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Class: EconomicTerms

This class represents the full set of price-forming features associated with a contractual product: the payout component, the notional/quantity, the effective and termination date and the date adjustment provisions when applying uniformily across the payout components. This class also includes the legal provisions which have valuation implications: cancelable provision, extendible provision, early termination provision and extraordinary events specification.

URI: common_domain_model:EconomicTerms

 classDiagram
    class EconomicTerms
    click EconomicTerms href "../EconomicTerms/"
      EconomicTerms : calculationAgent
        
          
    
        
        
        EconomicTerms --> "0..1" CalculationAgent : calculationAgent
        click CalculationAgent href "../CalculationAgent/"
    

        
      EconomicTerms : collateral
        
          
    
        
        
        EconomicTerms --> "0..1" Collateral : collateral
        click Collateral href "../Collateral/"
    

        
      EconomicTerms : dateAdjustments
        
          
    
        
        
        EconomicTerms --> "0..1" BusinessDayAdjustments : dateAdjustments
        click BusinessDayAdjustments href "../BusinessDayAdjustments/"
    

        
      EconomicTerms : effectiveDate
        
          
    
        
        
        EconomicTerms --> "0..1" AdjustableOrRelativeDate : effectiveDate
        click AdjustableOrRelativeDate href "../AdjustableOrRelativeDate/"
    

        
      EconomicTerms : effectiveTime
        
          
    
        
        
        EconomicTerms --> "0..1" DirectOrRelativeTime : effectiveTime
        click DirectOrRelativeTime href "../DirectOrRelativeTime/"
    

        
      EconomicTerms : nonStandardisedTerms
        
      EconomicTerms : payout
        
          
    
        
        
        EconomicTerms --> "1..*" Payout : payout
        click Payout href "../Payout/"
    

        
      EconomicTerms : terminationDate
        
          
    
        
        
        EconomicTerms --> "0..1" AdjustableOrRelativeDate : terminationDate
        click AdjustableOrRelativeDate href "../AdjustableOrRelativeDate/"
    

        
      EconomicTerms : terminationProvision
        
          
    
        
        
        EconomicTerms --> "0..1" TerminationProvision : terminationProvision
        click TerminationProvision href "../TerminationProvision/"
    

        
      EconomicTerms : terminationTime
        
          
    
        
        
        EconomicTerms --> "0..1" DirectOrRelativeTime : terminationTime
        click DirectOrRelativeTime href "../DirectOrRelativeTime/"
    

        
      
