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common-domain-model

Class: CalculationPeriod

A data defining: the parameters used in the calculation of a fixed or floating rate calculation period amount. This data forms: part of cashflows representation of a swap stream.

URI: common_domain_model:CalculationPeriod

 classDiagram
    class CalculationPeriod
    click CalculationPeriod href "../CalculationPeriod/"
      CalculationPeriodBase <|-- CalculationPeriod
        click CalculationPeriodBase href "../CalculationPeriodBase/"
      
      CalculationPeriod : adjustedEndDate
        
      CalculationPeriod : adjustedStartDate
        
      CalculationPeriod : calculationPeriodNumberOfDays
        
      CalculationPeriod : dayCountYearFraction
        
      CalculationPeriod : fixedRate
        
      CalculationPeriod : floatingRateDefinition
        
          
    
        
        
        CalculationPeriod --> "0..1" FloatingRateDefinition : floatingRateDefinition
        click FloatingRateDefinition href "../FloatingRateDefinition/"
    

        
      CalculationPeriod : forecastAmount
        
          
    
        
        
        CalculationPeriod --> "0..1" Money : forecastAmount
        click Money href "../Money/"
    

        
      CalculationPeriod : forecastRate
        
      CalculationPeriod : fxLinkedNotionalAmount
        
          
    
        
        
        CalculationPeriod --> "0..1" FxLinkedNotionalAmount : fxLinkedNotionalAmount
        click FxLinkedNotionalAmount href "../FxLinkedNotionalAmount/"
    

        
      CalculationPeriod : notionalAmount
        
      CalculationPeriod : unadjustedEndDate
        
      CalculationPeriod : unadjustedStartDate

Inheritance

Section titled “Inheritance”

Slots

Section titled “Slots”
Name Cardinality and Range Description Inheritance
unadjustedStartDate 0..1
date		 The calculation start date, unadjusted direct
unadjustedEndDate 0..1
date		 The calculation end date, unadjusted direct
calculationPeriodNumberOfDays 0..1
Integer		 The number of days from the adjusted effective / start date to the adjusted t… direct
notionalAmount 0..1
Decimal		 The amount that a cashflow will accrue interest on direct
fxLinkedNotionalAmount 0..1
FxLinkedNotionalAmount		 The amount that a cashflow will accrue interest on direct
floatingRateDefinition 0..1
FloatingRateDefinition		 The floating rate reset information for the calculation period direct
fixedRate 0..1
Decimal		 The calculation period fixed rate direct
dayCountYearFraction 0..1
Decimal		 The year fraction value of the calculation period, result of applying the ISD… direct
forecastAmount 0..1
Money		 The amount representing the forecast of the accrued value of the calculation … direct
forecastRate 0..1
Decimal		 A value representing the forecast rate used to calculate the forecast future … direct
adjustedStartDate 0..1
date		 The calculation period start date, adjusted according to any relevant busines… CalculationPeriodBase
adjustedEndDate 0..1
date		 The calculation period end date, adjusted according to any relevant business … CalculationPeriodBase
Expressions & Logic

All Of

Section titled “All Of”

The class must satisfy all of:

  • AnonymousClassExpression({ ‘description’: ‘NotionalChoice: condition to represent an FpML choice construct.’, ‘exactly_one_of’: [AnonymousClassExpression({ ‘slot_conditions’: {‘notionalAmount’: SlotDefinition({‘name’: ‘notionalAmount’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘fxLinkedNotionalAmount’: SlotDefinition({‘name’: ‘fxLinkedNotionalAmount’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} })] })
  • AnonymousClassExpression({ ‘description’: ‘RateChoice: condition to represent an FpML choice construct.’, ‘exactly_one_of’: [AnonymousClassExpression({ ‘slot_conditions’: {‘floatingRateDefinition’: SlotDefinition({‘name’: ‘floatingRateDefinition’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘fixedRate’: SlotDefinition({‘name’: ‘fixedRate’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} })] })
  • AnonymousClassExpression({ ‘description’: (’StartDateChoice: FpML validation rule ird-30 - Context: CalculationPeriod ’ ‘(complex type). unadjustedStartDate exists or adjustedStartDate exists.’), ‘exactly_one_of’: [AnonymousClassExpression({ ‘slot_conditions’: {‘adjustedStartDate’: SlotDefinition({‘name’: ‘adjustedStartDate’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘unadjustedStartDate’: SlotDefinition({‘name’: ‘unadjustedStartDate’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} })] })
  • AnonymousClassExpression({ ‘description’: (’EndDateChoice: FpML validation rule ird-31 - Context: CalculationPeriod ’ ‘(complex type). unadjustedEndDate exists or adjustedEndDate exists.’), ‘exactly_one_of’: [AnonymousClassExpression({ ‘slot_conditions’: {‘adjustedEndDate’: SlotDefinition({‘name’: ‘adjustedEndDate’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘unadjustedEndDate’: SlotDefinition({‘name’: ‘unadjustedEndDate’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} })] })

