Class: StubFloatingRate

A class defining a floating rate.

URI: common_domain_model:StubFloatingRate

 classDiagram
    class StubFloatingRate
    click StubFloatingRate href "../StubFloatingRate/"
      StubFloatingRate : capRateSchedule
        
          
    
        
        
        StubFloatingRate --> "*" StrikeSchedule : capRateSchedule
        click StrikeSchedule href "../StrikeSchedule/"
    

        
      StubFloatingRate : floatingRateIndex
        
          
    
        
        
        StubFloatingRate --> "1" FloatingRateIndexEnum : floatingRateIndex
        click FloatingRateIndexEnum href "../FloatingRateIndexEnum/"
    

        
      StubFloatingRate : floatingRateMultiplierSchedule
        
          
    
        
        
        StubFloatingRate --> "0..1" ScheduleWithInitialValue : floatingRateMultiplierSchedule
        click ScheduleWithInitialValue href "../ScheduleWithInitialValue/"
    

        
      StubFloatingRate : floorRateSchedule
        
          
    
        
        
        StubFloatingRate --> "*" StrikeSchedule : floorRateSchedule
        click StrikeSchedule href "../StrikeSchedule/"
    

        
      StubFloatingRate : indexTenor
        
          
    
        
        
        StubFloatingRate --> "0..1" Period : indexTenor
        click Period href "../Period/"
    

        
      StubFloatingRate : rateTreatment
        
          
    
        
        
        StubFloatingRate --> "0..1" RateTreatmentEnum : rateTreatment
        click RateTreatmentEnum href "../RateTreatmentEnum/"
    

        
      StubFloatingRate : spreadSchedule
        
          
    
        
        
        StubFloatingRate --> "*" SpreadSchedule : spreadSchedule
        click SpreadSchedule href "../SpreadSchedule/"
    

        
      

Slots

Name	Cardinality and Range	Description	Inheritance
floatingRateIndex	1 FloatingRateIndexEnum	The floating rate index	direct
indexTenor	0..1 Period	The ISDA Designated Maturity, i	direct
floatingRateMultiplierSchedule	0..1 ScheduleWithInitialValue	A rate multiplier or multiplier schedule to apply to the floating rate	direct
spreadSchedule	* SpreadSchedule	The ISDA Spread or a Spread schedule expressed as explicit spreads and dates	direct
rateTreatment	0..1 RateTreatmentEnum	The specification of any rate conversion which needs to be applied to the obs…	direct
capRateSchedule	* StrikeSchedule	The cap rate or cap rate schedule, if any, which applies to the floating rate	direct
floorRateSchedule	* StrikeSchedule	The floor rate or floor rate schedule, if any, which applies to the floating …	direct

Usages

used by	used in	type	used
StubValue	floatingRate	range	StubFloatingRate

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: StubFloatingRate
description: A class defining a floating rate.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  floatingRateIndex:
    name: floatingRateIndex
    description: The floating rate index.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    domain_of:
    - AssetFloatingRateIndex
    - SwapCurveValuation
    - FallbackRateParameters
    - FloatingRateIndexIdentification
    - CollectFloatingRateOptionInstruction
    - ResetInstructionState
    - StubFloatingRate
    range: FloatingRateIndexEnum
    required: true
  indexTenor:
    name: indexTenor
    description: The ISDA Designated Maturity, i.e. the tenor of the floating rate.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    domain_of:
    - AssetFloatingRateIndex
    - InflationIndex
    - SwapCurveValuation
    - StubFloatingRate
    range: Period
  floatingRateMultiplierSchedule:
    name: floatingRateMultiplierSchedule
    description: A rate multiplier or multiplier schedule to apply to the floating
      rate. A multiplier schedule is expressed as explicit multipliers and dates.
      In the case of a schedule, the step dates may be subject to adjustment in accordance
      with any adjustments specified in the calculationPeriodDatesAdjustments. The
      multiplier can be a positive or negative decimal. This element should only be
      included if the multiplier is not equal to 1 (one) for the term of the stream.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    domain_of:
    - FloatingRate
    - StubFloatingRate
    range: ScheduleWithInitialValue
  spreadSchedule:
    name: spreadSchedule
    description: The ISDA Spread or a Spread schedule expressed as explicit spreads
      and dates. In the case of a schedule, the step dates may be subject to adjustment
      in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
      The spread is a per annum rate, expressed as a decimal. For purposes of determining
      a calculation period amount, if positive the spread will be added to the floating
      rate and if negative the spread will be subtracted from the floating rate. A
      positive 10 basis point (0.1%) spread would be represented as 0.001.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: SpreadSchedule
    multivalued: true
  rateTreatment:
    name: rateTreatment
    description: The specification of any rate conversion which needs to be applied
      to the observed rate before being used in any calculations. The two common conversions
      are for securities quoted on a bank discount basis which will need to be converted
      to either a Money Market Yield or Bond Equivalent Yield. See the Annex to the
      2000 ISDA Definitions, Section 7.3. Certain General Definitions Relating to
      Floating Rate Options, paragraphs (g) and (h) for definitions of these terms.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    domain_of:
    - FloatingRate
    - StubFloatingRate
    range: RateTreatmentEnum
  capRateSchedule:
    name: capRateSchedule
    description: The cap rate or cap rate schedule, if any, which applies to the floating
      rate. The cap rate (strike) is only required where the floating rate on a swap
      stream is capped at a certain level. A cap rate schedule is expressed as explicit
      cap rates and dates and the step dates may be subject to adjustment in accordance
      with any adjustments specified in calculationPeriodDatesAdjustments. The cap
      rate is assumed to be exclusive of any spread and is a per annum rate, expressed
      as a decimal. A cap rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: StrikeSchedule
    multivalued: true
  floorRateSchedule:
    name: floorRateSchedule
    description: The floor rate or floor rate schedule, if any, which applies to the
      floating rate. The floor rate (strike) is only required where the floating rate
      on a swap stream is floored at a certain strike level. A floor rate schedule
      is expressed as explicit floor rates and dates and the step dates may be subject
      to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
      The floor rate is assumed to be exclusive of any spread and is a per annum rate,
      expressed as a decimal. A floor rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: StrikeSchedule
    multivalued: true