Name Cardinality and Range Description Inheritance
effectiveDate 0..1
AdjustableOrRelativeDate
The first day of the terms of the trade direct
effectiveTime 0..1
DirectOrRelativeTime
The time and zone of the first day of the terms of the trade direct
terminationDate 0..1
AdjustableOrRelativeDate
The last day of the terms of the trade direct
terminationTime 0..1
DirectOrRelativeTime
The time and zone of the last day of the terms of the trade direct
dateAdjustments 0..1
BusinessDayAdjustments
The business day adjustment convention when it applies across all the payout … direct
payout 1..*
Payout
The payout specifies the future cashflow computation methodology which charac… direct
terminationProvision 0..1
TerminationProvision
Contains optional provisions pertaining to the termination characteristics of… direct
calculationAgent 0..1
CalculationAgent
The ISDA calculation agent responsible for performing duties as defined in th… direct
nonStandardisedTerms 0..1
Boolean
Specifies, when boolean value is True, that additional economic terms exist t… direct
collateral 0..1
Collateral
Represents the collateral obligations of a party direct
used by used in type used
NonTransferableProduct economicTerms range EconomicTerms
TransferableProduct economicTerms range EconomicTerms
  • Rosetta condition ReturnType_Total_Requires_Dividends is not stated in LinkML: if payout as PerformancePayout -> returnTerms -> priceReturnTerms -> returnType all = ReturnTypeEnum -> Total then payout as PerformancePayout -> returnTerms -> dividendReturnTerms exists
  • Rosetta condition LastRegularPaymentDate is not stated in LinkML: if payout as InterestRatePayout -> paymentDates -> lastRegularPaymentDate exists and payout as InterestRatePayout -> stubPeriod -> finalStub exists then payout as InterestRatePayout count = 2
  • Rosetta condition PayRelativeTo is not stated in LinkML: if payout as InterestRatePayout count = 2 and payout as InterestRatePayout -> paymentDates exists then payout as InterestRatePayout -> paymentDates -> payRelativeTo exists
  • Rosetta condition PaymentDatesAdjustments is not stated in LinkML: if payout as InterestRatePayout count = 2 and payout as InterestRatePayout -> paymentDates exists then payout as InterestRatePayout -> paymentDates -> paymentDatesAdjustments exists
  • Rosetta condition PaymentFrequency is not stated in LinkML: if payout as InterestRatePayout count = 2 and payout as InterestRatePayout -> paymentDates exists then payout as InterestRatePayout -> paymentDates -> paymentFrequency exists
  • Rosetta condition Quantity is not stated in LinkML: if payout as OptionPayout exists then payout as OptionPayout -> priceQuantity exists or payout as OptionPayout -> underlier as Product ->> economicTerms -> payout as InterestRatePayout count = 2
  • Rosetta condition DayCountFraction is not stated in LinkML: if payout as InterestRatePayout count = 2 then payout as InterestRatePayout -> dayCountFraction exists
  • Rosetta condition PaymentDates is not stated in LinkML: if payout as InterestRatePayout count = 2 then payout as InterestRatePayout -> dayCountFraction exists
  • Rosetta condition MarketPrice is not stated in LinkML: if payout as CreditDefaultPayout -> generalTerms -> indexReferenceInformation is absent then payout as CreditDefaultPayout -> transactedPrice -> marketFixedRate is absent and payout as CreditDefaultPayout -> transactedPrice -> marketPrice is absent
  • Rosetta condition NotionalResetOnPerformancePayout is not stated in LinkML: payout as CreditDefaultPayout -> priceQuantity -> reset is absent and payout as AssetPayout -> priceQuantity -> reset is absent and payout as CommodityPayout -> priceQuantity -> reset is absent and payout as FixedPricePayout -> priceQuantity -> reset is absent and payout as SettlementPayout -> priceQuantity -> reset is absent and payout as OptionPayout -> priceQuantity -> reset is absent
  • Rosetta condition NotionalResetInterestRatePayoutExists is not stated in LinkML: if payout as PerformancePayout -> priceQuantity -> reset contains True then payout as InterestRatePayout exists
  • Rosetta condition FpML_cd_26_28 is not stated in LinkML: True
  • Rosetta condition FpML_cd_27 is not stated in LinkML: True