Usages

Section titled “Usages”
used by used in type used
PaymentCalculationPeriod calculationPeriod range CalculationPeriod

Identifier and Mapping Information

Section titled “Identifier and Mapping Information”

Schema Source

Section titled “Schema Source”

Mappings

Section titled “Mappings”
Mapping Type Mapped Value
self common_domain_model:CalculationPeriod
native common_domain_model:CalculationPeriod

LinkML Source

Section titled “LinkML Source”

Direct

Section titled “Direct”
name: CalculationPeriod
description: 'A data defining: the parameters used in the calculation of a fixed or
  floating rate calculation period amount. This data forms: part of cashflows representation
  of a swap stream.'
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: CalculationPeriodBase
attributes:
  unadjustedStartDate:
    name: unadjustedStartDate
    description: The calculation start date, unadjusted.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    domain_of:
    - CalculationPeriod
    range: date
  unadjustedEndDate:
    name: unadjustedEndDate
    description: The calculation end date, unadjusted.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    domain_of:
    - CalculationPeriod
    range: date
  calculationPeriodNumberOfDays:
    name: calculationPeriodNumberOfDays
    description: The number of days from the adjusted effective / start date to the
      adjusted termination / end date calculated in accordance with the applicable
      day count fraction.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    domain_of:
    - CalculationPeriod
    - FutureValueAmount
    range: integer
  notionalAmount:
    name: notionalAmount
    description: The amount that a cashflow will accrue interest on.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    domain_of:
    - CalculationPeriod
    - FxLinkedNotionalAmount
    range: decimal
  fxLinkedNotionalAmount:
    name: fxLinkedNotionalAmount
    description: The amount that a cashflow will accrue interest on. This is the calculated
      amount of the FX linked - i.e. the other currency notional amount multiplied
      by the appropriate FX spot rate.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    domain_of:
    - CalculationPeriod
    range: FxLinkedNotionalAmount
  floatingRateDefinition:
    name: floatingRateDefinition
    description: The floating rate reset information for the calculation period.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    domain_of:
    - CalculationPeriod
    range: FloatingRateDefinition
  fixedRate:
    name: fixedRate
    description: The calculation period fixed rate. A per annum rate, expressed as
      a decimal. A fixed rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    domain_of:
    - CalculationPeriod
    - FixedAmountCalculationDetails
    - CollateralInterestCalculationParameters
    range: decimal
  dayCountYearFraction:
    name: dayCountYearFraction
    description: The year fraction value of the calculation period, result of applying
      the ISDA rules for day count fraction defined in the ISDA Annex.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    domain_of:
    - CalculationPeriod
    range: decimal
  forecastAmount:
    name: forecastAmount
    description: The amount representing the forecast of the accrued value of the
      calculation period. An intermediate value used to generate the forecastPaymentAmount
      in the PaymentCalculationPeriod.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    domain_of:
    - CalculationPeriod
    range: Money
  forecastRate:
    name: forecastRate
    description: A value representing the forecast rate used to calculate the forecast
      future value of the accrual period. This is a calculated rate determined based
      on averaging the rates in the rateObservation elements, and incorporates all
      of the rate treatment and averaging rules. A value of 1% should be represented
      as 0.01.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    domain_of:
    - RateObservation
    - CalculationPeriod
    range: decimal
all_of:
- description: 'NotionalChoice: condition to represent an FpML choice construct.'
  exactly_one_of:
  - slot_conditions:
      notionalAmount:
        name: notionalAmount
        value_presence: PRESENT
  - slot_conditions:
      fxLinkedNotionalAmount:
        name: fxLinkedNotionalAmount
        value_presence: PRESENT
- description: 'RateChoice: condition to represent an FpML choice construct.'
  exactly_one_of:
  - slot_conditions:
      floatingRateDefinition:
        name: floatingRateDefinition
        value_presence: PRESENT
  - slot_conditions:
      fixedRate:
        name: fixedRate
        value_presence: PRESENT
- description: 'StartDateChoice: FpML validation rule ird-30 - Context: CalculationPeriod
    (complex type). unadjustedStartDate exists or adjustedStartDate exists.'
  exactly_one_of:
  - slot_conditions:
      adjustedStartDate:
        name: adjustedStartDate
        value_presence: PRESENT
  - slot_conditions:
      unadjustedStartDate:
        name: unadjustedStartDate
        value_presence: PRESENT
- description: 'EndDateChoice: FpML validation rule ird-31 - Context: CalculationPeriod
    (complex type). unadjustedEndDate exists or adjustedEndDate exists.'
  exactly_one_of:
  - slot_conditions:
      adjustedEndDate:
        name: adjustedEndDate
        value_presence: PRESENT
  - slot_conditions:
      unadjustedEndDate:
        name: unadjustedEndDate
        value_presence: PRESENT

