CalculationPeriod
Type CDM 7.2.0A data defining: the parameters used in the calculation of a fixed or floating rate calculation period amount. This data forms: part of cashflows representation of a swap stream.
Extends CalculationPeriodBase
Extended by —
Attributes 12 (10 own)
Namespace cdm.product.common.schedule
Attributes
10 declared on CalculationPeriod, 2 inherited. Cardinality in amber is required.
| Name | Type | Card. | Description | From |
|---|---|---|---|---|
| adjustedStartDate | date | 0..1 | The calculation period start date, adjusted according to any relevant business day convention. | CalculationPeriodBase |
| adjustedEndDate | date | 0..1 | The calculation period end date, adjusted according to any relevant business day convention. | CalculationPeriodBase |
| unadjustedStartDate | date | 0..1 | The calculation start date, unadjusted. | — |
| unadjustedEndDate | date | 0..1 | The calculation end date, unadjusted. | — |
| calculationPeriodNumberOfDays | int | 0..1 | The number of days from the adjusted effective / start date to the adjusted termination / end date calculated in accordance with the applicable day count fraction. | — |
| notionalAmount | number | 0..1 | The amount that a cashflow will accrue interest on. | — |
| fxLinkedNotionalAmount | FxLinkedNotionalAmount | 0..1 | The amount that a cashflow will accrue interest on. This is the calculated amount of the FX linked - i.e. the other currency notional amount multiplied by the appropriate FX spot rate. | — |
| floatingRateDefinition | FloatingRateDefinition | 0..1 | The floating rate reset information for the calculation period. | — |
| fixedRate | number | 0..1 | The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05. | — |
| dayCountYearFraction | number | 0..1 | The year fraction value of the calculation period, result of applying the ISDA rules for day count fraction defined in the ISDA Annex. | — |
| forecastAmount | Money | 0..1 | The amount representing the forecast of the accrued value of the calculation period. An intermediate value used to generate the forecastPaymentAmount in the PaymentCalculationPeriod. | — |
| forecastRate | number | 0..1 | A value representing the forecast rate used to calculate the forecast future value of the accrual period. This is a calculated rate determined based on averaging the rates in the rateObservation elements, and incorporates all of the rate treatment and averaging rules. A value of 1% should be represented as 0.01. | — |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
NotionalChoice Condition
condition to represent an FpML choice construct.
required choice notionalAmount, fxLinkedNotionalAmount RateChoice Condition
condition to represent an FpML choice construct.
required choice floatingRateDefinition, fixedRate StartDateChoice Condition
FpML validation rule ird-30 - Context: CalculationPeriod (complex type). unadjustedStartDate exists or adjustedStartDate exists.
required choice adjustedStartDate, unadjustedStartDate EndDateChoice Condition
FpML validation rule ird-31 - Context: CalculationPeriod (complex type). unadjustedEndDate exists or adjustedEndDate exists.
required choice adjustedEndDate, unadjustedEndDateReferenced by
1 type holds a CalculationPeriod as an attribute.
Functions
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 |
|---|---|---|
| MapCalculationPeriodList | returns | — |
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