Class: VolatilityReturnTerms

URI: common_domain_model:VolatilityReturnTerms

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

      VolatilityReturnTerms : annualizationFactor

      VolatilityReturnTerms : dividendApplicability





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



      VolatilityReturnTerms : equityUnderlierProvisions





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



      VolatilityReturnTerms : exchangeTradedContractNearest





        VolatilityReturnTerms --> "0..1" ListedDerivative : exchangeTradedContractNearest
        click ListedDerivative href "../ListedDerivative/"



      VolatilityReturnTerms : expectedN

      VolatilityReturnTerms : initialLevel

      VolatilityReturnTerms : initialLevelSource





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



      VolatilityReturnTerms : meanAdjustment

      VolatilityReturnTerms : performance

      VolatilityReturnTerms : sharePriceDividendAdjustment

      VolatilityReturnTerms : valuationTerms





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



      VolatilityReturnTerms : volatilityCapFloor





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



      VolatilityReturnTerms : volatilityStrikePrice





        VolatilityReturnTerms --> "1" Price : volatilityStrikePrice
        click Price href "../Price/"

Inheritance

ReturnTermsBase
- VolatilityReturnTerms

Slots

Name	Cardinality and Range	Description	Inheritance
volatilityStrikePrice	1 Price	Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives D...	direct
volatilityCapFloor	0..1 VolatilityCapFloor	Contains volatility-based barriers	direct
exchangeTradedContractNearest	0..1 ListedDerivative 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	volatilityReturnTerms	range	VolatilityReturnTerms
PortfolioReturnTerms	volatilityReturnTerms	range	VolatilityReturnTerms

In Subsets

CdmProductAsset

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: VolatilityReturnTerms
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTermsBase
slots:
- volatilityStrikePrice
- volatilityCapFloor
- exchangeTradedContractNearest
slot_usage:
  volatilityStrikePrice:
    name: volatilityStrikePrice
    required: true
  volatilityCapFloor:
    name: volatilityCapFloor
    description: Contains volatility-based barriers
  exchangeTradedContractNearest:
    name: exchangeTradedContractNearest
    range: ListedDerivative

Induced

name: VolatilityReturnTerms
in_subset:
- cdm_product_asset
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTermsBase
slot_usage:
  volatilityStrikePrice:
    name: volatilityStrikePrice
    required: true
  volatilityCapFloor:
    name: volatilityCapFloor
    description: Contains volatility-based barriers
  exchangeTradedContractNearest:
    name: exchangeTradedContractNearest
    range: ListedDerivative
attributes:
  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: VolatilityReturnTerms
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: Price
    required: true
  volatilityCapFloor:
    name: volatilityCapFloor
    description: Contains volatility-based barriers
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: VolatilityReturnTerms
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: VolatilityCapFloor
  exchangeTradedContractNearest:
    name: exchangeTradedContractNearest
    description: Specification of the exchange traded contract nearest.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: VolatilityReturnTerms
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: ListedDerivative
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    domain_of:
    - DividendReturnTerms
    - PriceReturnTerms
    - ReturnTermsBase
    range: string