Class: ReturnTermsBase

Contains all common elements in variance, volatility and correlation return Terms.

URI: common_domain_model:ReturnTermsBase

 classDiagram
    class ReturnTermsBase
    click ReturnTermsBase href "../ReturnTermsBase/"
      ReturnTermsBase <|-- CorrelationReturnTerms
        click CorrelationReturnTerms href "../CorrelationReturnTerms/"
      ReturnTermsBase <|-- VarianceReturnTerms
        click VarianceReturnTerms href "../VarianceReturnTerms/"
      ReturnTermsBase <|-- VolatilityReturnTerms
        click VolatilityReturnTerms href "../VolatilityReturnTerms/"
      
      ReturnTermsBase : annualizationFactor
        
      ReturnTermsBase : dividendApplicability
        
          
    
        
        
        ReturnTermsBase --> "0..1" DividendApplicability : dividendApplicability
        click DividendApplicability href "../DividendApplicability/"
    

        
      ReturnTermsBase : equityUnderlierProvisions
        
          
    
        
        
        ReturnTermsBase --> "0..1" EquityUnderlierProvisions : equityUnderlierProvisions
        click EquityUnderlierProvisions href "../EquityUnderlierProvisions/"
    

        
      ReturnTermsBase : expectedN
        
      ReturnTermsBase : initialLevel
        
      ReturnTermsBase : initialLevelSource
        
          
    
        
        
        ReturnTermsBase --> "0..1" DeterminationMethodEnum : initialLevelSource
        click DeterminationMethodEnum href "../DeterminationMethodEnum/"
    

        
      ReturnTermsBase : meanAdjustment
        
      ReturnTermsBase : performance
        
      ReturnTermsBase : sharePriceDividendAdjustment
        
      ReturnTermsBase : valuationTerms
        
          
    
        
        
        ReturnTermsBase --> "1" ValuationTerms : valuationTerms
        click ValuationTerms href "../ValuationTerms/"
    

        
      

Inheritance

• ReturnTermsBase
  • CorrelationReturnTerms
  • VarianceReturnTerms
  • VolatilityReturnTerms

Slots

Name	Cardinality and Range	Description	Inheritance
valuationTerms	1 ValuationTerms	Contains all non-date valuation information	direct
annualizationFactor	0..1 Integer	This specifies the numerator of an annualization factor	direct
dividendApplicability	0..1 DividendApplicability	The parameters which define whether dividends are applicable	direct
equityUnderlierProvisions	0..1 EquityUnderlierProvisions	Contains Equity Underlyer provisions regarding jurisdiction and fallbacks	direct
sharePriceDividendAdjustment	0..1 Boolean	Indicates whether the price of shares is adjusted for dividends or not	direct
expectedN	1 Integer	Expected number of trading days	direct
initialLevel	0..1 Decimal	Contract will strike off this initial level	direct
initialLevelSource	0..1 DeterminationMethodEnum	In this context, this is AgreedInitialPrice - a specified Initial Index Level	direct
meanAdjustment	0..1 Boolean	Specifies whether Mean Adjustment is applicable or not in the calculation of …	direct
performance	0..1 string	Performance calculation, in accordance with Part 1 Section 12 of the 2018 ISD…	direct

Expressions & Logic

All Of

The class must satisfy all of:

• AnonymousClassExpression({ ‘description’: ‘PositiveExpectedN: The number of expected trading dates must be positive’, ‘slot_conditions’: {‘expectedN’: SlotDefinition({‘name’: ‘expectedN’, ‘minimum_value’: 1})} })

Comments

• Rosetta condition InitialLevelOrInitialLevelSource is not stated in LinkML: if initialLevel is absent then initialLevelSource exists and if initialLevelSource is absent then initialLevel exists

