Class: FloatingRateIndexCalculationDefaults

This holds the rate calculation defaults applicable for a floating rate index.

URI: common_domain_model:FloatingRateIndexCalculationDefaults

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

        
      FloatingRateIndexCalculationDefaults : category
        
          
    
        
        
        FloatingRateIndexCalculationDefaults --> "0..1" FloatingRateIndexCategoryEnum : category
        click FloatingRateIndexCategoryEnum href "../FloatingRateIndexCategoryEnum/"
    

        
      FloatingRateIndexCalculationDefaults : dayCountFraction
        
          
    
        
        
        FloatingRateIndexCalculationDefaults --> "0..1" DayCountFractionEnum : dayCountFraction
        click DayCountFractionEnum href "../DayCountFractionEnum/"
    

        
      FloatingRateIndexCalculationDefaults : fixing
        
          
    
        
        
        FloatingRateIndexCalculationDefaults --> "*" FloatingRateIndexFixingDetails : fixing
        click FloatingRateIndexFixingDetails href "../FloatingRateIndexFixingDetails/"
    

        
      FloatingRateIndexCalculationDefaults : indexStyle
        
          
    
        
        
        FloatingRateIndexCalculationDefaults --> "0..1" FloatingRateIndexStyleEnum : indexStyle
        click FloatingRateIndexStyleEnum href "../FloatingRateIndexStyleEnum/"
    

        
      FloatingRateIndexCalculationDefaults : method
        
          
    
        
        
        FloatingRateIndexCalculationDefaults --> "0..1" FloatingRateIndexCalculationMethodEnum : method
        click FloatingRateIndexCalculationMethodEnum href "../FloatingRateIndexCalculationMethodEnum/"
    

        
      FloatingRateIndexCalculationDefaults : publicationCalendar
        
          
    
        
        
        FloatingRateIndexCalculationDefaults --> "0..1" BusinessCenter : publicationCalendar
        click BusinessCenter href "../BusinessCenter/"
    

        
      

Slots

Name	Cardinality and Range	Description	Inheritance
category	0..1 FloatingRateIndexCategoryEnum	The ISDA FRO category (e	direct
indexStyle	0..1 FloatingRateIndexStyleEnum	The ISDA FRO style (e	direct
method	0..1 FloatingRateIndexCalculationMethodEnum	The ISDA FRO calculation method (e	direct
fixing	* FloatingRateIndexFixingDetails	The default fixing details	direct
dayCountFraction	0..1 DayCountFractionEnum	The default day count fraction	direct
applicableBusinessDays	0..1 BusinessCenters	The default applicable business days	direct
publicationCalendar	0..1 BusinessCenter	Publication Calendar (e	direct

Usages

used by	used in	type	used
FloatingRateIndexDefinition	calculationDefaults	range	FloatingRateIndexCalculationDefaults

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: FloatingRateIndexCalculationDefaults
description: This holds the rate calculation defaults applicable for a floating rate
  index.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  category:
    name: category
    description: The ISDA FRO category (e.g. screen rate or calculated rate).
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    domain_of:
    - Obligations
    - FloatingRateIndexCalculationDefaults
    - DeliverableObligations
    range: FloatingRateIndexCategoryEnum
  indexStyle:
    name: indexStyle
    description: The ISDA FRO style (e.g. term rate, swap rate, etc).
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    rank: 1000
    domain_of:
    - FloatingRateIndexCalculationDefaults
    range: FloatingRateIndexStyleEnum
  method:
    name: method
    description: The ISDA FRO calculation method (e.g. OIS Compounding).
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    domain_of:
    - Valuation
    - FloatingRateIndexCalculationDefaults
    range: FloatingRateIndexCalculationMethodEnum
  fixing:
    name: fixing
    description: The default fixing details.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    rank: 1000
    domain_of:
    - FloatingRateIndexCalculationDefaults
    range: FloatingRateIndexFixingDetails
    multivalued: true
  dayCountFraction:
    name: dayCountFraction
    description: The default day count fraction.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    domain_of:
    - AccrualFactorCalculationTerms
    - FloatingRateIndexCalculationDefaults
    - InterestRatePayout
    - CollateralInterestCalculationParameters
    range: DayCountFractionEnum
  applicableBusinessDays:
    name: applicableBusinessDays
    description: The default applicable business days.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    domain_of:
    - FloatingRateCalculationParameters
    - FloatingRateIndexCalculationDefaults
    range: BusinessCenters
  publicationCalendar:
    name: publicationCalendar
    description: Publication Calendar (e.g. EUR-ICESWAP)
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    rank: 1000
    domain_of:
    - FloatingRateIndexCalculationDefaults
    range: BusinessCenter

Induced

name: FloatingRateIndexCalculationDefaults
description: This holds the rate calculation defaults applicable for a floating rate
  index.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  category:
    name: category
    description: The ISDA FRO category (e.g. screen rate or calculated rate).
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    owner: FloatingRateIndexCalculationDefaults
    domain_of:
    - Obligations
    - FloatingRateIndexCalculationDefaults
    - DeliverableObligations
    range: FloatingRateIndexCategoryEnum
  indexStyle:
    name: indexStyle
    description: The ISDA FRO style (e.g. term rate, swap rate, etc).
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    rank: 1000
    owner: FloatingRateIndexCalculationDefaults
    domain_of:
    - FloatingRateIndexCalculationDefaults
    range: FloatingRateIndexStyleEnum
  method:
    name: method
    description: The ISDA FRO calculation method (e.g. OIS Compounding).
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    owner: FloatingRateIndexCalculationDefaults
    domain_of:
    - Valuation
    - FloatingRateIndexCalculationDefaults
    range: FloatingRateIndexCalculationMethodEnum
  fixing:
    name: fixing
    description: The default fixing details.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    rank: 1000
    owner: FloatingRateIndexCalculationDefaults
    domain_of:
    - FloatingRateIndexCalculationDefaults
    range: FloatingRateIndexFixingDetails
    multivalued: true
  dayCountFraction:
    name: dayCountFraction
    description: The default day count fraction.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    owner: FloatingRateIndexCalculationDefaults
    domain_of:
    - AccrualFactorCalculationTerms
    - FloatingRateIndexCalculationDefaults
    - InterestRatePayout
    - CollateralInterestCalculationParameters
    range: DayCountFractionEnum
  applicableBusinessDays:
    name: applicableBusinessDays
    description: The default applicable business days.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    owner: FloatingRateIndexCalculationDefaults
    domain_of:
    - FloatingRateCalculationParameters
    - FloatingRateIndexCalculationDefaults
    range: BusinessCenters
  publicationCalendar:
    name: publicationCalendar
    description: Publication Calendar (e.g. EUR-ICESWAP)
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset_fro
    rank: 1000
    owner: FloatingRateIndexCalculationDefaults
    domain_of:
    - FloatingRateIndexCalculationDefaults
    range: BusinessCenter