  • Rosetta condition FpML_cd_30 is not stated in LinkML: if payout as InterestRatePayout -> paymentDates -> lastRegularPaymentDate exists and terminationDate exists then payout as InterestRatePayout -> paymentDates -> lastRegularPaymentDate all < terminationDate -> adjustableDate -> unadjustedDate or payout as InterestRatePayout -> paymentDates -> lastRegularPaymentDate all < terminationDate -> adjustableDate -> adjustedDate
  • Rosetta condition IndependentCalculationAgent is not stated in LinkML: if calculationAgent -> calculationAgentParty exists then calculationAgent -> calculationAgentParty = AncillaryRoleEnum -> CalculationAgentIndependent
Mapping Type Mapped Value
self common_domain_model:EconomicTerms
native common_domain_model:EconomicTerms
name: EconomicTerms
description: 'This class represents the full set of price-forming features associated
with a contractual product: the payout component, the notional/quantity, the effective
and termination date and the date adjustment provisions when applying uniformily
across the payout components. This class also includes the legal provisions which
have valuation implications: cancelable provision, extendible provision, early termination
provision and extraordinary events specification.'
comments:
- 'Rosetta condition ReturnType_Total_Requires_Dividends is not stated in LinkML:
if payout as PerformancePayout -> returnTerms -> priceReturnTerms -> returnType
all = ReturnTypeEnum -> Total then payout as PerformancePayout -> returnTerms ->
dividendReturnTerms exists'
- 'Rosetta condition LastRegularPaymentDate is not stated in LinkML: if payout as
InterestRatePayout -> paymentDates -> lastRegularPaymentDate exists and payout as
InterestRatePayout -> stubPeriod -> finalStub exists then payout as InterestRatePayout
count = 2'
- 'Rosetta condition PayRelativeTo is not stated in LinkML: if payout as InterestRatePayout
count = 2 and payout as InterestRatePayout -> paymentDates exists then payout as
InterestRatePayout -> paymentDates -> payRelativeTo exists'
- 'Rosetta condition PaymentDatesAdjustments is not stated in LinkML: if payout as
InterestRatePayout count = 2 and payout as InterestRatePayout -> paymentDates exists
then payout as InterestRatePayout -> paymentDates -> paymentDatesAdjustments exists'
- 'Rosetta condition PaymentFrequency is not stated in LinkML: if payout as InterestRatePayout
count = 2 and payout as InterestRatePayout -> paymentDates exists then payout as
InterestRatePayout -> paymentDates -> paymentFrequency exists'
- 'Rosetta condition Quantity is not stated in LinkML: if payout as OptionPayout exists
then payout as OptionPayout -> priceQuantity exists or payout as OptionPayout ->
underlier as Product ->> economicTerms -> payout as InterestRatePayout count = 2'
- 'Rosetta condition DayCountFraction is not stated in LinkML: if payout as InterestRatePayout
count = 2 then payout as InterestRatePayout -> dayCountFraction exists'
- 'Rosetta condition PaymentDates is not stated in LinkML: if payout as InterestRatePayout
count = 2 then payout as InterestRatePayout -> dayCountFraction exists'
- 'Rosetta condition MarketPrice is not stated in LinkML: if payout as CreditDefaultPayout
-> generalTerms -> indexReferenceInformation is absent then payout as CreditDefaultPayout
-> transactedPrice -> marketFixedRate is absent and payout as CreditDefaultPayout
-> transactedPrice -> marketPrice is absent'
- 'Rosetta condition NotionalResetOnPerformancePayout is not stated in LinkML: payout
as CreditDefaultPayout -> priceQuantity -> reset is absent and payout as AssetPayout
-> priceQuantity -> reset is absent and payout as CommodityPayout -> priceQuantity
-> reset is absent and payout as FixedPricePayout -> priceQuantity -> reset is absent
and payout as SettlementPayout -> priceQuantity -> reset is absent and payout as
OptionPayout -> priceQuantity -> reset is absent'
- 'Rosetta condition NotionalResetInterestRatePayoutExists is not stated in LinkML:
if payout as PerformancePayout -> priceQuantity -> reset contains True then payout
as InterestRatePayout exists'
- 'Rosetta condition FpML_cd_26_28 is not stated in LinkML: True'
- 'Rosetta condition FpML_cd_27 is not stated in LinkML: True'
- 'Rosetta condition FpML_cd_30 is not stated in LinkML: if payout as InterestRatePayout
-> paymentDates -> lastRegularPaymentDate exists and terminationDate exists then
payout as InterestRatePayout -> paymentDates -> lastRegularPaymentDate all < terminationDate
