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common-domain-model

Class: FloatingRate

URI: common_domain_model:FloatingRate

 classDiagram
    class FloatingRate
    click FloatingRate href "../FloatingRate/"
      FloatingRateBase <|-- FloatingRate
        click FloatingRateBase href "../FloatingRateBase/"
      

      FloatingRate <|-- FloatingRateSpecification
        click FloatingRateSpecification href "../FloatingRateSpecification/"
      

      FloatingRate : calculationParameters
        
          
    
        
        
        FloatingRate --> "0..1" FloatingRateCalculationParameters : calculationParameters
        click FloatingRateCalculationParameters href "../FloatingRateCalculationParameters/"
    

        
      FloatingRate : capRateSchedule
        
          
    
        
        
        FloatingRate --> "0..1" StrikeSchedule : capRateSchedule
        click StrikeSchedule href "../StrikeSchedule/"
    

        
      FloatingRate : fallbackRate
        
          
    
        
        
        FloatingRate --> "0..1" FallbackRateParameters : fallbackRate
        click FallbackRateParameters href "../FallbackRateParameters/"
    

        
      FloatingRate : floatingRateMultiplierSchedule
        
          
    
        
        
        FloatingRate --> "0..1" RateSchedule : floatingRateMultiplierSchedule
        click RateSchedule href "../RateSchedule/"
    

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

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

        
      FloatingRate : rateTreatment
        
          
    
        
        
        FloatingRate --> "0..1" RateTreatmentEnum : rateTreatment
        click RateTreatmentEnum href "../RateTreatmentEnum/"
    

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

Inheritance

Section titled “Inheritance”

Slots

Section titled “Slots”
Name Cardinality and Range Description Inheritance
floatingRateMultiplierSchedule 0..1
RateSchedule		 A rate multiplier or multiplier schedule to apply to the floating rate direct
rateTreatment 0..1
RateTreatmentEnum		 The specification of any rate conversion which needs to be applied to the obs… direct
calculationParameters 0..1
FloatingRateCalculationParameters		 Support for modular calculated rates, such such as lockout compound calculati… direct
fallbackRate 0..1
FallbackRateParameters		 Definition of any fallback rate that may be applicable 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

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:FloatingRate
native common_domain_model:FloatingRate

LinkML Source

Section titled “LinkML Source”

Direct

Section titled “Direct”
name: FloatingRate
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: FloatingRateBase
attributes:
  floatingRateMultiplierSchedule:
    name: floatingRateMultiplierSchedule
    description: A rate multiplier or multiplier schedule to apply to the floating
      rate. A multiplier schedule is expressed as explicit multipliers and dates.
      In the case of a schedule, the step dates may be subject to adjustment in accordance
      with any adjustments specified in the calculationPeriodDatesAdjustments. The
      multiplier can be a positive or negative decimal. This element should only be
      included if the multiplier is not equal to 1 (one) for the term of the stream.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - FloatingRate
    - StubFloatingRate
    range: RateSchedule
  rateTreatment:
    name: rateTreatment
    description: The specification of any rate conversion which needs to be applied
      to the observed rate before being used in any calculations. The two common conversions
      are for securities quoted on a bank discount basis which will need to be converted
      to either a Money Market Yield or Bond Equivalent Yield. See the Annex to the
      2000 ISDA Definitions, Section 7.3. Certain General Definitions Relating to
      Floating Rate Options, paragraphs (g) and (h) for definitions of these terms.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - FloatingRate
    - StubFloatingRate
    range: RateTreatmentEnum
  calculationParameters:
    name: calculationParameters
    description: Support for modular calculated rates, such such as lockout compound
      calculations.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    domain_of:
    - FallbackRateParameters
    - FloatingRate
    range: FloatingRateCalculationParameters
  fallbackRate:
    name: fallbackRate
    description: Definition of any fallback rate that may be applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - FloatingRate
    range: FallbackRateParameters

Induced

Section titled “Induced”
name: FloatingRate
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: FloatingRateBase
attributes:
  floatingRateMultiplierSchedule:
    name: floatingRateMultiplierSchedule
    description: A rate multiplier or multiplier schedule to apply to the floating
      rate. A multiplier schedule is expressed as explicit multipliers and dates.
      In the case of a schedule, the step dates may be subject to adjustment in accordance
      with any adjustments specified in the calculationPeriodDatesAdjustments. The
      multiplier can be a positive or negative decimal. This element should only be
      included if the multiplier is not equal to 1 (one) for the term of the stream.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: FloatingRate
    domain_of:
    - FloatingRate
    - StubFloatingRate
    range: RateSchedule
  rateTreatment:
    name: rateTreatment
    description: The specification of any rate conversion which needs to be applied
      to the observed rate before being used in any calculations. The two common conversions
      are for securities quoted on a bank discount basis which will need to be converted
      to either a Money Market Yield or Bond Equivalent Yield. See the Annex to the
      2000 ISDA Definitions, Section 7.3. Certain General Definitions Relating to
      Floating Rate Options, paragraphs (g) and (h) for definitions of these terms.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: FloatingRate
    domain_of:
    - FloatingRate
    - StubFloatingRate
    range: RateTreatmentEnum
  calculationParameters:
    name: calculationParameters
    description: Support for modular calculated rates, such such as lockout compound
      calculations.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: FloatingRate
    domain_of:
    - FallbackRateParameters
    - FloatingRate
    range: FloatingRateCalculationParameters
  fallbackRate:
    name: fallbackRate
    description: Definition of any fallback rate that may be applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: FloatingRate
    domain_of:
    - FloatingRate
    range: FallbackRateParameters
  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: FloatingRate
    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: FloatingRate
    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: FloatingRate
    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: FloatingRate
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: StrikeSchedule