Class: FloatingRateCalculationParameters

Defines the structures needed to represent the calculation parameters for daily averaged and compounded modular rates as defined in the 2021 ISDA Definitions in Section 7. This type is used to represent modular computed rates in interestRatePayouts.

URI: common_domain_model:FloatingRateCalculationParameters

 classDiagram
    class FloatingRateCalculationParameters
    click FloatingRateCalculationParameters href "../FloatingRateCalculationParameters/"
      FloatingRateCalculationParameters : applicableBusinessDays
        
          
    
        
        
        FloatingRateCalculationParameters --> "0..1" BusinessCenters : applicableBusinessDays
        click BusinessCenters href "../BusinessCenters/"
    

        
      FloatingRateCalculationParameters : calculationMethod
        
          
    
        
        
        FloatingRateCalculationParameters --> "1" CalculationMethodEnum : calculationMethod
        click CalculationMethodEnum href "../CalculationMethodEnum/"
    

        
      FloatingRateCalculationParameters : lockoutCalculation
        
          
    
        
        
        FloatingRateCalculationParameters --> "0..1" OffsetCalculation : lockoutCalculation
        click OffsetCalculation href "../OffsetCalculation/"
    

        
      FloatingRateCalculationParameters : lookbackCalculation
        
          
    
        
        
        FloatingRateCalculationParameters --> "0..1" OffsetCalculation : lookbackCalculation
        click OffsetCalculation href "../OffsetCalculation/"
    

        
      FloatingRateCalculationParameters : observationParameters
        
          
    
        
        
        FloatingRateCalculationParameters --> "0..1" ObservationParameters : observationParameters
        click ObservationParameters href "../ObservationParameters/"
    

        
      FloatingRateCalculationParameters : observationShiftCalculation
        
          
    
        
        
        FloatingRateCalculationParameters --> "0..1" ObservationShiftCalculation : observationShiftCalculation
        click ObservationShiftCalculation href "../ObservationShiftCalculation/"
    

        
      

Slots

Name	Cardinality and Range	Description	Inheritance
calculationMethod	1 CalculationMethodEnum	calculation type (averaging or compounding)	direct
observationShiftCalculation	0..1 ObservationShiftCalculation	any obervation shift parameters if applicable	direct
lookbackCalculation	0..1 OffsetCalculation	any lookback parameters if applicable	direct
lockoutCalculation	0..1 OffsetCalculation	any lockout parameters if applicable	direct
applicableBusinessDays	0..1 BusinessCenters	the business days that are applicable for the calculation	direct
observationParameters	0..1 ObservationParameters	any applicable observation parameters, such as daily caps or floors	direct

Usages

used by	used in	type	used
FallbackRateParameters	calculationParameters	range	FloatingRateCalculationParameters
FloatingRate	calculationParameters	range	FloatingRateCalculationParameters
FloatingRateSpecification	calculationParameters	range	FloatingRateCalculationParameters
InflationRateSpecification	calculationParameters	range	FloatingRateCalculationParameters

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: FloatingRateCalculationParameters
description: Defines the structures needed to represent the calculation parameters
  for daily averaged and compounded modular rates as defined in the 2021 ISDA Definitions
  in Section 7. This type is used to represent modular computed rates in interestRatePayouts.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  calculationMethod:
    name: calculationMethod
    description: calculation type (averaging or compounding).
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_calculatedrate
    domain_of:
    - AveragingCalculationMethod
    - FloatingRateCalculationParameters
    - CalculateResetValueInstruction
    - ResetInstructionState
    - InflationRateSpecification
    range: CalculationMethodEnum
    required: true
  observationShiftCalculation:
    name: observationShiftCalculation
    description: any obervation shift parameters if applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_calculatedrate
    rank: 1000
    domain_of:
    - FloatingRateCalculationParameters
    range: ObservationShiftCalculation
  lookbackCalculation:
    name: lookbackCalculation
    description: any lookback parameters if applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_calculatedrate
    rank: 1000
    domain_of:
    - FloatingRateCalculationParameters
    range: OffsetCalculation
  lockoutCalculation:
    name: lockoutCalculation
    description: any lockout parameters if applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_calculatedrate
    rank: 1000
    domain_of:
    - FloatingRateCalculationParameters
    range: OffsetCalculation
  applicableBusinessDays:
    name: applicableBusinessDays
    description: the business days that are applicable for the calculation.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_calculatedrate
    rank: 1000
    domain_of:
    - FloatingRateCalculationParameters
    - FloatingRateIndexCalculationDefaults
    range: BusinessCenters
  observationParameters:
    name: observationParameters
    description: any applicable observation parameters, such as daily caps or floors.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_calculatedrate
    rank: 1000
    domain_of:
    - FloatingRateCalculationParameters
    range: ObservationParameters

Induced

name: FloatingRateCalculationParameters
description: Defines the structures needed to represent the calculation parameters
  for daily averaged and compounded modular rates as defined in the 2021 ISDA Definitions
  in Section 7. This type is used to represent modular computed rates in interestRatePayouts.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  calculationMethod:
    name: calculationMethod
    description: calculation type (averaging or compounding).
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_calculatedrate
    owner: FloatingRateCalculationParameters
    domain_of:
    - AveragingCalculationMethod
    - FloatingRateCalculationParameters
    - CalculateResetValueInstruction
    - ResetInstructionState
    - InflationRateSpecification
    range: CalculationMethodEnum
    required: true
  observationShiftCalculation:
    name: observationShiftCalculation
    description: any obervation shift parameters if applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_calculatedrate
    rank: 1000
    owner: FloatingRateCalculationParameters
    domain_of:
    - FloatingRateCalculationParameters
    range: ObservationShiftCalculation
  lookbackCalculation:
    name: lookbackCalculation
    description: any lookback parameters if applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_calculatedrate
    rank: 1000
    owner: FloatingRateCalculationParameters
    domain_of:
    - FloatingRateCalculationParameters
    range: OffsetCalculation
  lockoutCalculation:
    name: lockoutCalculation
    description: any lockout parameters if applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_calculatedrate
    rank: 1000
    owner: FloatingRateCalculationParameters
    domain_of:
    - FloatingRateCalculationParameters
    range: OffsetCalculation
  applicableBusinessDays:
    name: applicableBusinessDays
    description: the business days that are applicable for the calculation.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_calculatedrate
    rank: 1000
    owner: FloatingRateCalculationParameters
    domain_of:
    - FloatingRateCalculationParameters
    - FloatingRateIndexCalculationDefaults
    range: BusinessCenters
  observationParameters:
    name: observationParameters
    description: any applicable observation parameters, such as daily caps or floors.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_calculatedrate
    rank: 1000
    owner: FloatingRateCalculationParameters
    domain_of:
    - FloatingRateCalculationParameters
    range: ObservationParameters