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common-domain-model

Class: VolatilityCapFloor

Contains volatility-based barriers. Volatility Cap needs to be specified in accordance with the ISDA 2011 Equity Derivatives Definitions.

URI: common_domain_model:VolatilityCapFloor

 classDiagram
    class VolatilityCapFloor
    click VolatilityCapFloor href "../VolatilityCapFloor/"
      VolatilityCapFloor : applicable
        
      VolatilityCapFloor : totalVolatilityCap
        
      VolatilityCapFloor : volatilityCapFactor

Slots

Section titled “Slots”
Name Cardinality and Range Description Inheritance
applicable 1
Boolean		 Indicates whether the volatility cap is applicable in accordance with the ISD… direct
totalVolatilityCap 0..1
Decimal		 Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives Def… direct
volatilityCapFactor 0..1
Decimal		 Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives Def… direct

Usages

Section titled “Usages”
used by used in type used
VarianceReturnTerms volatilityCapFloor range VolatilityCapFloor
VolatilityReturnTerms volatilityCapFloor range VolatilityCapFloor

Comments

Section titled “Comments”
  • Rosetta condition CapFloorApplicability is not stated in LinkML: if applicable = True then totalVolatilityCap exists or volatilityCapFactor exists else totalVolatilityCap is absent and volatilityCapFactor is absent
  • Rosetta condition PositiveCaps is not stated in LinkML: if totalVolatilityCap exists then totalVolatilityCap >= 0 and if volatilityCapFactor exists then volatilityCapFactor >= 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:VolatilityCapFloor
native common_domain_model:VolatilityCapFloor

LinkML Source

Section titled “LinkML Source”

Direct

Section titled “Direct”
name: VolatilityCapFloor
description: Contains volatility-based barriers. Volatility Cap needs to be specified
  in accordance with the ISDA 2011 Equity Derivatives Definitions.
comments:
- 'Rosetta condition CapFloorApplicability is not stated in LinkML: if applicable
  = True then totalVolatilityCap exists or volatilityCapFactor exists else totalVolatilityCap
  is absent and volatilityCapFactor is absent'
- 'Rosetta condition PositiveCaps is not stated in LinkML: if totalVolatilityCap exists
  then totalVolatilityCap >= 0 and if volatilityCapFactor exists then volatilityCapFactor
  >= 0'
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  applicable:
    name: applicable
    description: Indicates whether the volatility cap is applicable in accordance
      with the ISDA 2011 Equity Derivatives Definitions. Setting the element 'applicable'
      to 'False' - means No Volatility Cap and no 'totalVolatilityCap' or 'volatilityCapFactor'
      should be provided. Setting the element 'applicable' to 'True' - means Volatility
      Cap election, then 'totalVolatilityCap' or 'volatilityCapFactor' should be provided,
      otherwise it defaults to volatilityCapFactor=2.5.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    domain_of:
    - NotDomesticCurrency
    - SpecifiedCurrency
    - FinalReturns
    - FailureToPay
    - GracePeriodExtension
    - Restructuring
    - VolatilityCapFloor
    - PCDeliverableObligationCharac
    range: boolean
    required: true
  totalVolatilityCap:
    name: totalVolatilityCap
    description: Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives
      Definitions. This means the Volatility Cap Amount election is a number.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - VolatilityCapFloor
    range: decimal
  volatilityCapFactor:
    name: volatilityCapFactor
    description: Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives
      Definitions. The Calculated VolCapAmt can be optionally provided.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    domain_of:
    - VolatilityCapFloor
    range: decimal

Induced

Section titled “Induced”
name: VolatilityCapFloor
description: Contains volatility-based barriers. Volatility Cap needs to be specified
  in accordance with the ISDA 2011 Equity Derivatives Definitions.
comments:
- 'Rosetta condition CapFloorApplicability is not stated in LinkML: if applicable
  = True then totalVolatilityCap exists or volatilityCapFactor exists else totalVolatilityCap
  is absent and volatilityCapFactor is absent'
- 'Rosetta condition PositiveCaps is not stated in LinkML: if totalVolatilityCap exists
  then totalVolatilityCap >= 0 and if volatilityCapFactor exists then volatilityCapFactor
  >= 0'
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  applicable:
    name: applicable
    description: Indicates whether the volatility cap is applicable in accordance
      with the ISDA 2011 Equity Derivatives Definitions. Setting the element 'applicable'
      to 'False' - means No Volatility Cap and no 'totalVolatilityCap' or 'volatilityCapFactor'
      should be provided. Setting the element 'applicable' to 'True' - means Volatility
      Cap election, then 'totalVolatilityCap' or 'volatilityCapFactor' should be provided,
      otherwise it defaults to volatilityCapFactor=2.5.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: VolatilityCapFloor
    domain_of:
    - NotDomesticCurrency
    - SpecifiedCurrency
    - FinalReturns
    - FailureToPay
    - GracePeriodExtension
    - Restructuring
    - VolatilityCapFloor
    - PCDeliverableObligationCharac
    range: boolean
    required: true
  totalVolatilityCap:
    name: totalVolatilityCap
    description: Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives
      Definitions. This means the Volatility Cap Amount election is a number.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VolatilityCapFloor
    domain_of:
    - VolatilityCapFloor
    range: decimal
  volatilityCapFactor:
    name: volatilityCapFactor
    description: Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives
      Definitions. The Calculated VolCapAmt can be optionally provided.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    rank: 1000
    owner: VolatilityCapFloor
    domain_of:
    - VolatilityCapFloor
    range: decimal