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common-domain-model

Class: Valuation

Defines the value of an investment, asset, or security

URI: common_domain_model:Valuation

 classDiagram
    class Valuation
    click Valuation href "../Valuation/"
      Valuation : amount
        
          
    
        
        
        Valuation --> "1" Money : amount
        click Money href "../Money/"
    

        
      Valuation : delta
        
      Valuation : method
        
          
    
        
        
        Valuation --> "0..1" ValuationTypeEnum : method
        click ValuationTypeEnum href "../ValuationTypeEnum/"
    

        
      Valuation : priceComponent
        
          
    
        
        
        Valuation --> "0..1" Price : priceComponent
        click Price href "../Price/"
    

        
      Valuation : scope
        
          
    
        
        
        Valuation --> "1" ValuationScopeEnum : scope
        click ValuationScopeEnum href "../ValuationScopeEnum/"
    

        
      Valuation : source
        
          
    
        
        
        Valuation --> "0..1" ValuationSourceEnum : source
        click ValuationSourceEnum href "../ValuationSourceEnum/"
    

        
      Valuation : timestamp
        
      Valuation : valuationTiming
        
          
    
        
        
        Valuation --> "0..1" PriceTimingEnum : valuationTiming
        click PriceTimingEnum href "../PriceTimingEnum/"

Slots

Section titled “Slots”
Name Cardinality and Range Description Inheritance
timestamp 1
Datetime		 Date and time of the last valuation marked to market, provided by the central… direct
source 0..1
ValuationSourceEnum		 Source of the valuation of the transaction by the valuation party direct
amount 1
Money		 Current value of the outstanding contract direct
method 0..1
ValuationTypeEnum		 Method used for the valuation of the transaction by the valuation party direct
scope 1
ValuationScopeEnum		 Defines the scope of the valuation, what it applies to e direct
delta 0..1
Decimal		 The ratio of the change in the price of a derivative transaction to the chang… direct
valuationTiming 0..1
PriceTimingEnum		 Denotes when the valuation was sourced during a business day direct
priceComponent 0..1
Price		 Denotes the price used to compute the valuation direct
Expressions & Logic

All Of

Section titled “All Of”

The class must satisfy all of:

  • AnonymousClassExpression({ ‘description’: (’ValuationType: The below condition ensures one and only one of the two ’ “attributes: ‘Valuation Method’ or ‘Valuation Source’ is allowed. Valuation “ ’of a trade or a portfolio is either internally calculated (via M2Market or ’ ’M2Model methods) or supplied from an external source (e.g Central ’ “Counterparty’s Valuation). Valuation cannot be based upon internal “ ‘calculations and external source at the same time.’), ‘exactly_one_of’: [AnonymousClassExpression({ ‘slot_conditions’: {‘method’: SlotDefinition({‘name’: ‘method’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘source’: SlotDefinition({‘name’: ‘source’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} })] })

Usages

Section titled “Usages”
used by used in type used
CounterpartyPositionState valuationHistory range Valuation
TradeState valuationHistory range Valuation
ValuationInstruction valuation range Valuation

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:Valuation
native common_domain_model:Valuation

LinkML Source

Section titled “LinkML Source”

Direct

Section titled “Direct”
name: Valuation
description: Defines the value of an investment, asset, or security
from_schema: https://w3id.org/lmodel/common-domain-model
slots:
- timestamp
- source
slot_usage:
  timestamp:
    name: timestamp
    description: Date and time of the last valuation marked to market, provided by
      the central counterparty (CCP) or calculated using the current or last available
      market price of the inputs.
    range: datetime
    required: true
  source:
    name: source
    description: Source of the valuation of the transaction by the valuation party.
    range: ValuationSourceEnum
attributes:
  amount:
    name: amount
    description: Current value of the outstanding contract
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    domain_of:
    - Valuation
    - CSAMinimumTransferAmountVariableSet
    - CSAThresholdVariableSet
    - ElectiveAmountElection
    - LegacyResolutionAlternative
    - RatingAgencyAmount
    - ThresholdMinimumTransferAmountFixedAmount
    - FeaturePayment
    - ComputedAmount
    range: Money
    required: true
  method:
    name: method
    description: Method used for the valuation of the transaction by the valuation
      party.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    domain_of:
    - Valuation
    - FloatingRateIndexCalculationDefaults
    range: ValuationTypeEnum
  scope:
    name: scope
    description: Defines the scope of the valuation, what it applies to e.g. the collateral
      or the trade
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    domain_of:
    - Valuation
    range: ValuationScopeEnum
    required: true
  delta:
    name: delta
    description: The ratio of the change in the price of a derivative transaction
      to the change in the price of the underlying. This field is applicable only
      to options and swaptions.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    domain_of:
    - Valuation
    range: decimal
  valuationTiming:
    name: valuationTiming
    description: Denotes when the valuation was sourced during a business day.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    domain_of:
    - Valuation
    range: PriceTimingEnum
  priceComponent:
    name: priceComponent
    description: Denotes the price used to compute the valuation.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    domain_of:
    - Valuation
    range: Price
all_of:
- description: 'ValuationType: The below condition ensures one and only one of the
    two attributes: ''Valuation Method'' or ''Valuation Source'' is allowed. Valuation
    of a trade or a portfolio is either internally calculated (via M2Market or M2Model
    methods) or supplied from an external source (e.g Central Counterparty''s Valuation).
    Valuation cannot be based upon internal calculations and external source at the
    same time.'
  exactly_one_of:
  - slot_conditions:
      method:
        name: method
        value_presence: PRESENT
  - slot_conditions:
      source:
        name: source
        value_presence: PRESENT

