CalculatedRateDetails

Type CDM 7.2.0

Type for reporting details of calculated rates, including the observations that went into the final reported rate.

Extends —

Extended by —

Attributes 7

Namespace cdm.observable.asset.calculatedrate

Attributes

All 7 declared on CalculatedRateDetails. Cardinality in amber is required.

Name	Type	Card.	Description
observations	CalculatedRateObservations	0..1	The observation dates and weights for each observation date.
weightedRates	number	0..*	The weighted value of each observation.
growthFactor	number	0..*	The daily growth factors, showing the weighted rates divided by the day count basis plus one, giving how much the value grows for each step in the calculation.
compoundedGrowth	number	0..*	The compounding curve, showing how the initial value grew during the calculation period.
aggregateValue	number	0..1	The total sum or product of all the individual terms that went into the calculated rate.
aggregateWeight	number	0..1	The total weight of all the terms that went into the calculated rate.
calculatedRate	number	0..1	The resulting calculated weight.

1 type holds a CalculatedRateDetails as an attribute.

Model functions that produce or consume this type. These are the CDM's own behaviour — the logic a correct implementation has to match.

Function	Role	Description
ApplyCompoundingFormula	returns	Implements the compounding formula: Product of ( 1 + (rate * weight) / basis), then backs out the final rate. This is used to support section 7.3 of the 2021 ISDA Definitions.
ApplyAveragingFormula	returns	Implements the weighted arithmetic averaging formula. Sums the weighted rates and divides by the total weight. This is used to support section 7.4 of the 2021 ISDA Definitions.

Walk the tree and the reference graph interactively, and switch releases to see how the type has changed. Free, no signup.

Parsed from CDM 7.2.0 · observable-asset-calculatedrate-type.rosetta cdm.observable.asset.calculatedrate