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common-domain-model

Class: SwapCurveValuation

A class to specify a valuation swap curve, which is used as part of the strike construct for the bond and convertible bond options.

URI: common_domain_model:SwapCurveValuation

 classDiagram
    class SwapCurveValuation
    click SwapCurveValuation href "../SwapCurveValuation/"
      SwapCurveValuation <|-- MakeWholeAmount
        click MakeWholeAmount href "../MakeWholeAmount/"
      
      SwapCurveValuation : floatingRateIndex
        
          
    
        
        
        SwapCurveValuation --> "1" FloatingRateIndexEnum : floatingRateIndex
        click FloatingRateIndexEnum href "../FloatingRateIndexEnum/"
    

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

        
      SwapCurveValuation : side
        
          
    
        
        
        SwapCurveValuation --> "0..1" QuotationSideEnum : side
        click QuotationSideEnum href "../QuotationSideEnum/"
    

        
      SwapCurveValuation : spread

Inheritance

Section titled “Inheritance”

Slots

Section titled “Slots”
Name Cardinality and Range Description Inheritance
floatingRateIndex 1
FloatingRateIndexEnum		 direct
indexTenor 0..1
Period		 The ISDA Designated Maturity, i direct
spread 1
Decimal		 Spread in basis points over the floating rate index direct
side 0..1
QuotationSideEnum		 The side (bid/mid/ask) of the measure direct

Usages

Section titled “Usages”
used by used in type used
ReferenceSwapCurve swapUnwindValue range SwapCurveValuation

Identifier and Mapping Information

Section titled “Identifier and Mapping Information”

Schema Source

Section titled “Schema Source”

Mappings

Section titled “Mappings”
Mapping Type Mapped Value
self common_domain_model:SwapCurveValuation
native common_domain_model:SwapCurveValuation

LinkML Source

Section titled “LinkML Source”

Direct

Section titled “Direct”
name: SwapCurveValuation
description: A class to specify a valuation swap curve, which is used as part of the
  strike construct for the bond and convertible bond options.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  floatingRateIndex:
    name: floatingRateIndex
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_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_observable_asset
    domain_of:
    - AssetFloatingRateIndex
    - InflationIndex
    - SwapCurveValuation
    - StubFloatingRate
    range: Period
  spread:
    name: spread
    description: Spread in basis points over the floating rate index.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    domain_of:
    - SwapCurveValuation
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    - CommodityPriceReturnTerms
    range: decimal
    required: true
  side:
    name: side
    description: The side (bid/mid/ask) of the measure.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    domain_of:
    - SwapCurveValuation
    range: QuotationSideEnum

Induced

Section titled “Induced”
name: SwapCurveValuation
description: A class to specify a valuation swap curve, which is used as part of the
  strike construct for the bond and convertible bond options.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  floatingRateIndex:
    name: floatingRateIndex
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    owner: SwapCurveValuation
    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_observable_asset
    owner: SwapCurveValuation
    domain_of:
    - AssetFloatingRateIndex
    - InflationIndex
    - SwapCurveValuation
    - StubFloatingRate
    range: Period
  spread:
    name: spread
    description: Spread in basis points over the floating rate index.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    owner: SwapCurveValuation
    domain_of:
    - SwapCurveValuation
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    - CommodityPriceReturnTerms
    range: decimal
    required: true
  side:
    name: side
    description: The side (bid/mid/ask) of the measure.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_observable_asset
    rank: 1000
    owner: SwapCurveValuation
    domain_of:
    - SwapCurveValuation
    range: QuotationSideEnum