Class: SettlementDate

A data defining the settlement date(s) for cash or physical settlement as either a set of explicit dates, together with applicable adjustments, or as a date relative to some other (anchor) date, or as any date in a range of contiguous business days. This data type provides a level of abstraction on top of the different legacy methods used to specify a settlement / payment date, which vary across product types, asset classes and delivery types.

URI: common_domain_model:SettlementDate

 classDiagram
    class SettlementDate
    click SettlementDate href "../SettlementDate/"
      SettlementDate : adjustableDates
        
          
    
        
        
        SettlementDate --> "0..1" AdjustableDates : adjustableDates
        click AdjustableDates href "../AdjustableDates/"
    

        
      SettlementDate : adjustableOrRelativeDate
        
          
    
        
        
        SettlementDate --> "0..1" AdjustableOrAdjustedOrRelativeDate : adjustableOrRelativeDate
        click AdjustableOrAdjustedOrRelativeDate href "../AdjustableOrAdjustedOrRelativeDate/"
    

        
      SettlementDate : businessDateRange
        
          
    
        
        
        SettlementDate --> "0..1" BusinessDateRange : businessDateRange
        click BusinessDateRange href "../BusinessDateRange/"
    

        
      SettlementDate : cashSettlementBusinessDays
        
      SettlementDate : paymentDelay
        
      SettlementDate : valueDate
        
      

Slots

Name	Cardinality and Range	Description	Inheritance
adjustableOrRelativeDate	0..1 AdjustableOrAdjustedOrRelativeDate	A single settlement date subject to adjustment or specified as relative to an…	direct
valueDate	0..1 date	The settlement date for a forward settling product	direct
adjustableDates	0..1 AdjustableDates	A series of dates that shall be subject to adjustment if they would otherwise…	direct
businessDateRange	0..1 BusinessDateRange	A range of contiguous business days	direct
cashSettlementBusinessDays	0..1 Integer	The number of business days used in the determination of the cash settlement …	direct
paymentDelay	0..1 Boolean	Applicable to CDS on MBS to specify whether payment delays are applicable to …	direct

Expressions & Logic

All Of

The class must satisfy all of:

• AnonymousClassExpression({ ‘description’: (’DateChoice: Settlement date must be specified either throught the ’ “‘settlementDate’ or ‘valueDate’ attribute. This is a temporary work-around “ “until such time when we can retire the ‘valueDate’ attribute.”), ‘exactly_one_of’: [AnonymousClassExpression({ ‘slot_conditions’: {‘adjustableOrRelativeDate’: SlotDefinition({‘name’: ‘adjustableOrRelativeDate’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘valueDate’: SlotDefinition({‘name’: ‘valueDate’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘adjustableDates’: SlotDefinition({‘name’: ‘adjustableDates’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘businessDateRange’: SlotDefinition({‘name’: ‘businessDateRange’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘all_of’: [AnonymousClassExpression({ ‘slot_conditions’: {‘adjustableOrRelativeDate’: SlotDefinition({‘name’: ‘adjustableOrRelativeDate’, ‘value_presence’: PresenceEnum(text=‘ABSENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘valueDate’: SlotDefinition({‘name’: ‘valueDate’, ‘value_presence’: PresenceEnum(text=‘ABSENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘adjustableDates’: SlotDefinition({‘name’: ‘adjustableDates’, ‘value_presence’: PresenceEnum(text=‘ABSENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘businessDateRange’: SlotDefinition({‘name’: ‘businessDateRange’, ‘value_presence’: PresenceEnum(text=‘ABSENT’)})} })] })] })

Usages

used by	used in	type	used
SettlementBase	settlementDate	range	SettlementDate
SettlementTerms	settlementDate	range	SettlementDate

