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common-domain-model

Class: VarianceReturnTerms

URI: common_domain_model:VarianceReturnTerms

 classDiagram
    class VarianceReturnTerms
    click VarianceReturnTerms href "../VarianceReturnTerms/"
      ReturnTermsBase <|-- VarianceReturnTerms
        click ReturnTermsBase href "../ReturnTermsBase/"
      
      VarianceReturnTerms : annualizationFactor
        
      VarianceReturnTerms : dividendApplicability
        
          
    
        
        
        VarianceReturnTerms --> "0..1" DividendApplicability : dividendApplicability
        click DividendApplicability href "../DividendApplicability/"
    

        
      VarianceReturnTerms : equityUnderlierProvisions
        
          
    
        
        
        VarianceReturnTerms --> "0..1" EquityUnderlierProvisions : equityUnderlierProvisions
        click EquityUnderlierProvisions href "../EquityUnderlierProvisions/"
    

        
      VarianceReturnTerms : exchangeTradedContractNearest
        
          
    
        
        
        VarianceReturnTerms --> "0..1" Observable : exchangeTradedContractNearest
        click Observable href "../Observable/"
    

        
      VarianceReturnTerms : expectedN
        
      VarianceReturnTerms : initialLevel
        
      VarianceReturnTerms : initialLevelSource
        
          
    
        
        
        VarianceReturnTerms --> "0..1" DeterminationMethodEnum : initialLevelSource
        click DeterminationMethodEnum href "../DeterminationMethodEnum/"
    

        
      VarianceReturnTerms : meanAdjustment
        
      VarianceReturnTerms : performance
        
      VarianceReturnTerms : sharePriceDividendAdjustment
        
      VarianceReturnTerms : valuationTerms
        
          
    
        
        
        VarianceReturnTerms --> "1" ValuationTerms : valuationTerms
        click ValuationTerms href "../ValuationTerms/"
    

        
      VarianceReturnTerms : varianceCapFloor
        
          
    
        
        
        VarianceReturnTerms --> "0..1" VarianceCapFloor : varianceCapFloor
        click VarianceCapFloor href "../VarianceCapFloor/"
    

        
      VarianceReturnTerms : varianceStrikePrice
        
          
    
        
        
        VarianceReturnTerms --> "0..1" Price : varianceStrikePrice
        click Price href "../Price/"
    

        
      VarianceReturnTerms : vegaNotionalAmount
        
          
    
        
        
        VarianceReturnTerms --> "0..1" NonNegativeQuantitySchedule : vegaNotionalAmount
        click NonNegativeQuantitySchedule href "../NonNegativeQuantitySchedule/"
    

        
      VarianceReturnTerms : volatilityCapFloor
        
          
    
        
        
        VarianceReturnTerms --> "0..1" VolatilityCapFloor : volatilityCapFloor
        click VolatilityCapFloor href "../VolatilityCapFloor/"
    

        
      VarianceReturnTerms : volatilityStrikePrice
        
          
    
        
        
        VarianceReturnTerms --> "0..1" Price : volatilityStrikePrice
        click Price href "../Price/"

Inheritance

Section titled “Inheritance”

Slots

Section titled “Slots”
Name Cardinality and Range Description Inheritance
varianceStrikePrice 0..1
Price		 Variance Strike Price in accordance with the ISDA 2011 Equity Derivatives Def… direct
volatilityStrikePrice 0..1
Price		 Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives D… direct
varianceCapFloor 0..1
VarianceCapFloor		 Contains possible barriers for variance products, both variance-based and und… direct
volatilityCapFloor 0..1
VolatilityCapFloor		 Contains containing volatility-based barriers direct
vegaNotionalAmount 0..1
NonNegativeQuantitySchedule		 Vega Notional represents the approximate gain/loss at maturity for a 1% diffe… direct
exchangeTradedContractNearest 0..1
Observable		 Specification of the exchange traded contract nearest direct
valuationTerms 1
ValuationTerms		 Contains all non-date valuation information ReturnTermsBase
annualizationFactor 0..1
Integer		 This specifies the numerator of an annualization factor ReturnTermsBase
dividendApplicability 0..1
DividendApplicability		 The parameters which define whether dividends are applicable ReturnTermsBase
equityUnderlierProvisions 0..1
EquityUnderlierProvisions		 Contains Equity Underlyer provisions regarding jurisdiction and fallbacks ReturnTermsBase
sharePriceDividendAdjustment 0..1
Boolean		 Indicates whether the price of shares is adjusted for dividends or not ReturnTermsBase
expectedN 1
Integer		 Expected number of trading days ReturnTermsBase
initialLevel 0..1
Decimal		 Contract will strike off this initial level ReturnTermsBase
initialLevelSource 0..1
DeterminationMethodEnum		 In this context, this is AgreedInitialPrice - a specified Initial Index Level ReturnTermsBase
meanAdjustment 0..1
Boolean		 Specifies whether Mean Adjustment is applicable or not in the calculation of … ReturnTermsBase
performance 0..1
string		 Performance calculation, in accordance with Part 1 Section 12 of the 2018 ISD… ReturnTermsBase
Expressions & Logic