Induced

Section titled “Induced”
name: Valuation
description: Defines the value of an investment, asset, or security
from_schema: https://w3id.org/lmodel/common-domain-model
slot_usage:
  timestamp:
    name: timestamp
    description: Date and time of the last valuation marked to market, provided by
      the central counterparty (CCP) or calculated using the current or last available
      market price of the inputs.
    range: datetime
    required: true
  source:
    name: source
    description: Source of the valuation of the transaction by the valuation party.
    range: ValuationSourceEnum
attributes:
  amount:
    name: amount
    description: Current value of the outstanding contract
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: Valuation
    domain_of:
    - Valuation
    - CSAMinimumTransferAmountVariableSet
    - CSAThresholdVariableSet
    - ElectiveAmountElection
    - LegacyResolutionAlternative
    - RatingAgencyAmount
    - ThresholdMinimumTransferAmountFixedAmount
    - FeaturePayment
    - ComputedAmount
    range: Money
    required: true
  method:
    name: method
    description: Method used for the valuation of the transaction by the valuation
      party.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: Valuation
    domain_of:
    - Valuation
    - FloatingRateIndexCalculationDefaults
    range: ValuationTypeEnum
  scope:
    name: scope
    description: Defines the scope of the valuation, what it applies to e.g. the collateral
      or the trade
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: Valuation
    domain_of:
    - Valuation
    range: ValuationScopeEnum
    required: true
  delta:
    name: delta
    description: The ratio of the change in the price of a derivative transaction
      to the change in the price of the underlying. This field is applicable only
      to options and swaptions.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: Valuation
    domain_of:
    - Valuation
    range: decimal
  valuationTiming:
    name: valuationTiming
    description: Denotes when the valuation was sourced during a business day.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: Valuation
    domain_of:
    - Valuation
    range: PriceTimingEnum
  priceComponent:
    name: priceComponent
    description: Denotes the price used to compute the valuation.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_event_common
    rank: 1000
    owner: Valuation
    domain_of:
    - Valuation
    range: Price
  timestamp:
    name: timestamp
    description: Date and time of the last valuation marked to market, provided by
      the central counterparty (CCP) or calculated using the current or last available
      market price of the inputs.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: Valuation
    domain_of:
    - Valuation
    - CompositionStep
    - WorkflowStep
    - WorkflowStepApproval
    range: datetime
    required: true
  source:
    name: source
    description: Source of the valuation of the transaction by the valuation party.
    from_schema: https://w3id.org/lmodel/common-domain-model
    rank: 1000
    owner: Valuation
    domain_of:
    - ProductIdentifier
    - Taxonomy
    - CodeValue
    - Valuation
    range: ValuationSourceEnum
all_of:
- description: 'ValuationType: The below condition ensures one and only one of the
    two attributes: ''Valuation Method'' or ''Valuation Source'' is allowed. Valuation
    of a trade or a portfolio is either internally calculated (via M2Market or M2Model
    methods) or supplied from an external source (e.g Central Counterparty''s Valuation).
    Valuation cannot be based upon internal calculations and external source at the
    same time.'
  exactly_one_of:
  - slot_conditions:
      method:
        name: method
        value_presence: PRESENT
  - slot_conditions:
      source:
        name: source
        value_presence: PRESENT