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	{'cashSettlementBusinessDays': {'value_presence': 'PRESENT'}}	{'cashSettlementBusinessDays': {'minimum_value': 0, 'value_presence': 'PRESENT'}}
any_of			[{'slot_conditions': {'adjustableOrRelativeDate': {'value_presence': 'PRESENT'}}}, {'slot_conditions': {'valueDate': {'value_presence': 'PRESENT'}}}, {'slot_conditions': {'adjustableDates': {'value_presence': 'PRESENT'}}}, {'slot_conditions': {'businessDateRange': {'value_presence': 'PRESENT'}}}]

Identifier and Mapping Information

Annotations

property	value
rosetta_metadata	key

Schema Source

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

Mappings

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

LinkML Source

Direct

name: SettlementDate
annotations:
  rosetta_metadata:
    tag: rosetta_metadata
    value: key
description: A data defining the settlement date(s) for cash or physical settlement
  as either a set of explicit dates, together with applicable adjustments, or as a
  date relative to some other (anchor) date, or as any date in a range of contiguous
  business days. This data type provides a level of abstraction on top of the different
  legacy methods used to specify a settlement / payment date, which vary across product
  types, asset classes and delivery types.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  adjustableOrRelativeDate:
    name: adjustableOrRelativeDate
    description: A single settlement date subject to adjustment or specified as relative
      to another date (e.g. the trade date). This attribute was formerly part of 'SettlementTerms',
      which is now being harmonised to include a common 'SettlementDate', as inherited
      from 'SettlementBase'.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    domain_of:
    - SettlementDate
    range: AdjustableOrAdjustedOrRelativeDate
  valueDate:
    name: valueDate
    description: The settlement date for a forward settling product. For Foreign Exchange
      contracts, this represents a common settlement date between both currency legs.
      To specify different settlement dates for each currency leg, see the ForeignExchange
      class. This attribute was formerly part of 'SettlementTerms', which is now being
      harmonised to include a common 'SettlementDate', as inherited from 'SettlementBase'.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    domain_of:
    - FutureValueAmount
    - SettlementDate
    range: date
  adjustableDates:
    name: adjustableDates
    description: A series of dates that shall be subject to adjustment if they would
      otherwise fall on a day that is not a business day in the specified business
      centers, together with the convention for adjusting the date. This attributes
      was formerly part of 'CashSettlementPaymentDate' as included into 'OptionCashSettlement'
      (which is now merged into a unique 'CashSettlementTerms' data type.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    domain_of:
    - AdjustableOrRelativeDates
    - AdjustableRelativeOrPeriodicDates
    - SettlementDate
    range: AdjustableDates
  businessDateRange:
    name: businessDateRange
    description: A range of contiguous business days. This attribute is meant to be
      merged with the 'settlementDate' at some future point once we refactor 'Date'
      to use a single complex type across the model. This attributes was formerly
      part of 'CashSettlementPaymentDate', as included into 'OptionCashSettlement'
      (which is now merged into a unique 'CashSettlementTerms' data type.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    domain_of:
