Class: VarianceReturnTerms

URI: common_domain_model:VarianceReturnTerms

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

      VarianceReturnTerms : annualizationFactor

      VarianceReturnTerms : dividendApplicability





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



      VarianceReturnTerms : equityUnderlierProvisions





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



      VarianceReturnTerms : exchangeTradedContractNearest





        VarianceReturnTerms --> "0..1" Observable : exchangeTradedContractNearest
        click Observable href "../Observable/"



      VarianceReturnTerms : expectedN

      VarianceReturnTerms : initialLevel

      VarianceReturnTerms : initialLevelSource





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



      VarianceReturnTerms : meanAdjustment

      VarianceReturnTerms : performance

      VarianceReturnTerms : sharePriceDividendAdjustment

      VarianceReturnTerms : valuationTerms





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



      VarianceReturnTerms : varianceCapFloor





        VarianceReturnTerms --> "0..1" VarianceCapFloor : varianceCapFloor
        click VarianceCapFloor href "../VarianceCapFloor/"



      VarianceReturnTerms : varianceStrikePrice





        VarianceReturnTerms --> "0..1" Price : varianceStrikePrice
        click Price href "../Price/"



      VarianceReturnTerms : vegaNotionalAmount





        VarianceReturnTerms --> "0..1" NonNegativeQuantitySchedule : vegaNotionalAmount
        click NonNegativeQuantitySchedule href "../NonNegativeQuantitySchedule/"



      VarianceReturnTerms : volatilityCapFloor





        VarianceReturnTerms --> "0..1" VolatilityCapFloor : volatilityCapFloor
        click VolatilityCapFloor href "../VolatilityCapFloor/"



      VarianceReturnTerms : volatilityStrikePrice





        VarianceReturnTerms --> "0..1" Price : volatilityStrikePrice
        click Price href "../Price/"

Inheritance

ReturnTermsBase
- VarianceReturnTerms

Slots

Name	Cardinality and Range	Description	Inheritance
varianceStrikePrice	0..1 Price	Variance Strike Price in accordance with the ISDA 2011 Equity Derivatives Def...	direct
volatilityStrikePrice	0..1 Price	Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives D...	direct
varianceCapFloor	0..1 VarianceCapFloor	Contains possible barriers for variance products, both variance-based and und...	direct
volatilityCapFloor	0..1 VolatilityCapFloor	Contains containing volatility-based barriers	direct
vegaNotionalAmount	0..1 NonNegativeQuantitySchedule	Vega Notional represents the approximate gain/loss at maturity for a 1% diffe...	direct
exchangeTradedContractNearest	0..1 Observable or Asset or Basket or Index	Specification of the exchange traded contract nearest	direct
valuationTerms	1 ValuationTerms	Contains all non-date valuation information	ReturnTermsBase
annualizationFactor	0..1 Integer	This specifies the numerator of an annualization factor	ReturnTermsBase
dividendApplicability	0..1 DividendApplicability	The parameters which define whether dividends are applicable	ReturnTermsBase
equityUnderlierProvisions	0..1 EquityUnderlierProvisions	Contains Equity Underlyer provisions regarding jurisdiction and fallbacks	ReturnTermsBase
sharePriceDividendAdjustment	0..1 Boolean	Indicates whether the price of shares is adjusted for dividends or not	ReturnTermsBase
expectedN	1 Integer	Expected number of trading days	ReturnTermsBase
initialLevel	0..1 Decimal	Contract will strike off this initial level	ReturnTermsBase
initialLevelSource	0..1 DeterminationMethodEnum	In this context, this is AgreedInitialPrice - a specified Initial Index Level	ReturnTermsBase
meanAdjustment	0..1 Boolean	Specifies whether Mean Adjustment is applicable or not in the calculation of ...	ReturnTermsBase
performance	0..1 string	Performance calculation, in accordance with Part 1 Section 12 of the 2018 ISD...	ReturnTermsBase

Usages

used by	used in	type	used
ReturnTerms	varianceReturnTerms	range	VarianceReturnTerms
PortfolioReturnTerms	varianceReturnTerms	range	VarianceReturnTerms

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions

In Subsets

CdmProductAsset

Comments

Rosetta condition: Positive_VegaNotionalAmount — if vegaNotionalAmount -> value exists then vegaNotionalAmount -> value > 0
Rosetta condition: UnderlierMustBeListedDerivative — if exchangeTradedContractNearest exists then exchangeTradedContractNearest -> Asset -> Instrument -> ListedDerivative exists
Rosetta condition: ReferenceContract — if valuationTerms -> futuresPriceValuation = True then exchangeTradedContractNearest exists
Rosetta condition: StrikePriceMustExist — required choice volatilityStrikePrice, varianceStrikePrice
Rosetta condition: NonNegativeStrikePrice — if volatilityStrikePrice -> value exists then volatilityStrikePrice -> value >= 0 and if varianceStrikePrice -> value exists then varianceStrikePrice -> value >= 0

