Class: VolatilityCapFloor

Contains volatility-based barriers. Volatility Cap needs to be specified in accordance with the ISDA 2011 Equity Derivatives Definitions.

URI: common_domain_model:VolatilityCapFloor

 classDiagram
    class VolatilityCapFloor
    click VolatilityCapFloor href "../VolatilityCapFloor/"
      VolatilityCapFloor : applicable

      VolatilityCapFloor : totalVolatilityCap

      VolatilityCapFloor : volatilityCapFactor

Slots

Name	Cardinality and Range	Description	Inheritance
applicable	1 Boolean	Indicates whether the volatility cap is applicable in accordance with the ISD...	direct
totalVolatilityCap	0..1 Decimal	Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives Def...	direct
volatilityCapFactor	0..1 Decimal	Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives Def...	direct

Usages

used by	used in	type	used
VarianceReturnTerms	volatilityCapFloor	range	VolatilityCapFloor
VolatilityReturnTerms	volatilityCapFloor	range	VolatilityCapFloor

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	`{'applicable': {'equals_string': 'True'}}`

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	`{'totalVolatilityCap': {'required': True}}`	`{'totalVolatilityCap': {'minimum_value': 0}}`

In Subsets

CdmProductAsset

Comments

Rosetta condition: CapFloorApplicability — if applicable = True then totalVolatilityCap exists or volatilityCapFactor exists // If CapFloor is applicable at least one cap expression must exist else totalVolatilityCap is absent and volatilityCapFactor is absent // If CapFloor is not applicable, then there cannot be any volatility caps
Rosetta condition: PositiveCaps — if totalVolatilityCap exists then totalVolatilityCap >= 0 and if volatilityCapFactor exists then volatilityCapFactor >= 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:VolatilityCapFloor
native	common_domain_model:VolatilityCapFloor

LinkML Source

Direct

name: VolatilityCapFloor
description: Contains volatility-based barriers. Volatility Cap needs to be specified
  in accordance with the ISDA 2011 Equity Derivatives Definitions.
comments:
- 'Rosetta condition: CapFloorApplicability — if applicable = True then totalVolatilityCap
  exists or volatilityCapFactor exists // If CapFloor is applicable at least one cap
  expression must exist else totalVolatilityCap is absent and volatilityCapFactor
  is absent // If CapFloor is not applicable, then there cannot be any volatility
  caps'
- 'Rosetta condition: PositiveCaps — if totalVolatilityCap exists then totalVolatilityCap
  >= 0 and if volatilityCapFactor exists then volatilityCapFactor >= 0'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
slots:
- applicable
- totalVolatilityCap
- volatilityCapFactor
slot_usage:
  applicable:
    name: applicable
    description: Indicates whether the volatility cap is applicable in accordance
      with the ISDA 2011 Equity Derivatives Definitions. Setting the element 'applicable'
      to 'False' - means No Volatility Cap and no 'totalVolatilityCap' or 'volatilityCapFactor'
      should be provided. Setting the element 'applicable' to 'True' - means Volatility
      Cap election, then 'totalVolatilityCap' or 'volatilityCapFactor' should be provided,
      otherwise it defaults to volatilityCapFactor=2.5.
rules:
- preconditions:
    slot_conditions:
      applicable:
        name: applicable
        equals_string: 'True'
  postconditions:
    any_of:
    - slot_conditions:
        totalVolatilityCap:
          name: totalVolatilityCap
          required: true
    - slot_conditions:
        volatilityCapFactor:
          name: volatilityCapFactor
          required: true
  description: Caps/floors can and must be specified if applicable is set to true.
    If false, barriers cannot be established
- preconditions:
    slot_conditions:
      totalVolatilityCap:
        name: totalVolatilityCap
        required: true
  postconditions:
    slot_conditions:
      totalVolatilityCap:
        name: totalVolatilityCap
        minimum_value: 0
  description: Barriers must be set to positive values

Induced

name: VolatilityCapFloor
description: Contains volatility-based barriers. Volatility Cap needs to be specified
  in accordance with the ISDA 2011 Equity Derivatives Definitions.
comments:
- 'Rosetta condition: CapFloorApplicability — if applicable = True then totalVolatilityCap
  exists or volatilityCapFactor exists // If CapFloor is applicable at least one cap
  expression must exist else totalVolatilityCap is absent and volatilityCapFactor
  is absent // If CapFloor is not applicable, then there cannot be any volatility
  caps'
- 'Rosetta condition: PositiveCaps — if totalVolatilityCap exists then totalVolatilityCap
  >= 0 and if volatilityCapFactor exists then volatilityCapFactor >= 0'
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
slot_usage:
  applicable:
    name: applicable
    description: Indicates whether the volatility cap is applicable in accordance
      with the ISDA 2011 Equity Derivatives Definitions. Setting the element 'applicable'
      to 'False' - means No Volatility Cap and no 'totalVolatilityCap' or 'volatilityCapFactor'
      should be provided. Setting the element 'applicable' to 'True' - means Volatility
      Cap election, then 'totalVolatilityCap' or 'volatilityCapFactor' should be provided,
      otherwise it defaults to volatilityCapFactor=2.5.
attributes:
  applicable:
    name: applicable
    description: Indicates whether the volatility cap is applicable in accordance
      with the ISDA 2011 Equity Derivatives Definitions. Setting the element 'applicable'
      to 'False' - means No Volatility Cap and no 'totalVolatilityCap' or 'volatilityCapFactor'
      should be provided. Setting the element 'applicable' to 'True' - means Volatility
      Cap election, then 'totalVolatilityCap' or 'volatilityCapFactor' should be provided,
      otherwise it defaults to volatilityCapFactor=2.5.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: VolatilityCapFloor
    domain_of:
    - NotDomesticCurrency
    - SpecifiedCurrency
    - FinalReturns
    - FailureToPay
    - GracePeriodExtension
    - Restructuring
    - VolatilityCapFloor
    - PCDeliverableObligationCharac
    range: boolean
    required: true
  totalVolatilityCap:
    name: totalVolatilityCap
    description: Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives
      Definitions. This means the Volatility Cap Amount election is a number.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: VolatilityCapFloor
    domain_of:
    - VolatilityCapFloor
    range: decimal
  volatilityCapFactor:
    name: volatilityCapFactor
    description: Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives
      Definitions. The Calculated VolCapAmt can be optionally provided.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: VolatilityCapFloor
    domain_of:
    - VolatilityCapFloor
    range: decimal
rules:
- preconditions:
    slot_conditions:
      applicable:
        name: applicable
        equals_string: 'True'
  postconditions:
    any_of:
    - slot_conditions:
        totalVolatilityCap:
          name: totalVolatilityCap
          required: true
    - slot_conditions:
        volatilityCapFactor:
          name: volatilityCapFactor
          required: true
  description: Caps/floors can and must be specified if applicable is set to true.
    If false, barriers cannot be established
- preconditions:
    slot_conditions:
      totalVolatilityCap:
        name: totalVolatilityCap
        required: true
  postconditions:
    slot_conditions:
      totalVolatilityCap:
        name: totalVolatilityCap
        minimum_value: 0
  description: Barriers must be set to positive values