    - SettlementDate
    range: BusinessDateRange
  cashSettlementBusinessDays:
    name: cashSettlementBusinessDays
    description: 'The number of business days used in the determination of the cash
      settlement payment date. If a cash settlement amount is specified, the cash
      settlement payment date will be this number of business days following the calculation
      of the final price. If a cash settlement amount is not specified, the cash settlement
      payment date will be this number of business days after all conditions to settlement
      are satisfied. ISDA 2003 Term: Cash Settlement Date. This attribute was formerly
      part of ''CashSettlementTerms'' as used for credit event settlement, which now
      includes a common ''SettlementDate'' attribute.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    domain_of:
    - SettlementDate
    range: integer
  paymentDelay:
    name: paymentDelay
    description: Applicable to CDS on MBS to specify whether payment delays are applicable
      to the fixed Amount. RMBS typically have a payment delay of 5 days between the
      coupon date of the reference obligation and the payment date of the synthetic
      swap. CMBS do not, on the other hand, with both payment dates being on the 25th
      of each month.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    domain_of:
    - InterestRatePayout
    - SettlementDate
    range: boolean
rules:
- preconditions:
    slot_conditions:
      cashSettlementBusinessDays:
        name: cashSettlementBusinessDays
        value_presence: PRESENT
  postconditions:
    slot_conditions:
      cashSettlementBusinessDays:
        name: cashSettlementBusinessDays
        minimum_value: 0
        value_presence: PRESENT
  elseconditions:
    any_of:
    - slot_conditions:
        adjustableOrRelativeDate:
          name: adjustableOrRelativeDate
          value_presence: PRESENT
    - slot_conditions:
        valueDate:
          name: valueDate
          value_presence: PRESENT
    - slot_conditions:
        adjustableDates:
          name: adjustableDates
          value_presence: PRESENT
    - slot_conditions:
        businessDateRange:
          name: businessDateRange
          value_presence: PRESENT
  description: 'BusinessDays: FpML specifies cashSettlementBusinessDays as a nonNegativeInteger.
    If cashSettlementBusinessDays is not specified, then another settlement date method
    must be specified.'
all_of:
- description: 'DateChoice: Settlement date must be specified either throught the
    ''settlementDate'' or ''valueDate'' attribute. This is a temporary work-around
    until such time when we can retire the ''valueDate'' attribute.'
  exactly_one_of:
  - slot_conditions:
      adjustableOrRelativeDate:
        name: adjustableOrRelativeDate
        value_presence: PRESENT
  - slot_conditions:
      valueDate:
        name: valueDate
        value_presence: PRESENT
  - slot_conditions:
      adjustableDates:
        name: adjustableDates
        value_presence: PRESENT
  - slot_conditions:
      businessDateRange:
        name: businessDateRange
        value_presence: PRESENT
  - all_of:
    - slot_conditions:
        adjustableOrRelativeDate:
          name: adjustableOrRelativeDate
          value_presence: ABSENT
    - slot_conditions:
        valueDate:
          name: valueDate
          value_presence: ABSENT
    - slot_conditions:
        adjustableDates:
          name: adjustableDates
          value_presence: ABSENT
    - slot_conditions:
        businessDateRange:
          name: businessDateRange
          value_presence: ABSENT

