Class: StubValue

A type defining how a stub calculation period amount is calculated. A single floating rate tenor different to that used for the regular part of the calculation periods schedule may be specified, or two floating rate tenors many be specified. If two floating rate tenors are specified then Linear Interpolation (in accordance with the 2000 ISDA Definitions, Section 8.3 Interpolation) is assumed to apply. Alternatively, an actual known stub rate or stub amount may be specified.

URI: common_domain_model:StubValue

 classDiagram
    class StubValue
    click StubValue href "../StubValue/"
      StubValue : floatingRate
        
          
    
        
        
        StubValue --> "*" StubFloatingRate : floatingRate
        click StubFloatingRate href "../StubFloatingRate/"
    

        
      StubValue : stubAmount
        
          
    
        
        
        StubValue --> "0..1" Money : stubAmount
        click Money href "../Money/"
    

        
      StubValue : stubRate
        
      

Slots

Name	Cardinality and Range	Description	Inheritance
floatingRate	* StubFloatingRate	The rates to be applied to the initial or final stub may be the linear interp…	direct
stubRate	0..1 Decimal	An actual rate to apply for the initial or final stub period may have been ag…	direct
stubAmount	0..1 Money	An actual amount to apply for the initial or final stub period may have been …	direct

Expressions & Logic

All Of

The class must satisfy all of:

• AnonymousClassExpression({ ‘description’: ‘Unnamed condition (one-of)’, ‘exactly_one_of’: [AnonymousClassExpression({ ‘slot_conditions’: {‘floatingRate’: SlotDefinition({‘name’: ‘floatingRate’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘stubRate’: SlotDefinition({‘name’: ‘stubRate’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘stubAmount’: SlotDefinition({‘name’: ‘stubAmount’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} })] })

Usages

used by	used in	type	used
AccrualFactorCalculationTerms	interpolationTerms	range	StubValue
StubCalculationPeriodAmount	initialStub	range	StubValue
StubCalculationPeriodAmount	finalStub	range	StubValue
StubPeriod	initialStub	range	StubValue
StubPeriod	finalStub	range	StubValue

Identifier and Mapping Information

Schema Source

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

Mappings

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

LinkML Source

Direct

name: StubValue
description: A type defining how a stub calculation period amount is calculated. A
  single floating rate tenor different to that used for the regular part of the calculation
  periods schedule may be specified, or two floating rate tenors many be specified.
  If two floating rate tenors are specified then Linear Interpolation (in accordance
  with the 2000 ISDA Definitions, Section 8.3 Interpolation) is assumed to apply.
  Alternatively, an actual known stub rate or stub amount may be specified.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  floatingRate:
    name: floatingRate
    description: The rates to be applied to the initial or final stub may be the linear
      interpolation of two different rates. While the majority of the time, the rate
      indices will be the same as that specified in the stream and only the tenor
      itself will be different, it is possible to specift two different rates. For
      example, a 2 month stub period may use the linear interpolation of a 1 month
      and 3 month rate. The different rates would be specified in this component.
      Note that a maximum of two rates can be specified. If a stub period uses the
      same floating rate index, including tenor, as the regular calculation periods
      then this should not be specified again within this component, i.e. the stub
      calculation period amount component may not need to be specified even if there
      is an initial or final stub period. If a stub period uses a different floating
      rate index compared to the regular calculation periods then this should be specified
      within this component. If specified here, they are likely to have id attributes,
      allowing them to be referenced from within the cashflows component.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - StubValue
    - FloatingAmountCalculationDetails
    - FloatingRateSettingDetails
    - CollateralInterestCalculationParameters
    range: StubFloatingRate
    multivalued: true
    maximum_cardinality: 2
  stubRate:
    name: stubRate
    description: An actual rate to apply for the initial or final stub period may
      have been agreed between the principal parties (in a similar way to how an initial
      rate may have been agreed for the first regular period). If an actual stub rate
      has been agreed then it would be included in this component. It will be a per
      annum rate, expressed as a decimal. A stub rate of 5% would be represented as
      0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - StubValue
    range: decimal
  stubAmount:
    name: stubAmount
    description: An actual amount to apply for the initial or final stub period may
      have been agreed between the two parties. If an actual stub amount has been
      agreed then it would be included in this component.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - StubValue
    range: Money
all_of:
- description: Unnamed condition (one-of)
  exactly_one_of:
  - slot_conditions:
      floatingRate:
        name: floatingRate
        value_presence: PRESENT
  - slot_conditions:
      stubRate:
        name: stubRate
        value_presence: PRESENT
  - slot_conditions:
      stubAmount:
        name: stubAmount
        value_presence: PRESENT

Induced

name: StubValue
description: A type defining how a stub calculation period amount is calculated. A
  single floating rate tenor different to that used for the regular part of the calculation
  periods schedule may be specified, or two floating rate tenors many be specified.
  If two floating rate tenors are specified then Linear Interpolation (in accordance
  with the 2000 ISDA Definitions, Section 8.3 Interpolation) is assumed to apply.
  Alternatively, an actual known stub rate or stub amount may be specified.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  floatingRate:
    name: floatingRate
    description: The rates to be applied to the initial or final stub may be the linear
      interpolation of two different rates. While the majority of the time, the rate
      indices will be the same as that specified in the stream and only the tenor
      itself will be different, it is possible to specift two different rates. For
      example, a 2 month stub period may use the linear interpolation of a 1 month
      and 3 month rate. The different rates would be specified in this component.
      Note that a maximum of two rates can be specified. If a stub period uses the
      same floating rate index, including tenor, as the regular calculation periods
      then this should not be specified again within this component, i.e. the stub
      calculation period amount component may not need to be specified even if there
      is an initial or final stub period. If a stub period uses a different floating
      rate index compared to the regular calculation periods then this should be specified
      within this component. If specified here, they are likely to have id attributes,
      allowing them to be referenced from within the cashflows component.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: StubValue
    domain_of:
    - StubValue
    - FloatingAmountCalculationDetails
    - FloatingRateSettingDetails
    - CollateralInterestCalculationParameters
    range: StubFloatingRate
    multivalued: true
    maximum_cardinality: 2
  stubRate:
    name: stubRate
    description: An actual rate to apply for the initial or final stub period may
      have been agreed between the principal parties (in a similar way to how an initial
      rate may have been agreed for the first regular period). If an actual stub rate
      has been agreed then it would be included in this component. It will be a per
      annum rate, expressed as a decimal. A stub rate of 5% would be represented as
      0.05.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: StubValue
    domain_of:
    - StubValue
    range: decimal
  stubAmount:
    name: stubAmount
    description: An actual amount to apply for the initial or final stub period may
      have been agreed between the two parties. If an actual stub amount has been
      agreed then it would be included in this component.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: StubValue
    domain_of:
    - StubValue
    range: Money
all_of:
- description: Unnamed condition (one-of)
  exactly_one_of:
  - slot_conditions:
      floatingRate:
        name: floatingRate
        value_presence: PRESENT
  - slot_conditions:
      stubRate:
        name: stubRate
        value_presence: PRESENT
  - slot_conditions:
      stubAmount:
        name: stubAmount
        value_presence: PRESENT