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common-domain-model

Class: FloatingRateDefinition

A data defining: parameters associated with a floating rate reset. This data forms: part of the cashflows representation of a stream.

URI: common_domain_model:FloatingRateDefinition

 classDiagram
    class FloatingRateDefinition
    click FloatingRateDefinition href "../FloatingRateDefinition/"
      FloatingRateDefinition : calculatedRate
        
      FloatingRateDefinition : capRate
        
          
    
        
        
        FloatingRateDefinition --> "*" Strike : capRate
        click Strike href "../Strike/"
    

        
      FloatingRateDefinition : floatingRateMultiplier
        
      FloatingRateDefinition : floorRate
        
          
    
        
        
        FloatingRateDefinition --> "*" Strike : floorRate
        click Strike href "../Strike/"
    

        
      FloatingRateDefinition : rateObservation
        
          
    
        
        
        FloatingRateDefinition --> "*" RateObservation : rateObservation
        click RateObservation href "../RateObservation/"
    

        
      FloatingRateDefinition : spread

Slots

Section titled “Slots”
Name Cardinality and Range Description Inheritance
calculatedRate 0..1
Decimal		 The final calculated rate for a calculation period after any required averagi… direct
rateObservation *
RateObservation		 The details of a particular rate observation, including the fixing date and o… direct
floatingRateMultiplier 0..1
Decimal		 A rate multiplier to apply to the floating rate direct
spread 0..1
Decimal		 The ISDA Spread, if any, which applies for the calculation period direct
capRate *
Strike		 The cap rate, if any, which applies to the floating rate for the calculation … direct
floorRate *
Strike		 The floor rate, if any, which applies to the floating rate for the calculatio… direct

Usages

Section titled “Usages”
used by used in type used
CalculationPeriod floatingRateDefinition range FloatingRateDefinition

Rules

Section titled “Rules”

Rule Applied Preconditions Postconditions Elseconditions
slot_conditions {'floatingRateMultiplier': {'value_presence': 'PRESENT'}}
none_of [{'slot_conditions': {'floatingRateMultiplier': {'value_presence': 'PRESENT', 'equals_number': 1}}}]

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:FloatingRateDefinition
native common_domain_model:FloatingRateDefinition

LinkML Source

Section titled “LinkML Source”

Direct

Section titled “Direct”
name: FloatingRateDefinition
description: 'A data defining: parameters associated with a floating rate reset. This
  data forms: part of the cashflows representation of a stream.'
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  calculatedRate:
    name: calculatedRate
    description: The final calculated rate for a calculation period after any required
      averaging of rates A calculated rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    domain_of:
    - CalculatedRateDetails
    - FloatingRateDefinition
    range: decimal
  rateObservation:
    name: rateObservation
    description: The details of a particular rate observation, including the fixing
      date and observed rate. A list of rate observation elements may be ordered in
      the document by ascending adjusted fixing date. An FpML document containing
      an unordered list of rate observations is still regarded as a conformant document.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - FloatingRateDefinition
    range: RateObservation
    multivalued: true
  floatingRateMultiplier:
    name: floatingRateMultiplier
    description: A rate multiplier to apply to the floating rate. The multiplier can
      be a positive or negative decimal. This element should only be included if the
      multiplier is not equal to 1 (one).
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - FloatingRateDefinition
    range: decimal
  spread:
    name: spread
    description: The ISDA Spread, if any, which applies for the calculation period.
      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
    domain_of:
    - SwapCurveValuation
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    - CommodityPriceReturnTerms
    range: decimal
  capRate:
    name: capRate
    description: The cap rate, if any, which applies to the floating rate for the
      calculation period. The cap rate (strike) is only required where the floating
      rate on a swap stream is capped at a certain strike level. 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
    domain_of:
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    range: Strike
    multivalued: true
  floorRate:
    name: floorRate
    description: The floor rate, if any, which applies to the floating rate for the
      calculation period. The floor rate (strike) is only required where the floating
      rate on a swap stream is floored at a certain strike level. The floor rate is
      assumed to be exclusive of any spread and is a per annum rate, expressed as
      a decimal. The floor rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    range: Strike
    multivalued: true
rules:
- preconditions:
    slot_conditions:
      floatingRateMultiplier:
        name: floatingRateMultiplier
        value_presence: PRESENT
  postconditions:
    none_of:
    - slot_conditions:
        floatingRateMultiplier:
          name: floatingRateMultiplier
          value_presence: PRESENT
          equals_number: 1
  description: 'FloatingRateMultiplier: FpML specifies that the floatingRateMultiplier
    should only be included if different from 1.'

Induced

Section titled “Induced”
name: FloatingRateDefinition
description: 'A data defining: parameters associated with a floating rate reset. This
  data forms: part of the cashflows representation of a stream.'
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  calculatedRate:
    name: calculatedRate
    description: The final calculated rate for a calculation period after any required
      averaging of rates A calculated rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: FloatingRateDefinition
    domain_of:
    - CalculatedRateDetails
    - FloatingRateDefinition
    range: decimal
  rateObservation:
    name: rateObservation
    description: The details of a particular rate observation, including the fixing
      date and observed rate. A list of rate observation elements may be ordered in
      the document by ascending adjusted fixing date. An FpML document containing
      an unordered list of rate observations is still regarded as a conformant document.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: FloatingRateDefinition
    domain_of:
    - FloatingRateDefinition
    range: RateObservation
    multivalued: true
  floatingRateMultiplier:
    name: floatingRateMultiplier
    description: A rate multiplier to apply to the floating rate. The multiplier can
      be a positive or negative decimal. This element should only be included if the
      multiplier is not equal to 1 (one).
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: FloatingRateDefinition
    domain_of:
    - FloatingRateDefinition
    range: decimal
  spread:
    name: spread
    description: The ISDA Spread, if any, which applies for the calculation period.
      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
    owner: FloatingRateDefinition
    domain_of:
    - SwapCurveValuation
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    - CommodityPriceReturnTerms
    range: decimal
  capRate:
    name: capRate
    description: The cap rate, if any, which applies to the floating rate for the
      calculation period. The cap rate (strike) is only required where the floating
      rate on a swap stream is capped at a certain strike level. 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: FloatingRateDefinition
    domain_of:
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    range: Strike
    multivalued: true
  floorRate:
    name: floorRate
    description: The floor rate, if any, which applies to the floating rate for the
      calculation period. The floor rate (strike) is only required where the floating
      rate on a swap stream is floored at a certain strike level. The floor rate is
      assumed to be exclusive of any spread and is a per annum rate, expressed as
      a decimal. The 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: FloatingRateDefinition
    domain_of:
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    range: Strike
    multivalued: true
rules:
- preconditions:
    slot_conditions:
      floatingRateMultiplier:
        name: floatingRateMultiplier
        value_presence: PRESENT
  postconditions:
    none_of:
    - slot_conditions:
        floatingRateMultiplier:
          name: floatingRateMultiplier
          value_presence: PRESENT
          equals_number: 1
  description: 'FloatingRateMultiplier: FpML specifies that the floatingRateMultiplier
    should only be included if different from 1.'