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common-domain-model

Class: PortfolioReturnTerms

Specifies an individual type of return of a Performance Payout, when such individual return is part of an aggregation of multiple similar returns, at Performance Payout level.

URI: common_domain_model:PortfolioReturnTerms

 classDiagram
    class PortfolioReturnTerms
    click PortfolioReturnTerms href "../PortfolioReturnTerms/"
      ReturnTerms <|-- PortfolioReturnTerms
        click ReturnTerms href "../ReturnTerms/"
      
      PortfolioReturnTerms : correlationReturnTerms
        
          
    
        
        
        PortfolioReturnTerms --> "0..1" CorrelationReturnTerms : correlationReturnTerms
        click CorrelationReturnTerms href "../CorrelationReturnTerms/"
    

        
      PortfolioReturnTerms : dividendReturnTerms
        
          
    
        
        
        PortfolioReturnTerms --> "0..1" DividendReturnTerms : dividendReturnTerms
        click DividendReturnTerms href "../DividendReturnTerms/"
    

        
      PortfolioReturnTerms : finalValuationPrice
        
          
    
        
        
        PortfolioReturnTerms --> "*" PriceSchedule : finalValuationPrice
        click PriceSchedule href "../PriceSchedule/"
    

        
      PortfolioReturnTerms : initialValuationPrice
        
          
    
        
        
        PortfolioReturnTerms --> "*" PriceSchedule : initialValuationPrice
        click PriceSchedule href "../PriceSchedule/"
    

        
      PortfolioReturnTerms : interimValuationPrice
        
          
    
        
        
        PortfolioReturnTerms --> "*" PriceSchedule : interimValuationPrice
        click PriceSchedule href "../PriceSchedule/"
    

        
      PortfolioReturnTerms : payerReceiver
        
          
    
        
        
        PortfolioReturnTerms --> "1" PayerReceiver : payerReceiver
        click PayerReceiver href "../PayerReceiver/"
    

        
      PortfolioReturnTerms : priceReturnTerms
        
          
    
        
        
        PortfolioReturnTerms --> "0..1" PriceReturnTerms : priceReturnTerms
        click PriceReturnTerms href "../PriceReturnTerms/"
    

        
      PortfolioReturnTerms : quantity
        
          
    
        
        
        PortfolioReturnTerms --> "0..1" NonNegativeQuantitySchedule : quantity
        click NonNegativeQuantitySchedule href "../NonNegativeQuantitySchedule/"
    

        
      PortfolioReturnTerms : underlier
        
          
    
        
        
        PortfolioReturnTerms --> "1" Observable : underlier
        click Observable href "../Observable/"
    

        
      PortfolioReturnTerms : varianceReturnTerms
        
          
    
        
        
        PortfolioReturnTerms --> "0..1" VarianceReturnTerms : varianceReturnTerms
        click VarianceReturnTerms href "../VarianceReturnTerms/"
    

        
      PortfolioReturnTerms : volatilityReturnTerms
        
          
    
        
        
        PortfolioReturnTerms --> "0..1" VolatilityReturnTerms : volatilityReturnTerms
        click VolatilityReturnTerms href "../VolatilityReturnTerms/"

Inheritance

Section titled “Inheritance”

Slots

Section titled “Slots”
Name Cardinality and Range Description Inheritance
payerReceiver 1
PayerReceiver		 Canonical representation of the payer and receiver parties applicable to each… direct
underlier 1
Observable		 Defines the product that is the subject of a tradable product definition, an … direct
quantity 0..1
NonNegativeQuantitySchedule		 Specifies a quantity schedule for the underlier, which applies to each indivi… direct
initialValuationPrice *
PriceSchedule		 Specifies the initial valuation price(s) of the underlier direct
interimValuationPrice *
PriceSchedule		 Specifies the initial valuation price(s) of the underlier direct
finalValuationPrice *
PriceSchedule		 2018 ISDA CDM Equity Confirmation for Security Equity Swap: Final Price Spe…
priceReturnTerms 0..1
PriceReturnTerms		 Return terms based upon the underlier’s observed price ReturnTerms
dividendReturnTerms 0..1
DividendReturnTerms		 Return terms based upon dividend payments associated to the underlier ReturnTerms
varianceReturnTerms 0..1
VarianceReturnTerms		 Return terms based upon the observed variance of the underlier’s price ReturnTerms
volatilityReturnTerms 0..1
VolatilityReturnTerms		 Return terms based upon the observed volatility of the underlier’s price ReturnTerms
correlationReturnTerms 0..1
CorrelationReturnTerms		 Return terms based upon the observed correlation between the components of th… ReturnTerms