-> adjustableDate -> unadjustedDate or payout as InterestRatePayout -> paymentDates
-> lastRegularPaymentDate all < terminationDate -> adjustableDate -> adjustedDate'
- 'Rosetta condition IndependentCalculationAgent is not stated in LinkML: if calculationAgent
-> calculationAgentParty exists then calculationAgent -> calculationAgentParty =
AncillaryRoleEnum -> CalculationAgentIndependent'
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
effectiveDate:
name: effectiveDate
annotations:
doc_reference:
tag: doc_reference
value: ICMA GMRA namingConvention Purchase Date | ICMA ERCCBestPractice namingConvention
Purchase Date
description: The first day of the terms of the trade. This day may be subject
to adjustment in accordance with a business day convention.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
domain_of:
- CodeValue
- AgreementEventInstruction
- ClosedState
- CounterpartyPositionBusinessEvent
- IndexTransitionInstruction
- StockSplitInstruction
- PriceQuantity
- FallbackRateParameters
- CalculationPeriodDates
- LegalAgreementBase
- EventInstruction
- MinimumTransferAmountAmendment
- TerminationCurrencyAmendment
- CancelableProvision
- EconomicTerms
range: AdjustableOrRelativeDate
effectiveTime:
name: effectiveTime
description: The time and zone of the first day of the terms of the trade. It
can also be specified in relation to another time.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
domain_of:
- EventInstruction
- EconomicTerms
range: DirectOrRelativeTime
terminationDate:
name: terminationDate
annotations:
doc_reference:
tag: doc_reference
value: ICMA GMRA namingConvention Repurchase Date | ICMA ERCCBestPractice
namingConvention Repurchase Date
description: The last day of the terms of the trade. This date may be subject
to adjustments in accordance with the business day convention. It can also be
specified in relation to another scheduled date (e.g. the last payment date).
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
domain_of:
- CalculationPeriodDates
- EconomicTerms
range: AdjustableOrRelativeDate
terminationTime:
name: terminationTime
description: The time and zone of the last day of the terms of the trade. It can
also be specified in relation to another time.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
rank: 1000
domain_of:
- EconomicTerms
range: DirectOrRelativeTime
dateAdjustments:
name: dateAdjustments
description: The business day adjustment convention when it applies across all
the payout components. This specification of the business day convention and
financial business centers is used for adjusting any calculation period date
if it would otherwise fall on a day that is not a business day in the specified
business center.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
domain_of:
- AdjustableDate
- AdjustableDates
- AdjustableOrAdjustedDate
- AdjustableOrAdjustedOrRelativeDate
- ObservationSchedule
- DividendPeriod
- EconomicTerms
range: BusinessDayAdjustments
payout:
name: payout
description: The payout specifies the future cashflow computation methodology
which characterizes a financial product.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
domain_of:
- CalculateResetInstruction
- CalculateTransferInstruction
- EconomicTerms
range: Payout
required: true
multivalued: true
terminationProvision:
name: terminationProvision
description: Contains optional provisions pertaining to the termination characteristics
of a contract.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
rank: 1000
domain_of:
- EconomicTerms
range: TerminationProvision
calculationAgent:
name: calculationAgent
description: The ISDA calculation agent responsible for performing duties as defined
in the applicable product definitions.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
domain_of:
- MasterAgreement
- EconomicTerms
- MandatoryEarlyTermination
- OptionalEarlyTermination
range: CalculationAgent
nonStandardisedTerms:
name: nonStandardisedTerms
description: Specifies, when boolean value is True, that additional economic terms
exist that have not been included in the product representation.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
rank: 1000
domain_of:
- EconomicTerms
range: boolean
collateral:
name: collateral