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: ReturnTermsBase
description: Contains all common elements in variance, volatility and correlation
  return Terms.
comments:
- 'Rosetta condition InitialLevelOrInitialLevelSource is not stated in LinkML: if
  initialLevel is absent then initialLevelSource exists and if initialLevelSource
  is absent then initialLevel exists'
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  valuationTerms:
    name: valuationTerms
    description: Contains all non-date valuation information.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - ReturnTermsBase
    range: ValuationTerms
    required: true
  annualizationFactor:
    name: annualizationFactor
    description: This specifies the numerator of an annualization factor. Frequently
      this number is equal to the number of observations of prices in a year e.g.
      252.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - ReturnTermsBase
    range: integer
  dividendApplicability:
    name: dividendApplicability
    description: The parameters which define whether dividends are applicable
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - ReturnTermsBase
    range: DividendApplicability
  equityUnderlierProvisions:
    name: equityUnderlierProvisions
    description: Contains Equity Underlyer provisions regarding jurisdiction and fallbacks.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - ReturnTermsBase
    range: EquityUnderlierProvisions
  sharePriceDividendAdjustment:
    name: sharePriceDividendAdjustment
    description: Indicates whether the price of shares is adjusted for dividends or
      not.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - ReturnTermsBase
    range: boolean
  expectedN:
    name: expectedN
    description: Expected number of trading days.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - ReturnTermsBase
    range: integer
    required: true
  initialLevel:
    name: initialLevel
    description: Contract will strike off this initial level. Providing just the initialLevel
      without initialLevelSource, infers that this is AgreedInitialPrice - a specified
      Initial Index Level.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - ReturnTermsBase
    range: decimal
  initialLevelSource:
    name: initialLevelSource
    description: In this context, this is AgreedInitialPrice - a specified Initial
      Index Level.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - ReturnTermsBase
    range: DeterminationMethodEnum
  meanAdjustment:
    name: meanAdjustment
    description: Specifies whether Mean Adjustment is applicable or not in the calculation
      of the Realized Volatility, Variance or Correlation
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - ReturnTermsBase
    range: boolean
  performance:
    name: performance
    description: Performance calculation, in accordance with Part 1 Section 12 of
      the 2018 ISDA CDM Equity Confirmation for Security Equity Swap, Para 75. 'Equity
      Performance'. Cumulative performance is used as a notional multiplier factor
      on both legs of an Equity Swap.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    domain_of:
    - DividendReturnTerms
    - PriceReturnTerms
    - ReturnTermsBase
    range: string
all_of:
- description: 'PositiveExpectedN: The number of expected trading dates must be positive'
  slot_conditions:
    expectedN:
      name: expectedN
      minimum_value: 1

Induced

name: ReturnTermsBase
description: Contains all common elements in variance, volatility and correlation
  return Terms.
comments:
- 'Rosetta condition InitialLevelOrInitialLevelSource is not stated in LinkML: if
  initialLevel is absent then initialLevelSource exists and if initialLevelSource
  is absent then initialLevel exists'
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  valuationTerms:
    name: valuationTerms
    description: Contains all non-date valuation information.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: ValuationTerms
    required: true
  annualizationFactor:
    name: annualizationFactor
    description: This specifies the numerator of an annualization factor. Frequently
      this number is equal to the number of observations of prices in a year e.g.
      252.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: integer
  dividendApplicability:
    name: dividendApplicability
    description: The parameters which define whether dividends are applicable
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: DividendApplicability
  equityUnderlierProvisions:
    name: equityUnderlierProvisions
    description: Contains Equity Underlyer provisions regarding jurisdiction and fallbacks.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: EquityUnderlierProvisions
  sharePriceDividendAdjustment:
    name: sharePriceDividendAdjustment
    description: Indicates whether the price of shares is adjusted for dividends or
      not.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: boolean
  expectedN:
    name: expectedN
    description: Expected number of trading days.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: integer
    required: true
  initialLevel:
    name: initialLevel
    description: Contract will strike off this initial level. Providing just the initialLevel
      without initialLevelSource, infers that this is AgreedInitialPrice - a specified
      Initial Index Level.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: decimal
  initialLevelSource:
    name: initialLevelSource
    description: In this context, this is AgreedInitialPrice - a specified Initial
      Index Level.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: DeterminationMethodEnum
  meanAdjustment:
    name: meanAdjustment
    description: Specifies whether Mean Adjustment is applicable or not in the calculation
      of the Realized Volatility, Variance or Correlation
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: ReturnTermsBase
    domain_of:
    - ReturnTermsBase
    range: boolean
  performance:
    name: performance
    description: Performance calculation, in accordance with Part 1 Section 12 of
      the 2018 ISDA CDM Equity Confirmation for Security Equity Swap, Para 75. 'Equity
      Performance'. Cumulative performance is used as a notional multiplier factor
      on both legs of an Equity Swap.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: ReturnTermsBase
    domain_of:
    - DividendReturnTerms
    - PriceReturnTerms
    - ReturnTermsBase
    range: string
all_of:
- description: 'PositiveExpectedN: The number of expected trading dates must be positive'
  slot_conditions:
    expectedN:
      name: expectedN
      minimum_value: 1