -> value'
- 'Rosetta condition: Dealer — if quotationAmount exists or minimumQuotationAmount
  exists then valuationSource -> dealerOrCCP -> legalEntity exists'
in_subset:
- cdm_observable_asset
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  valuationSource:
    name: valuationSource
    description: The source for obtaining a valuation. This may come from some information
      source (e.g. Reuters), from a rate option fixing (e.g. FX fixing for cross-currency
      settlement), or from a set of reference banks. This is a mandatory attribute
      as the valuation method relies on one of those sources to be specified.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ValuationMethod
    domain_of:
    - ValuationMethod
    range: ValuationSource
    required: true
  quotationMethod:
    name: quotationMethod
    description: 'The type of price quotations to be requested from dealers when determining
      the market value of the reference obligation for purposes of cash settlement,
      or which rate quote is to be observed for a fixing. For example, Bid, Offer,
      Mid-market or Exercising Party Pays. ISDA 2003 Term: Quotation Method. The meaning
      of Exercising Party Pays is defined in the 2000 ISDA Definitions, Section 17.2.
      Certain Definitions Relating to Cash Settlement, paragraph (j).'
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ValuationMethod
    domain_of:
    - ValuationMethod
    range: QuotationRateTypeEnum
  valuationMethod:
    name: valuationMethod
    description: 'The ISDA defined methodology for determining the final price of
      the reference obligation for purposes of cash settlement. (ISDA 2003 Term: Valuation
      Method). For example, Market, Highest etc.'
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ValuationMethod
    domain_of:
    - ValuationMethod
    - CashSettlementTerms
    range: ValuationMethodEnum
  quotationAmount:
    name: quotationAmount
    description: 'In the determination of a cash settlement amount, if weighted average
      quotations are to be obtained, the quotation amount specifies an upper limit
      to the outstanding principal balance of the reference obligation for which the
      quote should be obtained. If not specified, the ISDA definitions provide for
      a fallback amount equal to the floating rate payer calculation amount. ISDA
      2003 Term: Quotation Amount.'
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ValuationMethod
    domain_of:
    - ValuationMethod
    range: Money
  minimumQuotationAmount:
    name: minimumQuotationAmount
    description: 'In the determination of a cash settlement amount, if weighted average
      quotations are to be obtained, the minimum quotation amount specifies a minimum
      intended threshold amount of outstanding principal balance of the reference
      obligation for which the quote should be obtained. If not specified, the ISDA
      definitions provide for a fallback amount of the lower of either USD 1,000,000
      (or its equivalent in the relevant obligation currency) or the quotation amount.
      ISDA 2003 Term: Minimum Quotation Amount.'
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ValuationMethod
    domain_of:
    - ValuationMethod
    range: Money
  cashCollateralValuationMethod:
    name: cashCollateralValuationMethod
    description: Specifies the parameters representing several mid-market valuation
      and replacement value methods.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: ValuationMethod
    domain_of:
    - ValuationMethod
    range: CashCollateralValuationMethod