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Slot: floatingRate

The rates to be applied to the initial or final stub may be the linear interpolation of two different rates. While the majority of the time, the rate indices will be the same as that specified in the stream and only the tenor itself will be different, it is possible to specift two different rates. For example, a 2 month stub period may use the linear interpolation of a 1 month and 3 month rate. The different rates would be specified in this component. Note that a maximum of two rates can be specified. If a stub period uses the same floating rate index, including tenor, as the regular calculation periods then this should not be specified again within this component, i.e. the stub calculation period amount component may not need to be specified even if there is an initial or final stub period. If a stub period uses a different floating rate index compared to the regular calculation periods then this should be specified within this component. If specified here, they are likely to have id attributes, allowing them to be referenced from within the cashflows component.

URI: common_domain_model:floatingRate

Applicable Classes

Name Description Modifies Slot
StubValue A type defining how a stub calculation period amount is calculated no
FloatingAmountCalculationDetails Type for reporting the detailed results of calculating a cash flow for a calc... yes
FloatingRateSettingDetails Type for reporting the raw (untreated) observed or calculated rate for a calc... yes
CollateralInterestCalculationParameters Represents parameters for calculating the amount the floating interest calcul... yes

Properties

Type and Range

Property Value
Range StubFloatingRate
Domain Of StubValue, FloatingAmountCalculationDetails, FloatingRateSettingDetails, CollateralInterestCalculationParameters

Cardinality and Requirements

Property Value
Multivalued Yes

Identifier and Mapping Information

Schema Source

Mappings

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

LinkML Source

name: floatingRate
description: The rates to be applied to the initial or final stub may be the linear
  interpolation of two different rates. While the majority of the time, the rate indices
  will be the same as that specified in the stream and only the tenor itself will
  be different, it is possible to specift two different rates. For example, a 2 month
  stub period may use the linear interpolation of a 1 month and 3 month rate. The
  different rates would be specified in this component. Note that a maximum of two
  rates can be specified. If a stub period uses the same floating rate index, including
  tenor, as the regular calculation periods then this should not be specified again
  within this component, i.e. the stub calculation period amount component may not
  need to be specified even if there is an initial or final stub period. If a stub
  period uses a different floating rate index compared to the regular calculation
  periods then this should be specified within this component. If specified here,
  they are likely to have id attributes, allowing them to be referenced from within
  the cashflows component.
from_schema: https://w3id.org/lmodel/common-domain-model
rank: 1000
domain_of:
- StubValue
- FloatingAmountCalculationDetails
- FloatingRateSettingDetails
- CollateralInterestCalculationParameters
range: StubFloatingRate
multivalued: true
inlined: true
inlined_as_list: true