All Of

Section titled “All Of”

The class must satisfy all of:

  • AnonymousClassExpression({ ‘description’: (’From ReturnTermsBase. PositiveExpectedN: The number of expected trading ’ ‘dates must be positive’), ‘slot_conditions’: {‘expectedN’: SlotDefinition({‘name’: ‘expectedN’, ‘minimum_value’: 1})} })
  • AnonymousClassExpression({ ‘description’: (’StrikePriceMustExist: The strike price must be present, but it can be ’ ‘expressed in either variance or volatility terms’), ‘exactly_one_of’: [AnonymousClassExpression({ ‘slot_conditions’: {‘volatilityStrikePrice’: SlotDefinition({‘name’: ‘volatilityStrikePrice’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘varianceStrikePrice’: SlotDefinition({‘name’: ‘varianceStrikePrice’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} })] })

Usages

Section titled “Usages”
used by used in type used
PortfolioReturnTerms varianceReturnTerms range VarianceReturnTerms
ReturnTerms varianceReturnTerms range VarianceReturnTerms

Comments

Section titled “Comments”
  • Rosetta condition Positive_VegaNotionalAmount is not stated in LinkML: if vegaNotionalAmount -> value exists then vegaNotionalAmount -> value > 0
  • Rosetta condition UnderlierMustBeListedDerivative is not stated in LinkML: if exchangeTradedContractNearest exists then exchangeTradedContractNearest as ListedDerivative exists
  • Rosetta condition ReferenceContract is not stated in LinkML: if valuationTerms -> futuresPriceValuation = True then exchangeTradedContractNearest exists
  • Rosetta condition NonNegativeStrikePrice is not stated in LinkML: if volatilityStrikePrice -> value exists then volatilityStrikePrice -> value >= 0 and if varianceStrikePrice -> value exists then varianceStrikePrice -> value >= 0

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:VarianceReturnTerms
native common_domain_model:VarianceReturnTerms

LinkML Source

Section titled “LinkML Source”

Direct

Section titled “Direct”
name: VarianceReturnTerms
comments:
- 'Rosetta condition Positive_VegaNotionalAmount is not stated in LinkML: if vegaNotionalAmount
  -> value exists then vegaNotionalAmount -> value > 0'
- 'Rosetta condition UnderlierMustBeListedDerivative is not stated in LinkML: if exchangeTradedContractNearest
  exists then exchangeTradedContractNearest as ListedDerivative exists'
- 'Rosetta condition ReferenceContract is not stated in LinkML: if valuationTerms
  -> futuresPriceValuation = True then exchangeTradedContractNearest exists'
- 'Rosetta condition NonNegativeStrikePrice is not stated in LinkML: if volatilityStrikePrice
  -> value exists then volatilityStrikePrice -> value >= 0 and if varianceStrikePrice
  -> value exists then varianceStrikePrice -> value >= 0'
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTermsBase
attributes:
  varianceStrikePrice:
    name: varianceStrikePrice
    description: Variance Strike Price in accordance with the ISDA 2011 Equity Derivatives
      Definitions.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - VarianceReturnTerms
    range: Price
  volatilityStrikePrice:
    name: volatilityStrikePrice
    description: Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives
      Definitions.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: Price
  varianceCapFloor:
    name: varianceCapFloor
    description: Contains possible barriers for variance products, both variance-based
      and underlier price based
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - VarianceReturnTerms
    range: VarianceCapFloor
  volatilityCapFloor:
    name: volatilityCapFloor
    description: Contains containing volatility-based barriers
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: VolatilityCapFloor
  vegaNotionalAmount:
    name: vegaNotionalAmount
    description: Vega Notional represents the approximate gain/loss at maturity for
      a 1% difference between RVol (realised vol) and KVol (strike vol). It does not
      necessarily represent the Vega Risk of the trade.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - VarianceReturnTerms
    range: NonNegativeQuantitySchedule
  exchangeTradedContractNearest:
    name: exchangeTradedContractNearest
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: address "pointsTo"=PriceQuantity->observable
    description: Specification of the exchange traded contract nearest.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: Observable
all_of:
- description: 'From ReturnTermsBase. PositiveExpectedN: The number of expected trading
    dates must be positive'
  slot_conditions:
    expectedN:
      name: expectedN
      minimum_value: 1
- description: 'StrikePriceMustExist: The strike price must be present, but it can
    be expressed in either variance or volatility terms'
  exactly_one_of:
  - slot_conditions:
      volatilityStrikePrice:
        name: volatilityStrikePrice
        value_presence: PRESENT
  - slot_conditions:
      varianceStrikePrice:
        name: varianceStrikePrice
        value_presence: PRESENT

