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common-domain-model

Class: VolatilityReturnTerms

URI: common_domain_model:VolatilityReturnTerms

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

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

        
      VolatilityReturnTerms : exchangeTradedContractNearest
        
          
    
        
        
        VolatilityReturnTerms --> "0..1" ListedDerivative : exchangeTradedContractNearest
        click ListedDerivative href "../ListedDerivative/"
    

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

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

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

        
      VolatilityReturnTerms : volatilityStrikePrice
        
          
    
        
        
        VolatilityReturnTerms --> "1" Price : volatilityStrikePrice
        click Price href "../Price/"

Inheritance

Section titled “Inheritance”

Slots

Section titled “Slots”
Name Cardinality and Range Description Inheritance
volatilityStrikePrice 1
Price		 Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives D… direct
volatilityCapFloor 0..1
VolatilityCapFloor		 Contains volatility-based barriers direct
exchangeTradedContractNearest 0..1
ListedDerivative		 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})} })

Usages

Section titled “Usages”
used by used in type used
PortfolioReturnTerms volatilityReturnTerms range VolatilityReturnTerms
ReturnTerms volatilityReturnTerms range VolatilityReturnTerms

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:VolatilityReturnTerms
native common_domain_model:VolatilityReturnTerms

LinkML Source

Section titled “LinkML Source”

Direct

Section titled “Direct”
name: VolatilityReturnTerms
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTermsBase
attributes:
  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
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: Price
    required: true
  volatilityCapFloor:
    name: volatilityCapFloor
    description: Contains volatility-based barriers
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: VolatilityCapFloor
  exchangeTradedContractNearest:
    name: exchangeTradedContractNearest
    description: Specification of the exchange traded contract nearest.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: ListedDerivative
all_of:
- description: 'From ReturnTermsBase. PositiveExpectedN: The number of expected trading
    dates must be positive'
  slot_conditions:
    expectedN:
      name: expectedN
      minimum_value: 1

Induced

Section titled “Induced”
name: VolatilityReturnTerms
from_schema: https://w3id.org/lmodel/common-domain-model
is_a: ReturnTermsBase
attributes:
  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
    owner: VolatilityReturnTerms
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: Price
    required: true
  volatilityCapFloor:
    name: volatilityCapFloor
    description: Contains volatility-based barriers
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: VolatilityReturnTerms
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: VolatilityCapFloor
  exchangeTradedContractNearest:
    name: exchangeTradedContractNearest
    description: Specification of the exchange traded contract nearest.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset
    owner: VolatilityReturnTerms
    domain_of:
    - VarianceReturnTerms
    - VolatilityReturnTerms
    range: ListedDerivative
  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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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: VolatilityReturnTerms
    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