Usages

Section titled “Usages”
used by used in type used
PerformancePayout portfolioReturnTerms range PortfolioReturnTerms

Identifier and Mapping Information

Section titled “Identifier and Mapping Information”

Annotations

Section titled “Annotations”
property value
rosetta_metadata key

Schema Source

Section titled “Schema Source”

Mappings

Section titled “Mappings”
Mapping Type Mapped Value
self common_domain_model:PortfolioReturnTerms
native common_domain_model:PortfolioReturnTerms

LinkML Source

Section titled “LinkML Source”

Direct

Section titled “Direct”
name: PortfolioReturnTerms
annotations:
  rosetta_metadata:
    tag: rosetta_metadata
    value: key
description: Specifies an individual type of return of a Performance Payout, when
  such individual return is part of an aggregation of multiple similar returns, at
  Performance Payout level.
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTerms
attributes:
  payerReceiver:
    name: payerReceiver
    description: Canonical representation of the payer and receiver parties applicable
      to each individual return leg.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    domain_of:
    - CalculateTransferInstruction
    - CollateralBalance
    - PayoutTransferBase
    - FeaturePayment
    - PayoutBase
    - PrincipalPayment
    - PassThroughItem
    - PortfolioReturnTerms
    range: PayerReceiver
    required: true
  underlier:
    name: underlier
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: address "pointsTo"=PriceQuantity->observable
    description: Defines the product that is the subject of a tradable product definition,
      an underlying product definition, a physical exercise, a position, or other
      purposes.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    domain_of:
    - CorporateAction
    - CommodityPayout
    - AssetPayout
    - OptionPayout
    - PerformancePayout
    - PortfolioReturnTerms
    - SettlementPayout
    range: Observable
    required: true
  quantity:
    name: quantity
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: address "pointsTo"=PriceQuantity->quantity
    description: Specifies a quantity schedule for the underlier, which applies to
      each individual return leg.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    domain_of:
    - CalculateTransferInstruction
    - ReturnInstruction
    - TransferBase
    - BasketConstituent
    - PriceQuantity
    - AvailableInventoryRecord
    - FutureValueAmount
    - PortfolioReturnTerms
    range: NonNegativeQuantitySchedule
  initialValuationPrice:
    name: initialValuationPrice
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: address "pointsTo"=PriceQuantity->price
    description: Specifies the initial valuation price(s) of the underlier. This price
      can be expressed either as an actual amount/currency, as a determination method,
      or by reference to another value specified in the swap document.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    domain_of:
    - BasketConstituent
    - PerformancePayout
    - PortfolioReturnTerms
    range: PriceSchedule
    multivalued: true
  interimValuationPrice:
    name: interimValuationPrice
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: address "pointsTo"=PriceQuantity->price
    description: Specifies the initial valuation price(s) of the underlier. This price
      can be expressed either as an actual amount/currency, as a determination method,
      or by reference to another value specified in the swap document.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    domain_of:
    - BasketConstituent
    - PerformancePayout
    - PortfolioReturnTerms
    range: PriceSchedule
    multivalued: true
  finalValuationPrice:
    name: finalValuationPrice
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: address "pointsTo"=PriceQuantity->price
    description: '2018 ISDA CDM Equity Confirmation for Security Equity Swap: Final
      Price | Specifies the final valuation price of the underlier. This price can
      be expressed either as an actual amount/currency, as a determination method,
      or by reference to another value specified in the swap document.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    domain_of:
    - BasketConstituent
    - PerformancePayout
    - PortfolioReturnTerms
    range: PriceSchedule
    multivalued: true

