AdjustmentFactorCalculationTerms
Type CDM 7.2.0Describes the input terms involved in the calculation of the adjustment factor applied to the price of the underlier impacted by a Corporate Action.
Extends —
Extended by —
Attributes 10
Namespace cdm.event.common
Attributes
All 10 declared on AdjustmentFactorCalculationTerms. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| shareForShareRatio | number | 0..1 | Multiple value, say 'M/N' where 'M' is the number of shares after the event and 'N' is the number of shares prior to the event. |
| shareForRightsRatio | number | 0..1 | Multiple value, say 'M/N' where 'M' is the number of rights after the event, and 'N' of shares prior to the event. |
| rightsSubscriptionPrice | Price | 0..1 | The price to pay per each right. |
| dividendRatio | number | 0..1 | Multiplier value (e.g. 85 %, etc.) to calculate net dividend amount, given gross amount before taking into account the relevant fiscal features. |
| spinOff | SpinOff | 0..1 | Defines the underlier for both the Parent Company and the Child Compagny involved in Spin Off corporate action, as well as the respective price observation for each. |
| merger | Merger | 0..1 | Defines the underlier for both the Purchaser Company and the Acquired Compagny involved in Spin Off corporate action, as well as the respective price observation for each. |
| accrualFactor | AccrualFactor | 0..1 | The accrual rate and related terms, to adjust the price of an underlier impacted by a Corporate Action when economic impact consists in freezing the underlier price to last fixing and applying accruals for each remaining underlier price fixing date required i.e. for each, adjustedPrice = lastFixingPrice x (1 + accrualRate x DCF). |
| lastFixingPriceBeforeAdjustment | Price | 0..1 | The last fixing price of the Underlier affected by the CorporateAction, before any adjustment with regards to the CorporateAction. |
| dividendObservation | PriceSchedule | 0..1 | To record observations of dividends. |
| bespokeCalculationFormula | string | 0..1 | To describe the formula used to calculate the Adjustment Factor. |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
SpinOffOrMergerOrAccrual Condition
optional choice spinOff, merger, accrualFactor DividendObservation Condition
Price type is restricted to record observations of dividends.
if dividendObservation exists
then dividendObservation -> priceType = PriceTypeEnum -> Dividend ShareRatio Condition
optional choice shareForShareRatio, shareForRightsRatioReferenced by
1 type holds an AdjustmentFactorCalculationTerms as an attribute.
Open AdjustmentFactorCalculationTerms in the Model Browser
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