Induced

Section titled “Induced”
name: VarianceReturnTerms
comments:
- 'Rosetta condition Positive_VegaNotionalAmount is not stated in LinkML: if vegaNotionalAmount
  -> value exists then vegaNotionalAmount -> value > 0'
- 'Rosetta condition UnderlierMustBeListedDerivative is not stated in LinkML: if exchangeTradedContractNearest
  exists then exchangeTradedContractNearest as ListedDerivative exists'
- 'Rosetta condition ReferenceContract is not stated in LinkML: if valuationTerms
  -> futuresPriceValuation = True then exchangeTradedContractNearest exists'
- 'Rosetta condition NonNegativeStrikePrice is not stated in LinkML: if volatilityStrikePrice
  -> value exists then volatilityStrikePrice -> value >= 0 and if varianceStrikePrice
  -> value exists then varianceStrikePrice -> value >= 0'
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTermsBase
attributes:
  varianceStrikePrice:
    name: varianceStrikePrice
    description: Variance Strike Price in accordance with the ISDA 2011 Equity Derivatives
      Definitions.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - VarianceReturnTerms
    range: Price
  volatilityStrikePrice:
    name: volatilityStrikePrice
    description: Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives
      Definitions.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: Price
  varianceCapFloor:
    name: varianceCapFloor
    description: Contains possible barriers for variance products, both variance-based
      and underlier price based
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - VarianceReturnTerms
    range: VarianceCapFloor
  volatilityCapFloor:
    name: volatilityCapFloor
    description: Contains containing volatility-based barriers
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: VolatilityCapFloor
  vegaNotionalAmount:
    name: vegaNotionalAmount
    description: Vega Notional represents the approximate gain/loss at maturity for
      a 1% difference between RVol (realised vol) and KVol (strike vol). It does not
      necessarily represent the Vega Risk of the trade.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - VarianceReturnTerms
    range: NonNegativeQuantitySchedule
  exchangeTradedContractNearest:
    name: exchangeTradedContractNearest
    annotations:
      rosetta_metadata:
        tag: rosetta_metadata
        value: address "pointsTo"=PriceQuantity->observable
    description: Specification of the exchange traded contract nearest.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: Observable
  valuationTerms:
    name: valuationTerms
    description: Contains all non-date valuation information.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - ReturnTermsBase
    range: ValuationTerms
    required: true
  annualizationFactor:
    name: annualizationFactor
    description: This specifies the numerator of an annualization factor. Frequently
      this number is equal to the number of observations of prices in a year e.g.
      252.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - ReturnTermsBase
    range: integer
  dividendApplicability:
    name: dividendApplicability
    description: The parameters which define whether dividends are applicable
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - ReturnTermsBase
    range: DividendApplicability
  equityUnderlierProvisions:
    name: equityUnderlierProvisions
    description: Contains Equity Underlyer provisions regarding jurisdiction and fallbacks.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - ReturnTermsBase
    range: EquityUnderlierProvisions
  sharePriceDividendAdjustment:
    name: sharePriceDividendAdjustment
    description: Indicates whether the price of shares is adjusted for dividends or
      not.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - ReturnTermsBase
    range: boolean
  expectedN:
    name: expectedN
    description: Expected number of trading days.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - ReturnTermsBase
    range: integer
    required: true
  initialLevel:
    name: initialLevel
    description: Contract will strike off this initial level. Providing just the initialLevel
      without initialLevelSource, infers that this is AgreedInitialPrice - a specified
      Initial Index Level.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - ReturnTermsBase
    range: decimal
  initialLevelSource:
    name: initialLevelSource
    description: In this context, this is AgreedInitialPrice - a specified Initial
      Index Level.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - ReturnTermsBase
    range: DeterminationMethodEnum
  meanAdjustment:
    name: meanAdjustment
    description: Specifies whether Mean Adjustment is applicable or not in the calculation
      of the Realized Volatility, Variance or Correlation
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VarianceReturnTerms
    domain_of:
    - ReturnTermsBase
    range: boolean
  performance:
    name: performance
    description: Performance calculation, in accordance with Part 1 Section 12 of
      the 2018 ISDA CDM Equity Confirmation for Security Equity Swap, Para 75. 'Equity
      Performance'. Cumulative performance is used as a notional multiplier factor
      on both legs of an Equity Swap.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: VarianceReturnTerms
    domain_of:
    - DividendReturnTerms
    - PriceReturnTerms
    - ReturnTermsBase
    range: string
all_of:
- description: 'From ReturnTermsBase. PositiveExpectedN: The number of expected trading
    dates must be positive'
  slot_conditions:
    expectedN:
      name: expectedN
      minimum_value: 1
- description: 'StrikePriceMustExist: The strike price must be present, but it can
    be expressed in either variance or volatility terms'
  exactly_one_of:
  - slot_conditions:
      volatilityStrikePrice:
        name: volatilityStrikePrice
        value_presence: PRESENT
  - slot_conditions:
      varianceStrikePrice:
        name: varianceStrikePrice
        value_presence: PRESENT