Induced

Section titled “Induced”
name: PortfolioReturnTerms
annotations:
  rosetta_metadata:
    tag: rosetta_metadata
    value: key
description: Specifies an individual type of return of a Performance Payout, when
  such individual return is part of an aggregation of multiple similar returns, at
  Performance Payout level.
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTerms
attributes:
  payerReceiver:
    name: payerReceiver
    description: Canonical representation of the payer and receiver parties applicable
      to each individual return leg.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    owner: PortfolioReturnTerms
    domain_of:
    - CalculateTransferInstruction
    - CollateralBalance
    - PayoutTransferBase
    - FeaturePayment
    - PayoutBase
    - PrincipalPayment
    - PassThroughItem
    - PortfolioReturnTerms
    range: PayerReceiver
    required: true
  underlier:
    name: underlier
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: address "pointsTo"=PriceQuantity->observable
    description: Defines the product that is the subject of a tradable product definition,
      an underlying product definition, a physical exercise, a position, or other
      purposes.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    owner: PortfolioReturnTerms
    domain_of:
    - CorporateAction
    - CommodityPayout
    - AssetPayout
    - OptionPayout
    - PerformancePayout
    - PortfolioReturnTerms
    - SettlementPayout
    range: Observable
    required: true
  quantity:
    name: quantity
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: address "pointsTo"=PriceQuantity->quantity
    description: Specifies a quantity schedule for the underlier, which applies to
      each individual return leg.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    owner: PortfolioReturnTerms
    domain_of:
    - CalculateTransferInstruction
    - ReturnInstruction
    - TransferBase
    - BasketConstituent
    - PriceQuantity
    - AvailableInventoryRecord
    - FutureValueAmount
    - PortfolioReturnTerms
    range: NonNegativeQuantitySchedule
  initialValuationPrice:
    name: initialValuationPrice
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: address "pointsTo"=PriceQuantity->price
    description: Specifies the initial valuation price(s) of the underlier. This price
      can be expressed either as an actual amount/currency, as a determination method,
      or by reference to another value specified in the swap document.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    owner: PortfolioReturnTerms
    domain_of:
    - BasketConstituent
    - PerformancePayout
    - PortfolioReturnTerms
    range: PriceSchedule
    multivalued: true
  interimValuationPrice:
    name: interimValuationPrice
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: address "pointsTo"=PriceQuantity->price
    description: Specifies the initial valuation price(s) of the underlier. This price
      can be expressed either as an actual amount/currency, as a determination method,
      or by reference to another value specified in the swap document.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    owner: PortfolioReturnTerms
    domain_of:
    - BasketConstituent
    - PerformancePayout
    - PortfolioReturnTerms
    range: PriceSchedule
    multivalued: true
  finalValuationPrice:
    name: finalValuationPrice
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: address "pointsTo"=PriceQuantity->price
    description: '2018 ISDA CDM Equity Confirmation for Security Equity Swap: Final
      Price | Specifies the final valuation price of the underlier. This price can
      be expressed either as an actual amount/currency, as a determination method,
      or by reference to another value specified in the swap document.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    owner: PortfolioReturnTerms
    domain_of:
    - BasketConstituent
    - PerformancePayout
    - PortfolioReturnTerms
    range: PriceSchedule
    multivalued: true
  priceReturnTerms:
    name: priceReturnTerms
    description: Return terms based upon the underlier's observed price.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    rank: 1000
    owner: PortfolioReturnTerms
    domain_of:
    - ReturnTerms
    range: PriceReturnTerms
  dividendReturnTerms:
    name: dividendReturnTerms
    description: Return terms based upon dividend payments associated to the underlier.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    rank: 1000
    owner: PortfolioReturnTerms
    domain_of:
    - ReturnTerms
    range: DividendReturnTerms
  varianceReturnTerms:
    name: varianceReturnTerms
    description: Return terms based upon the observed variance of the underlier's
      price.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    rank: 1000
    owner: PortfolioReturnTerms
    domain_of:
    - ReturnTerms
    range: VarianceReturnTerms
  volatilityReturnTerms:
    name: volatilityReturnTerms
    description: Return terms based upon the observed volatility of the underlier's
      price.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    rank: 1000
    owner: PortfolioReturnTerms
    domain_of:
    - ReturnTerms
    range: VolatilityReturnTerms
  correlationReturnTerms:
    name: correlationReturnTerms
    description: Return terms based upon the observed correlation between the components
      of the underlying basket.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_template
    rank: 1000
    owner: PortfolioReturnTerms
    domain_of:
    - ReturnTerms
    range: CorrelationReturnTerms