description: Represents the collateral obligations of a party.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
domain_of:
- ExecutionInstruction
- Trade
- AvailableInventoryRecord
- ContractBase
- GlobalMasterSecuritiesLendingAgreement
- EconomicTerms
range: Collateral
name: EconomicTerms
description: 'This class represents the full set of price-forming features associated
with a contractual product: the payout component, the notional/quantity, the effective
and termination date and the date adjustment provisions when applying uniformily
across the payout components. This class also includes the legal provisions which
have valuation implications: cancelable provision, extendible provision, early termination
provision and extraordinary events specification.'
comments:
- 'Rosetta condition ReturnType_Total_Requires_Dividends is not stated in LinkML:
if payout as PerformancePayout -> returnTerms -> priceReturnTerms -> returnType
all = ReturnTypeEnum -> Total then payout as PerformancePayout -> returnTerms ->
dividendReturnTerms exists'
- 'Rosetta condition LastRegularPaymentDate is not stated in LinkML: if payout as
InterestRatePayout -> paymentDates -> lastRegularPaymentDate exists and payout as
InterestRatePayout -> stubPeriod -> finalStub exists then payout as InterestRatePayout
count = 2'
- 'Rosetta condition PayRelativeTo is not stated in LinkML: if payout as InterestRatePayout
count = 2 and payout as InterestRatePayout -> paymentDates exists then payout as
InterestRatePayout -> paymentDates -> payRelativeTo exists'
- 'Rosetta condition PaymentDatesAdjustments is not stated in LinkML: if payout as
InterestRatePayout count = 2 and payout as InterestRatePayout -> paymentDates exists
then payout as InterestRatePayout -> paymentDates -> paymentDatesAdjustments exists'
- 'Rosetta condition PaymentFrequency is not stated in LinkML: if payout as InterestRatePayout
count = 2 and payout as InterestRatePayout -> paymentDates exists then payout as
InterestRatePayout -> paymentDates -> paymentFrequency exists'
- 'Rosetta condition Quantity is not stated in LinkML: if payout as OptionPayout exists
then payout as OptionPayout -> priceQuantity exists or payout as OptionPayout ->
underlier as Product ->> economicTerms -> payout as InterestRatePayout count = 2'
- 'Rosetta condition DayCountFraction is not stated in LinkML: if payout as InterestRatePayout
count = 2 then payout as InterestRatePayout -> dayCountFraction exists'
- 'Rosetta condition PaymentDates is not stated in LinkML: if payout as InterestRatePayout
count = 2 then payout as InterestRatePayout -> dayCountFraction exists'
- 'Rosetta condition MarketPrice is not stated in LinkML: if payout as CreditDefaultPayout
-> generalTerms -> indexReferenceInformation is absent then payout as CreditDefaultPayout
-> transactedPrice -> marketFixedRate is absent and payout as CreditDefaultPayout
-> transactedPrice -> marketPrice is absent'
- 'Rosetta condition NotionalResetOnPerformancePayout is not stated in LinkML: payout
as CreditDefaultPayout -> priceQuantity -> reset is absent and payout as AssetPayout
-> priceQuantity -> reset is absent and payout as CommodityPayout -> priceQuantity
-> reset is absent and payout as FixedPricePayout -> priceQuantity -> reset is absent
and payout as SettlementPayout -> priceQuantity -> reset is absent and payout as
OptionPayout -> priceQuantity -> reset is absent'
- 'Rosetta condition NotionalResetInterestRatePayoutExists is not stated in LinkML:
if payout as PerformancePayout -> priceQuantity -> reset contains True then payout
as InterestRatePayout exists'
- 'Rosetta condition FpML_cd_26_28 is not stated in LinkML: True'
- 'Rosetta condition FpML_cd_27 is not stated in LinkML: True'
- 'Rosetta condition FpML_cd_30 is not stated in LinkML: if payout as InterestRatePayout
-> paymentDates -> lastRegularPaymentDate exists and terminationDate exists then
payout as InterestRatePayout -> paymentDates -> lastRegularPaymentDate all < terminationDate
-> adjustableDate -> unadjustedDate or payout as InterestRatePayout -> paymentDates
-> lastRegularPaymentDate all < terminationDate -> adjustableDate -> adjustedDate'
- 'Rosetta condition IndependentCalculationAgent is not stated in LinkML: if calculationAgent
-> calculationAgentParty exists then calculationAgent -> calculationAgentParty =
AncillaryRoleEnum -> CalculationAgentIndependent'