Induced

name: SettlementDate
annotations:
  rosetta_metadata:
    tag: rosetta_metadata
    value: key
description: A data defining the settlement date(s) for cash or physical settlement
  as either a set of explicit dates, together with applicable adjustments, or as a
  date relative to some other (anchor) date, or as any date in a range of contiguous
  business days. This data type provides a level of abstraction on top of the different
  legacy methods used to specify a settlement / payment date, which vary across product
  types, asset classes and delivery types.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  adjustableOrRelativeDate:
    name: adjustableOrRelativeDate
    description: A single settlement date subject to adjustment or specified as relative
      to another date (e.g. the trade date). This attribute was formerly part of 'SettlementTerms',
      which is now being harmonised to include a common 'SettlementDate', as inherited
      from 'SettlementBase'.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    owner: SettlementDate
    domain_of:
    - SettlementDate
    range: AdjustableOrAdjustedOrRelativeDate
  valueDate:
    name: valueDate
    description: The settlement date for a forward settling product. For Foreign Exchange
      contracts, this represents a common settlement date between both currency legs.
      To specify different settlement dates for each currency leg, see the ForeignExchange
      class. This attribute was formerly part of 'SettlementTerms', which is now being
      harmonised to include a common 'SettlementDate', as inherited from 'SettlementBase'.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    owner: SettlementDate
    domain_of:
    - FutureValueAmount
    - SettlementDate
    range: date
  adjustableDates:
    name: adjustableDates
    description: A series of dates that shall be subject to adjustment if they would
      otherwise fall on a day that is not a business day in the specified business
      centers, together with the convention for adjusting the date. This attributes
      was formerly part of 'CashSettlementPaymentDate' as included into 'OptionCashSettlement'
      (which is now merged into a unique 'CashSettlementTerms' data type.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    owner: SettlementDate
    domain_of:
    - AdjustableOrRelativeDates
    - AdjustableRelativeOrPeriodicDates
    - SettlementDate
    range: AdjustableDates
  businessDateRange:
    name: businessDateRange
    description: A range of contiguous business days. This attribute is meant to be
      merged with the 'settlementDate' at some future point once we refactor 'Date'
      to use a single complex type across the model. This attributes was formerly
      part of 'CashSettlementPaymentDate', as included into 'OptionCashSettlement'
      (which is now merged into a unique 'CashSettlementTerms' data type.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    owner: SettlementDate
    domain_of:
    - SettlementDate
    range: BusinessDateRange
  cashSettlementBusinessDays:
    name: cashSettlementBusinessDays
    description: 'The number of business days used in the determination of the cash
      settlement payment date. If a cash settlement amount is specified, the cash
      settlement payment date will be this number of business days following the calculation
      of the final price. If a cash settlement amount is not specified, the cash settlement
      payment date will be this number of business days after all conditions to settlement
      are satisfied. ISDA 2003 Term: Cash Settlement Date. This attribute was formerly
      part of ''CashSettlementTerms'' as used for credit event settlement, which now
      includes a common ''SettlementDate'' attribute.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    owner: SettlementDate
    domain_of:
    - SettlementDate
    range: integer
  paymentDelay:
    name: paymentDelay
    description: Applicable to CDS on MBS to specify whether payment delays are applicable
      to the fixed Amount. RMBS typically have a payment delay of 5 days between the
      coupon date of the reference obligation and the payment date of the synthetic
      swap. CMBS do not, on the other hand, with both payment dates being on the 25th
      of each month.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    owner: SettlementDate
    domain_of:
    - InterestRatePayout
    - SettlementDate
    range: boolean
rules:
- preconditions:
    slot_conditions:
      cashSettlementBusinessDays:
        name: cashSettlementBusinessDays
        value_presence: PRESENT
  postconditions:
    slot_conditions:
      cashSettlementBusinessDays:
        name: cashSettlementBusinessDays
        minimum_value: 0
        value_presence: PRESENT
  elseconditions:
    any_of:
    - slot_conditions:
        adjustableOrRelativeDate:
          name: adjustableOrRelativeDate
          value_presence: PRESENT
    - slot_conditions:
        valueDate:
          name: valueDate
          value_presence: PRESENT
    - slot_conditions:
        adjustableDates:
          name: adjustableDates
          value_presence: PRESENT
    - slot_conditions:
        businessDateRange:
          name: businessDateRange
          value_presence: PRESENT
  description: 'BusinessDays: FpML specifies cashSettlementBusinessDays as a nonNegativeInteger.
    If cashSettlementBusinessDays is not specified, then another settlement date method
    must be specified.'
all_of:
- description: 'DateChoice: Settlement date must be specified either throught the
    ''settlementDate'' or ''valueDate'' attribute. This is a temporary work-around
    until such time when we can retire the ''valueDate'' attribute.'
  exactly_one_of:
  - slot_conditions:
      adjustableOrRelativeDate:
        name: adjustableOrRelativeDate
        value_presence: PRESENT
  - slot_conditions:
      valueDate:
        name: valueDate
        value_presence: PRESENT
  - slot_conditions:
      adjustableDates:
        name: adjustableDates
        value_presence: PRESENT
  - slot_conditions:
      businessDateRange:
        name: businessDateRange
        value_presence: PRESENT
  - all_of:
    - slot_conditions:
        adjustableOrRelativeDate:
          name: adjustableOrRelativeDate
          value_presence: ABSENT
    - slot_conditions:
        valueDate:
          name: valueDate
          value_presence: ABSENT
    - slot_conditions:
        adjustableDates:
          name: adjustableDates
          value_presence: ABSENT
    - slot_conditions:
        businessDateRange:
          name: businessDateRange
          value_presence: ABSENT