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: VarianceReturnTerms
comments:
- 'Rosetta condition: Positive_VegaNotionalAmount — if vegaNotionalAmount -> value
  exists then vegaNotionalAmount -> value > 0'
- 'Rosetta condition: UnderlierMustBeListedDerivative — if exchangeTradedContractNearest
  exists then exchangeTradedContractNearest -> Asset -> Instrument -> ListedDerivative
  exists'
- 'Rosetta condition: ReferenceContract — if valuationTerms -> futuresPriceValuation
  = True then exchangeTradedContractNearest exists'
- 'Rosetta condition: StrikePriceMustExist — required choice volatilityStrikePrice,
  varianceStrikePrice'
- 'Rosetta condition: NonNegativeStrikePrice — if volatilityStrikePrice -> value exists
  then volatilityStrikePrice -> value >= 0 and if varianceStrikePrice -> value exists
  then varianceStrikePrice -> value >= 0'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTermsBase
slots:
- varianceStrikePrice
- volatilityStrikePrice
- varianceCapFloor
- volatilityCapFloor
- vegaNotionalAmount
- exchangeTradedContractNearest
rules:
- postconditions:
    exactly_one_of:
    - slot_conditions:
        volatilityStrikePrice:
          name: volatilityStrikePrice
          required: true
    - slot_conditions:
        varianceStrikePrice:
          name: varianceStrikePrice
          required: true
  description: The strike price must be present, but it can be expressed in either
    variance or volatility terms

Induced

name: VarianceReturnTerms
comments:
- 'Rosetta condition: Positive_VegaNotionalAmount — if vegaNotionalAmount -> value
  exists then vegaNotionalAmount -> value > 0'
- 'Rosetta condition: UnderlierMustBeListedDerivative — if exchangeTradedContractNearest
  exists then exchangeTradedContractNearest -> Asset -> Instrument -> ListedDerivative
  exists'
- 'Rosetta condition: ReferenceContract — if valuationTerms -> futuresPriceValuation
  = True then exchangeTradedContractNearest exists'
- 'Rosetta condition: StrikePriceMustExist — required choice volatilityStrikePrice,
  varianceStrikePrice'
- 'Rosetta condition: NonNegativeStrikePrice — if volatilityStrikePrice -> value exists
  then volatilityStrikePrice -> value >= 0 and if varianceStrikePrice -> value exists
  then varianceStrikePrice -> value >= 0'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTermsBase
attributes:
  varianceStrikePrice:
    name: varianceStrikePrice
    description: Variance Strike Price in accordance with the ISDA 2011 Equity Derivatives
      Definitions.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - VarianceReturnTerms
    range: Price
  volatilityStrikePrice:
    name: volatilityStrikePrice
    description: Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives
      Definitions.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: Price
  varianceCapFloor:
    name: varianceCapFloor
    description: Contains possible barriers for variance products, both variance-based
      and underlier price based
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - VarianceReturnTerms
    range: VarianceCapFloor
  volatilityCapFloor:
    name: volatilityCapFloor
    description: Contains containing volatility-based barriers
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: VolatilityCapFloor
  vegaNotionalAmount:
    name: vegaNotionalAmount
    description: Vega Notional represents the approximate gain/loss at maturity for
      a 1% difference between RVol (realised vol) and KVol (strike vol). It does not
      necessarily represent the Vega Risk of the trade.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - VarianceReturnTerms
    range: NonNegativeQuantitySchedule
  exchangeTradedContractNearest:
    name: exchangeTradedContractNearest
    description: Specification of the exchange traded contract nearest.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: Observable
    any_of:
    - range: Asset
    - range: Basket
    - range: Index
  valuationTerms:
    name: valuationTerms
    description: Contains all non-date valuation information.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: VarianceReturnTerms
    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: VarianceReturnTerms
    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: VarianceReturnTerms
    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: VarianceReturnTerms
    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: VarianceReturnTerms
    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: VarianceReturnTerms
    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: VarianceReturnTerms
    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: VarianceReturnTerms
    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: VarianceReturnTerms
    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: VarianceReturnTerms
    domain_of:
    - DividendReturnTerms
    - PriceReturnTerms
    - ReturnTermsBase
    range: string
rules:
- postconditions:
    exactly_one_of:
    - slot_conditions:
        volatilityStrikePrice:
          name: volatilityStrikePrice
          required: true
    - slot_conditions:
        varianceStrikePrice:
          name: varianceStrikePrice
          required: true
  description: The strike price must be present, but it can be expressed in either
    variance or volatility terms