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
effectiveDate:
name: effectiveDate
annotations:
doc_reference:
tag: doc_reference
value: ICMA GMRA namingConvention Purchase Date | ICMA ERCCBestPractice namingConvention
Purchase Date
description: The first day of the terms of the trade. This day may be subject
to adjustment in accordance with a business day convention.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
owner: EconomicTerms
domain_of:
- CodeValue
- AgreementEventInstruction
- ClosedState
- CounterpartyPositionBusinessEvent
- IndexTransitionInstruction
- StockSplitInstruction
- PriceQuantity
- FallbackRateParameters
- CalculationPeriodDates
- LegalAgreementBase
- EventInstruction
- MinimumTransferAmountAmendment
- TerminationCurrencyAmendment
- CancelableProvision
- EconomicTerms
range: AdjustableOrRelativeDate
effectiveTime:
name: effectiveTime
description: The time and zone of the first day of the terms of the trade. It
can also be specified in relation to another time.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
owner: EconomicTerms
domain_of:
- EventInstruction
- EconomicTerms
range: DirectOrRelativeTime
terminationDate:
name: terminationDate
annotations:
doc_reference:
tag: doc_reference
value: ICMA GMRA namingConvention Repurchase Date | ICMA ERCCBestPractice
namingConvention Repurchase Date
description: The last day of the terms of the trade. This date may be subject
to adjustments in accordance with the business day convention. It can also be
specified in relation to another scheduled date (e.g. the last payment date).
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
owner: EconomicTerms
domain_of:
- CalculationPeriodDates
- EconomicTerms
range: AdjustableOrRelativeDate
terminationTime:
name: terminationTime
description: The time and zone of the last day of the terms of the trade. It can
also be specified in relation to another time.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
rank: 1000
owner: EconomicTerms
domain_of:
- EconomicTerms
range: DirectOrRelativeTime
dateAdjustments:
name: dateAdjustments
description: The business day adjustment convention when it applies across all
the payout components. This specification of the business day convention and
financial business centers is used for adjusting any calculation period date
if it would otherwise fall on a day that is not a business day in the specified
business center.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
owner: EconomicTerms
domain_of:
- AdjustableDate
- AdjustableDates
- AdjustableOrAdjustedDate
- AdjustableOrAdjustedOrRelativeDate
- ObservationSchedule
- DividendPeriod
- EconomicTerms
range: BusinessDayAdjustments
payout:
name: payout
description: The payout specifies the future cashflow computation methodology
which characterizes a financial product.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
owner: EconomicTerms
domain_of:
- CalculateResetInstruction
- CalculateTransferInstruction
- EconomicTerms
range: Payout
required: true
multivalued: true
terminationProvision:
name: terminationProvision
description: Contains optional provisions pertaining to the termination characteristics
of a contract.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
rank: 1000
owner: EconomicTerms
domain_of:
- EconomicTerms
range: TerminationProvision
calculationAgent:
name: calculationAgent
description: The ISDA calculation agent responsible for performing duties as defined
in the applicable product definitions.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
owner: EconomicTerms
domain_of:
- MasterAgreement
- EconomicTerms
- MandatoryEarlyTermination
- OptionalEarlyTermination
range: CalculationAgent
nonStandardisedTerms:
name: nonStandardisedTerms
description: Specifies, when boolean value is True, that additional economic terms
exist that have not been included in the product representation.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
rank: 1000
owner: EconomicTerms
domain_of:
- EconomicTerms
range: boolean
collateral:
name: collateral
description: Represents the collateral obligations of a party.
from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
owner: EconomicTerms
domain_of:
- ExecutionInstruction
- Trade
- AvailableInventoryRecord
- ContractBase
- GlobalMasterSecuritiesLendingAgreement
- EconomicTerms
range: Collateral