Class: AccrualFactorCalculationTerms

Describes the input terms involved in the calculation of the accrual factor. Optionnally, long and short stub interpolation rates can be specified.

URI: common_domain_model:AccrualFactorCalculationTerms

 classDiagram
    class AccrualFactorCalculationTerms
    click AccrualFactorCalculationTerms href "../AccrualFactorCalculationTerms/"
      AccrualFactorCalculationTerms : dayCountFraction
        
          
    
        
        
        AccrualFactorCalculationTerms --> "1" DayCountFractionEnum : dayCountFraction
        click DayCountFractionEnum href "../DayCountFractionEnum/"
    

        
      AccrualFactorCalculationTerms : interpolationTerms
        
          
    
        
        
        AccrualFactorCalculationTerms --> "0..1" StubValue : interpolationTerms
        click StubValue href "../StubValue/"
    

        
      AccrualFactorCalculationTerms : tenorTillMaturity
        
      

Slots

Name	Cardinality and Range	Description	Inheritance
tenorTillMaturity	1 Decimal	The duration between last fixing date and the payment date of accruals, calcu…	direct
dayCountFraction	1 DayCountFractionEnum	The enumerated values to specify the day count fraction	direct
interpolationTerms	0..1 StubValue	Describes the rate, tenor, period duration for the short and long stubs, when…	direct

Usages

used by	used in	type	used
AccrualFactor	calculationTerms	range	AccrualFactorCalculationTerms

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: AccrualFactorCalculationTerms
description: Describes the input terms involved in the calculation of the accrual
  factor. Optionnally, long and short stub interpolation rates can be specified.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  tenorTillMaturity:
    name: tenorTillMaturity
    description: The duration between last fixing date and the payment date of accruals,
      calculated in accordance with the appropriate DayCountFraction.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    domain_of:
    - AccrualFactorCalculationTerms
    range: decimal
    required: true
  dayCountFraction:
    name: dayCountFraction
    description: The enumerated values to specify the day count fraction.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    domain_of:
    - AccrualFactorCalculationTerms
    - FloatingRateIndexCalculationDefaults
    - InterestRatePayout
    - CollateralInterestCalculationParameters
    range: DayCountFractionEnum
    required: true
  interpolationTerms:
    name: interpolationTerms
    description: Describes the rate, tenor, period duration for the short and long
      stubs, when the accrualRate optionnaly results from an interpolation method.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    domain_of:
    - AccrualFactorCalculationTerms
    range: StubValue

Induced

name: AccrualFactorCalculationTerms
description: Describes the input terms involved in the calculation of the accrual
  factor. Optionnally, long and short stub interpolation rates can be specified.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  tenorTillMaturity:
    name: tenorTillMaturity
    description: The duration between last fixing date and the payment date of accruals,
      calculated in accordance with the appropriate DayCountFraction.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: AccrualFactorCalculationTerms
    domain_of:
    - AccrualFactorCalculationTerms
    range: decimal
    required: true
  dayCountFraction:
    name: dayCountFraction
    description: The enumerated values to specify the day count fraction.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: AccrualFactorCalculationTerms
    domain_of:
    - AccrualFactorCalculationTerms
    - FloatingRateIndexCalculationDefaults
    - InterestRatePayout
    - CollateralInterestCalculationParameters
    range: DayCountFractionEnum
    required: true
  interpolationTerms:
    name: interpolationTerms
    description: Describes the rate, tenor, period duration for the short and long
      stubs, when the accrualRate optionnaly results from an interpolation method.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: AccrualFactorCalculationTerms
    domain_of:
    - AccrualFactorCalculationTerms
    range: StubValue