Induced

Section titled “Induced”
name: CalculationPeriod
description: 'A data defining: the parameters used in the calculation of a fixed or
  floating rate calculation period amount. This data forms: part of cashflows representation
  of a swap stream.'
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: CalculationPeriodBase
attributes:
  unadjustedStartDate:
    name: unadjustedStartDate
    description: The calculation start date, unadjusted.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    range: date
  unadjustedEndDate:
    name: unadjustedEndDate
    description: The calculation end date, unadjusted.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    range: date
  calculationPeriodNumberOfDays:
    name: calculationPeriodNumberOfDays
    description: The number of days from the adjusted effective / start date to the
      adjusted termination / end date calculated in accordance with the applicable
      day count fraction.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    - FutureValueAmount
    range: integer
  notionalAmount:
    name: notionalAmount
    description: The amount that a cashflow will accrue interest on.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    - FxLinkedNotionalAmount
    range: decimal
  fxLinkedNotionalAmount:
    name: fxLinkedNotionalAmount
    description: The amount that a cashflow will accrue interest on. This is the calculated
      amount of the FX linked - i.e. the other currency notional amount multiplied
      by the appropriate FX spot rate.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    range: FxLinkedNotionalAmount
  floatingRateDefinition:
    name: floatingRateDefinition
    description: The floating rate reset information for the calculation period.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    range: FloatingRateDefinition
  fixedRate:
    name: fixedRate
    description: The calculation period fixed rate. A per annum rate, expressed as
      a decimal. A fixed rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    - FixedAmountCalculationDetails
    - CollateralInterestCalculationParameters
    range: decimal
  dayCountYearFraction:
    name: dayCountYearFraction
    description: The year fraction value of the calculation period, result of applying
      the ISDA rules for day count fraction defined in the ISDA Annex.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    range: decimal
  forecastAmount:
    name: forecastAmount
    description: The amount representing the forecast of the accrued value of the
      calculation period. An intermediate value used to generate the forecastPaymentAmount
      in the PaymentCalculationPeriod.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriod
    range: Money
  forecastRate:
    name: forecastRate
    description: A value representing the forecast rate used to calculate the forecast
      future value of the accrual period. This is a calculated rate determined based
      on averaging the rates in the rateObservation elements, and incorporates all
      of the rate treatment and averaging rules. A value of 1% should be represented
      as 0.01.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    owner: CalculationPeriod
    domain_of:
    - RateObservation
    - CalculationPeriod
    range: decimal
  adjustedStartDate:
    name: adjustedStartDate
    description: The calculation period start date, adjusted according to any relevant
      business day convention.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriodBase
    range: date
  adjustedEndDate:
    name: adjustedEndDate
    description: The calculation period end date, adjusted according to any relevant
      business day convention.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_schedule
    rank: 1000
    owner: CalculationPeriod
    domain_of:
    - CalculationPeriodBase
    range: date
all_of:
- description: 'NotionalChoice: condition to represent an FpML choice construct.'
  exactly_one_of:
  - slot_conditions:
      notionalAmount:
        name: notionalAmount
        value_presence: PRESENT
  - slot_conditions:
      fxLinkedNotionalAmount:
        name: fxLinkedNotionalAmount
        value_presence: PRESENT
- description: 'RateChoice: condition to represent an FpML choice construct.'
  exactly_one_of:
  - slot_conditions:
      floatingRateDefinition:
        name: floatingRateDefinition
        value_presence: PRESENT
  - slot_conditions:
      fixedRate:
        name: fixedRate
        value_presence: PRESENT
- description: 'StartDateChoice: FpML validation rule ird-30 - Context: CalculationPeriod
    (complex type). unadjustedStartDate exists or adjustedStartDate exists.'
  exactly_one_of:
  - slot_conditions:
      adjustedStartDate:
        name: adjustedStartDate
        value_presence: PRESENT
  - slot_conditions:
      unadjustedStartDate:
        name: unadjustedStartDate
        value_presence: PRESENT
- description: 'EndDateChoice: FpML validation rule ird-31 - Context: CalculationPeriod
    (complex type). unadjustedEndDate exists or adjustedEndDate exists.'
  exactly_one_of:
  - slot_conditions:
      adjustedEndDate:
        name: adjustedEndDate
        value_presence: PRESENT
  - slot_conditions:
      unadjustedEndDate:
        name: unadjustedEndDate
        value_presence: PRESENT