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common-domain-model

Class: RateObservation

A class defining parameters associated with an individual observation or fixing. This class forms part of the cashflow representation of a stream.

URI: common_domain_model:RateObservation

 classDiagram
    class RateObservation
    click RateObservation href "../RateObservation/"
      RateObservation : adjustedFixingDate
        
      RateObservation : forecastRate
        
      RateObservation : observationWeight
        
      RateObservation : observedRate
        
      RateObservation : rateReference
        
          
    
        
        
        RateObservation --> "0..1" RateObservation : rateReference
        click RateObservation href "../RateObservation/"
    

        
      RateObservation : resetDate
        
      RateObservation : treatedForecastRate
        
      RateObservation : treatedRate

Slots

Section titled “Slots”
Name Cardinality and Range Description Inheritance
resetDate 0..1
date		 The reset date direct
adjustedFixingDate 0..1
date		 The adjusted fixing date, i direct
observedRate 0..1
Decimal		 The actual observed rate before any required rate treatment is applied, e direct
treatedRate 0..1
Decimal		 The observed rate after any required rate treatment is applied direct
observationWeight 0..1
Integer		 The number of days weighting to be associated with the rate observation, i direct
rateReference 0..1
RateObservation		 A pointer style reference to a floating rate component defined as part of a s… direct
forecastRate 0..1
Decimal		 The value representing the forecast rate used to calculate the forecast futur… direct
treatedForecastRate 0..1
Decimal		 The value representing the forecast rate after applying rate treatment rules direct

Usages

Section titled “Usages”
used by used in type used
RateObservation rateReference range RateObservation
FloatingRateDefinition rateObservation range RateObservation

Rules

Section titled “Rules”

Rule Applied Preconditions Postconditions Elseconditions
slot_conditions {'observationWeight': {'value_presence': 'PRESENT'}} {'observationWeight': {'minimum_value': 0, 'value_presence': 'PRESENT'}}

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:RateObservation
native common_domain_model:RateObservation

LinkML Source

Section titled “LinkML Source”

Direct

Section titled “Direct”
name: RateObservation
annotations:
  rosetta_metadata:
    tag: rosetta_metadata
    value: key
description: A class defining parameters associated with an individual observation
  or fixing. This class forms part of the cashflow representation of a stream.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  resetDate:
    name: resetDate
    description: The reset date.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    domain_of:
    - CalculateResetInstruction
    - Reset
    - RateObservation
    - FxLinkedNotionalAmount
    - FloatingRateSettingDetails
    range: date
  adjustedFixingDate:
    name: adjustedFixingDate
    description: The adjusted fixing date, i.e. the actual date the rate is observed.
      The date should already be adjusted for any applicable business day convention.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    domain_of:
    - RateObservation
    range: date
  observedRate:
    name: observedRate
    description: The actual observed rate before any required rate treatment is applied,
      e.g. before converting a rate quoted on a discount basis to an equivalent yield.
      An observed rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    domain_of:
    - RateObservation
    range: decimal
  treatedRate:
    name: treatedRate
    description: The observed rate after any required rate treatment is applied. A
      treated rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    domain_of:
    - RateObservation
    range: decimal
  observationWeight:
    name: observationWeight
    description: The number of days weighting to be associated with the rate observation,
      i.e. the number of days such rate is in effect. This is applicable in the case
      of a weighted average method of calculation where more than one reset date is
      established for a single calculation period.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    domain_of:
    - RateObservation
    range: integer
  rateReference:
    name: rateReference
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: reference
    description: A pointer style reference to a floating rate component defined as
      part of a stub calculation period amount component. It is only required when
      it is necessary to distinguish two rate observations for the same fixing date
      which could occur when linear interpolation of two different rates occurs for
      a stub calculation period.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    domain_of:
    - RateObservation
    range: RateObservation
  forecastRate:
    name: forecastRate
    description: The value representing the forecast rate used to calculate the forecast
      future value of the accrual period.A value of 1% should be represented as 0.01.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    domain_of:
    - RateObservation
    - CalculationPeriod
    range: decimal
  treatedForecastRate:
    name: treatedForecastRate
    description: The value representing the forecast rate after applying rate treatment
      rules. A value of 1% should be represented as 0.01.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    domain_of:
    - RateObservation
    range: decimal
rules:
- preconditions:
    slot_conditions:
      observationWeight:
        name: observationWeight
        value_presence: PRESENT
  postconditions:
    slot_conditions:
      observationWeight:
        name: observationWeight
        minimum_value: 0
        value_presence: PRESENT
  description: 'PositiveObservationWeight: FpML specifies observationWeight as a positive
    integer.'

Induced

Section titled “Induced”
name: RateObservation
annotations:
  rosetta_metadata:
    tag: rosetta_metadata
    value: key
description: A class defining parameters associated with an individual observation
  or fixing. This class forms part of the cashflow representation of a stream.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  resetDate:
    name: resetDate
    description: The reset date.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    owner: RateObservation
    domain_of:
    - CalculateResetInstruction
    - Reset
    - RateObservation
    - FxLinkedNotionalAmount
    - FloatingRateSettingDetails
    range: date
  adjustedFixingDate:
    name: adjustedFixingDate
    description: The adjusted fixing date, i.e. the actual date the rate is observed.
      The date should already be adjusted for any applicable business day convention.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    range: date
  observedRate:
    name: observedRate
    description: The actual observed rate before any required rate treatment is applied,
      e.g. before converting a rate quoted on a discount basis to an equivalent yield.
      An observed rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    range: decimal
  treatedRate:
    name: treatedRate
    description: The observed rate after any required rate treatment is applied. A
      treated rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    range: decimal
  observationWeight:
    name: observationWeight
    description: The number of days weighting to be associated with the rate observation,
      i.e. the number of days such rate is in effect. This is applicable in the case
      of a weighted average method of calculation where more than one reset date is
      established for a single calculation period.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    range: integer
  rateReference:
    name: rateReference
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: reference
    description: A pointer style reference to a floating rate component defined as
      part of a stub calculation period amount component. It is only required when
      it is necessary to distinguish two rate observations for the same fixing date
      which could occur when linear interpolation of two different rates occurs for
      a stub calculation period.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    range: RateObservation
  forecastRate:
    name: forecastRate
    description: The value representing the forecast rate used to calculate the forecast
      future value of the accrual period.A value of 1% should be represented as 0.01.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    - CalculationPeriod
    range: decimal
  treatedForecastRate:
    name: treatedForecastRate
    description: The value representing the forecast rate after applying rate treatment
      rules. A value of 1% should be represented as 0.01.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    owner: RateObservation
    domain_of:
    - RateObservation
    range: decimal
rules:
- preconditions:
    slot_conditions:
      observationWeight:
        name: observationWeight
        value_presence: PRESENT
  postconditions:
    slot_conditions:
      observationWeight:
        name: observationWeight
        minimum_value: 0
        value_presence: PRESENT
  description: 'PositiveObservationWeight: FpML specifies observationWeight as a positive
    integer.'