CalculationPeriodBase
Type CDM 7.2.0The calculation period adjusted start and end dates, which are the baseline arguments needed to compute an interest accrual calculation.
Attributes
All 2 declared on CalculationPeriodBase. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| adjustedStartDate | date | 0..1 | The calculation period start date, adjusted according to any relevant business day convention. |
| adjustedEndDate | date | 0..1 | The calculation period end date, adjusted according to any relevant business day convention. |
Referenced by
5 types hold a CalculationPeriodBase as an attribute.
AdjustPeriodInstructionDetermineUnadjustedCalculationPeriodInstructionFixedAmountCalculationDetailsFloatingAmountCalculationDetailsResetInstructionState
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 |
|---|---|---|
| ComputeCalculationPeriod | returns | Determine the calculation period to use for computing the calculated rate (it may not be the same as the normal calculation period, for instance if the rate is set in advance. |
| DetermineObservationPeriod | returns | Determine any applicable offsets/shifts for the period for observing an index, and then generate the date range to be used for observing the index, based on the calculation period, plus any applicable offsets/shift. |
| GenerateObservationPeriod | returns | Generate the date range to be used for observing the index, based on the calculation period, plus any applicable offsets/shifts. |
| Create_CalculationPeriodBase | returns | Create a CalculationPeriodBase type from CalculationPeriodData type. |
| GetNonBusinessDates | takes | This function, given the list of business centers applicable and a period or a list of dates, extracts the list of non business dates for the given period or list of dates and returns the corresponding list of non business dates. The function should receive as input a list of dates or a period, but not both at the same time. That is, given either a list of periods or a period (start date + end date), the function will return their non business days. |
| Create_AdjustPeriodInstruction | takes | This function generates the Instruction Composition step instruction necessary to adjust the unadjusted period, and adding it to the AdjustPeriodInstruction. Supported business day conventions in this version are: {Following, Preceding, ModFollowing}. Other conventions (e.g., ModPreceding, Nearest) are currently out-of-scope. |
| EvaluateCalculatedRate | takes | Evaluate a calculated rate as described in the 2021 ISDA Definitions. |
| GenerateObservationDatesAndWeights | takes | Apply shifts to generate the list of observation dates and weights for each of those date. |
| ComputeCalculationPeriod | takes | Determine the calculation period to use for computing the calculated rate (it may not be the same as the normal calculation period, for instance if the rate is set in advance. |
| DetermineObservationPeriod | takes | Determine any applicable offsets/shifts for the period for observing an index, and then generate the date range to be used for observing the index, based on the calculation period, plus any applicable offsets/shift. |
| GenerateObservationPeriod | takes | Generate the date range to be used for observing the index, based on the calculation period, plus any applicable offsets/shifts. |
| GenerateObservationDates | takes | Generate the list of observation dates given an observation period. |
| GenerateWeightings | takes | Determine the weighting dates and the corresponding weights to be used for weighting observation. |
| DetermineWeightingDates | takes | Determine the dates to be used for weighting observation. |
| FixedAmountCalculation | takes | Calculates the fixed amount for a calculation period by looking up the notional and the fixed rate and multiplying by the year fraction. |
| GetFixedRate | takes | Look up the fixed rate for a calculation period. |
Showing 12 of each. All 1286 functions →
Open CalculationPeriodBase in the Model Browser
Walk the tree and the reference graph interactively, and switch releases to see how the type has changed. Free, no signup.