Class: CollateralAgreementFloatingRate

Represents the parameters needed to calculate the floating rate paid on collateral holdings.

URI: common_domain_model:CollateralAgreementFloatingRate

 classDiagram
    class CollateralAgreementFloatingRate
    click CollateralAgreementFloatingRate href "../CollateralAgreementFloatingRate/"
      FloatingRateBase <|-- CollateralAgreementFloatingRate
        click FloatingRateBase href "../FloatingRateBase/"
      
      CollateralAgreementFloatingRate : capRateSchedule
        
          
    
        
        
        CollateralAgreementFloatingRate --> "0..1" StrikeSchedule : capRateSchedule
        click StrikeSchedule href "../StrikeSchedule/"
    

        
      CollateralAgreementFloatingRate : compressibleSpread
        
      CollateralAgreementFloatingRate : floorRateSchedule
        
          
    
        
        
        CollateralAgreementFloatingRate --> "0..1" StrikeSchedule : floorRateSchedule
        click StrikeSchedule href "../StrikeSchedule/"
    

        
      CollateralAgreementFloatingRate : negativeInterest
        
      CollateralAgreementFloatingRate : rateOption
        
          
    
        
        
        CollateralAgreementFloatingRate --> "0..1" InterestRateIndex : rateOption
        click InterestRateIndex href "../InterestRateIndex/"
    

        
      CollateralAgreementFloatingRate : spreadSchedule
        
          
    
        
        
        CollateralAgreementFloatingRate --> "0..1" SpreadSchedule : spreadSchedule
        click SpreadSchedule href "../SpreadSchedule/"
    

        
      

Inheritance

• FloatingRateBase
  • CollateralAgreementFloatingRate

Slots

Name	Cardinality and Range	Description	Inheritance
negativeInterest	1 Boolean	Specifies how negative rates should be applied	direct
compressibleSpread	1 Boolean	Specifies how spreads should be applied in a low/negative rate environment	direct
rateOption	0..1 InterestRateIndex		FloatingRateBase
spreadSchedule	0..1 SpreadSchedule	The ISDA Spread or a Spread schedule expressed as explicit spreads and dates	FloatingRateBase
capRateSchedule	0..1 StrikeSchedule	The cap rate or cap rate schedule, if any, which applies to the floating rate	FloatingRateBase
floorRateSchedule	0..1 StrikeSchedule	The floor rate or floor rate schedule, if any, which applies to the floating …	FloatingRateBase

Usages

used by	used in	type	used
CollateralInterestCalculationParameters	floatingRate	range	CollateralAgreementFloatingRate

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: CollateralAgreementFloatingRate
description: Represents the parameters needed to calculate the floating rate paid
  on collateral holdings.
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: FloatingRateBase
attributes:
  negativeInterest:
    name: negativeInterest
    description: Specifies how negative rates should be applied. If rates go negative,
      should the payment be reversed (true) or zeroed out (false)?
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_collateral
    rank: 1000
    domain_of:
    - CollateralAgreementFloatingRate
    range: boolean
    required: true
  compressibleSpread:
    name: compressibleSpread
    description: Specifies how spreads should be applied in a low/negative rate environment.
      If true, spread is applied only if rate is positive.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_collateral
    rank: 1000
    domain_of:
    - CollateralAgreementFloatingRate
    range: boolean
    required: true

Induced

name: CollateralAgreementFloatingRate
description: Represents the parameters needed to calculate the floating rate paid
  on collateral holdings.
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: FloatingRateBase
attributes:
  negativeInterest:
    name: negativeInterest
    description: Specifies how negative rates should be applied. If rates go negative,
      should the payment be reversed (true) or zeroed out (false)?
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_collateral
    rank: 1000
    owner: CollateralAgreementFloatingRate
    domain_of:
    - CollateralAgreementFloatingRate
    range: boolean
    required: true
  compressibleSpread:
    name: compressibleSpread
    description: Specifies how spreads should be applied in a low/negative rate environment.
      If true, spread is applied only if rate is positive.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_collateral
    rank: 1000
    owner: CollateralAgreementFloatingRate
    domain_of:
    - CollateralAgreementFloatingRate
    range: boolean
    required: true
  rateOption:
    name: rateOption
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: address "pointsTo"=Observable->Index->InterestRateIndex
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: CollateralAgreementFloatingRate
    domain_of:
    - FloatingRateBase
    range: InterestRateIndex
  spreadSchedule:
    name: spreadSchedule
    description: The ISDA Spread or a Spread schedule expressed as explicit spreads
      and dates. In the case of a schedule, the step dates may be subject to adjustment
      in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
      The spread is a per annum rate, expressed as a decimal. For purposes of determining
      a calculation period amount, if positive the spread will be added to the floating
      rate and if negative the spread will be subtracted from the floating rate. A
      positive 10 basis point (0.1%) spread would be represented as 0.001.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: CollateralAgreementFloatingRate
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: SpreadSchedule
  capRateSchedule:
    name: capRateSchedule
    description: The cap rate or cap rate schedule, if any, which applies to the floating
      rate. The cap rate (strike) is only required where the floating rate on a swap
      stream is capped at a certain level. A cap rate schedule is expressed as explicit
      cap rates and dates and the step dates may be subject to adjustment in accordance
      with any adjustments specified in calculationPeriodDatesAdjustments. The cap
      rate is assumed to be exclusive of any spread and is a per annum rate, expressed
      as a decimal. A cap rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: CollateralAgreementFloatingRate
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: StrikeSchedule
  floorRateSchedule:
    name: floorRateSchedule
    description: The floor rate or floor rate schedule, if any, which applies to the
      floating rate. The floor rate (strike) is only required where the floating rate
      on a swap stream is floored at a certain strike level. A floor rate schedule
      is expressed as explicit floor rates and dates and the step dates may be subject
      to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
      The floor rate is assumed to be exclusive of any spread and is a per annum rate,
      expressed as a decimal. A floor rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: CollateralAgreementFloatingRate
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: StrikeSchedule