Class: CorrelationReturnTerms

URI: common_domain_model:CorrelationReturnTerms

 classDiagram
    class CorrelationReturnTerms
    click CorrelationReturnTerms href "../CorrelationReturnTerms/"
      ReturnTermsBase <|-- CorrelationReturnTerms
        click ReturnTermsBase href "../ReturnTermsBase/"
      
      CorrelationReturnTerms : annualizationFactor
        
      CorrelationReturnTerms : boundedCorrelation
        
          
    
        
        
        CorrelationReturnTerms --> "0..1" NumberRange : boundedCorrelation
        click NumberRange href "../NumberRange/"
    

        
      CorrelationReturnTerms : correlationStrikePrice
        
          
    
        
        
        CorrelationReturnTerms --> "1" Price : correlationStrikePrice
        click Price href "../Price/"
    

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

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

        
      CorrelationReturnTerms : expectedN
        
      CorrelationReturnTerms : initialLevel
        
      CorrelationReturnTerms : initialLevelSource
        
          
    
        
        
        CorrelationReturnTerms --> "0..1" DeterminationMethodEnum : initialLevelSource
        click DeterminationMethodEnum href "../DeterminationMethodEnum/"
    

        
      CorrelationReturnTerms : meanAdjustment
        
      CorrelationReturnTerms : numberOfDataSeries
        
      CorrelationReturnTerms : performance
        
      CorrelationReturnTerms : sharePriceDividendAdjustment
        
      CorrelationReturnTerms : valuationTerms
        
          
    
        
        
        CorrelationReturnTerms --> "1" ValuationTerms : valuationTerms
        click ValuationTerms href "../ValuationTerms/"
    

        
      

Inheritance

• ReturnTermsBase
  • CorrelationReturnTerms

Slots

Name	Cardinality and Range	Description	Inheritance
correlationStrikePrice	1 Price	Correlation Strike Price in accordance with the ISDA 2011 Equity Derivatives …	direct
boundedCorrelation	0..1 NumberRange	Describes correlation bounds, which form a cap and a floor on the realized co…	direct
numberOfDataSeries	0..1 Integer	Number of data series, normal market practice is that correlation data sets a…	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

Expressions & Logic

All Of

The class must satisfy all of:

• AnonymousClassExpression({ ‘description’: (’From ReturnTermsBase. PositiveExpectedN: The number of expected trading ’ ‘dates must be positive’), ‘slot_conditions’: {‘expectedN’: SlotDefinition({‘name’: ‘expectedN’, ‘minimum_value’: 1})} })

Usages

used by	used in	type	used
PortfolioReturnTerms	correlationReturnTerms	range	CorrelationReturnTerms
ReturnTerms	correlationReturnTerms	range	CorrelationReturnTerms

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	{'numberOfDataSeries': {'value_presence': 'PRESENT'}}	{'numberOfDataSeries': {'minimum_value': 1, 'value_presence': 'PRESENT'}}

Comments

• Rosetta condition CorrelationValue is not stated in LinkML: correlationStrikePrice -> value > - 1 and correlationStrikePrice -> value < 1

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: CorrelationReturnTerms
comments:
- 'Rosetta condition CorrelationValue is not stated in LinkML: correlationStrikePrice
  -> value > - 1 and correlationStrikePrice -> value < 1'
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTermsBase
attributes:
  correlationStrikePrice:
    name: correlationStrikePrice
    description: Correlation Strike Price in accordance with the ISDA 2011 Equity
      Derivatives Definitions.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - CorrelationReturnTerms
    range: Price
    required: true
  boundedCorrelation:
    name: boundedCorrelation
    description: Describes correlation bounds, which form a cap and a floor on the
      realized correlation.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - CorrelationReturnTerms
    range: NumberRange
  numberOfDataSeries:
    name: numberOfDataSeries
    description: Number of data series, normal market practice is that correlation
      data sets are drawn from geographic market areas, such as America, Europe and
      Asia Pacific, each of these geographic areas will have its own data series to
      avoid contagion.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - CorrelationReturnTerms
    range: integer
rules:
- preconditions:
    slot_conditions:
      numberOfDataSeries:
        name: numberOfDataSeries
        value_presence: PRESENT
  postconditions:
    slot_conditions:
      numberOfDataSeries:
        name: numberOfDataSeries
        minimum_value: 1
        value_presence: PRESENT
  description: 'PositiveNumberOfDataSeries: The number of data series must be positive'
all_of:
- description: 'From ReturnTermsBase. PositiveExpectedN: The number of expected trading
    dates must be positive'
  slot_conditions:
    expectedN:
      name: expectedN
      minimum_value: 1

Induced

name: CorrelationReturnTerms
comments:
- 'Rosetta condition CorrelationValue is not stated in LinkML: correlationStrikePrice
  -> value > - 1 and correlationStrikePrice -> value < 1'
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTermsBase
attributes:
  correlationStrikePrice:
    name: correlationStrikePrice
    description: Correlation Strike Price in accordance with the ISDA 2011 Equity
      Derivatives Definitions.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - CorrelationReturnTerms
    range: Price
    required: true
  boundedCorrelation:
    name: boundedCorrelation
    description: Describes correlation bounds, which form a cap and a floor on the
      realized correlation.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - CorrelationReturnTerms
    range: NumberRange
  numberOfDataSeries:
    name: numberOfDataSeries
    description: Number of data series, normal market practice is that correlation
      data sets are drawn from geographic market areas, such as America, Europe and
      Asia Pacific, each of these geographic areas will have its own data series to
      avoid contagion.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - CorrelationReturnTerms
    range: integer
  valuationTerms:
    name: valuationTerms
    description: Contains all non-date valuation information.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: CorrelationReturnTerms
    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/cdm_product_asset
    rank: 1000
    owner: CorrelationReturnTerms
    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/cdm_product_asset
    rank: 1000
    owner: CorrelationReturnTerms
    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/cdm_product_asset
    rank: 1000
    owner: CorrelationReturnTerms
    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/cdm_product_asset
    rank: 1000
    owner: CorrelationReturnTerms
    domain_of:
    - ReturnTermsBase
    range: boolean
  expectedN:
    name: expectedN
    description: Expected number of trading days.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: CorrelationReturnTerms
    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/cdm_product_asset
    rank: 1000
    owner: CorrelationReturnTerms
    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/cdm_product_asset
    rank: 1000
    owner: CorrelationReturnTerms
    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/cdm_product_asset
    rank: 1000
    owner: CorrelationReturnTerms
    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/cdm_product_asset
    owner: CorrelationReturnTerms
    domain_of:
    - DividendReturnTerms
    - PriceReturnTerms
    - ReturnTermsBase
    range: string
rules:
- preconditions:
    slot_conditions:
      numberOfDataSeries:
        name: numberOfDataSeries
        value_presence: PRESENT
  postconditions:
    slot_conditions:
      numberOfDataSeries:
        name: numberOfDataSeries
        minimum_value: 1
        value_presence: PRESENT
  description: 'PositiveNumberOfDataSeries: The number of data series must be positive'
all_of:
- description: 'From ReturnTermsBase. PositiveExpectedN: The number of expected trading
    dates must be positive'
  slot_conditions:
    expectedN:
      name: expectedN
      minimum_value: 1