Induced

name: StubFloatingRate
description: A class defining a floating rate.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  floatingRateIndex:
    name: floatingRateIndex
    description: The floating rate index.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: StubFloatingRate
    domain_of:
    - AssetFloatingRateIndex
    - SwapCurveValuation
    - FallbackRateParameters
    - FloatingRateIndexIdentification
    - CollectFloatingRateOptionInstruction
    - ResetInstructionState
    - StubFloatingRate
    range: FloatingRateIndexEnum
    required: true
  indexTenor:
    name: indexTenor
    description: The ISDA Designated Maturity, i.e. the tenor of the floating rate.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: StubFloatingRate
    domain_of:
    - AssetFloatingRateIndex
    - InflationIndex
    - SwapCurveValuation
    - StubFloatingRate
    range: Period
  floatingRateMultiplierSchedule:
    name: floatingRateMultiplierSchedule
    description: A rate multiplier or multiplier schedule to apply to the floating
      rate. A multiplier schedule is expressed as explicit multipliers and dates.
      In the case of a schedule, the step dates may be subject to adjustment in accordance
      with any adjustments specified in the calculationPeriodDatesAdjustments. The
      multiplier can be a positive or negative decimal. This element should only be
      included if the multiplier is not equal to 1 (one) for the term of the stream.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: StubFloatingRate
    domain_of:
    - FloatingRate
    - StubFloatingRate
    range: ScheduleWithInitialValue
  spreadSchedule:
    name: spreadSchedule
    description: The ISDA Spread or a Spread schedule expressed as explicit spreads
      and dates. In the case of a schedule, the step dates may be subject to adjustment
      in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
      The spread is a per annum rate, expressed as a decimal. For purposes of determining
      a calculation period amount, if positive the spread will be added to the floating
      rate and if negative the spread will be subtracted from the floating rate. A
      positive 10 basis point (0.1%) spread would be represented as 0.001.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: StubFloatingRate
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: SpreadSchedule
    multivalued: true
  rateTreatment:
    name: rateTreatment
    description: The specification of any rate conversion which needs to be applied
      to the observed rate before being used in any calculations. The two common conversions
      are for securities quoted on a bank discount basis which will need to be converted
      to either a Money Market Yield or Bond Equivalent Yield. See the Annex to the
      2000 ISDA Definitions, Section 7.3. Certain General Definitions Relating to
      Floating Rate Options, paragraphs (g) and (h) for definitions of these terms.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: StubFloatingRate
    domain_of:
    - FloatingRate
    - StubFloatingRate
    range: RateTreatmentEnum
  capRateSchedule:
    name: capRateSchedule
    description: The cap rate or cap rate schedule, if any, which applies to the floating
      rate. The cap rate (strike) is only required where the floating rate on a swap
      stream is capped at a certain level. A cap rate schedule is expressed as explicit
      cap rates and dates and the step dates may be subject to adjustment in accordance
      with any adjustments specified in calculationPeriodDatesAdjustments. The cap
      rate is assumed to be exclusive of any spread and is a per annum rate, expressed
      as a decimal. A cap rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: StubFloatingRate
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: StrikeSchedule
    multivalued: true
  floorRateSchedule:
    name: floorRateSchedule
    description: The floor rate or floor rate schedule, if any, which applies to the
      floating rate. The floor rate (strike) is only required where the floating rate
      on a swap stream is floored at a certain strike level. A floor rate schedule
      is expressed as explicit floor rates and dates and the step dates may be subject
      to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
      The floor rate is assumed to be exclusive of any spread and is a per annum rate,
      expressed as a decimal. A floor rate of 5% would be represented as 0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: StubFloatingRate
    domain_of:
    - FloatingRateBase
    - StubFloatingRate
    range: StrikeSchedule
    multivalued: true