CalculationPeriodData
Type CDM 7.2.0The model carries no description for this type.
Extends —
Extended by —
Attributes 6
Namespace cdm.product.common.schedule
Attributes
All 6 declared on CalculationPeriodData. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| startDate | date | 1..1 | — |
| endDate | date | 1..1 | — |
| daysInPeriod | int | 1..1 | — |
| daysInLeapYearPeriod | int | 1..1 | — |
| isFirstPeriod | boolean | 1..1 | — |
| isLastPeriod | boolean | 1..1 | — |
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 |
|---|---|---|
| CalculationPeriod | returns | 2006 ISDA Definition Section 4.13. 'Calculation Period' means, in respect of a Swap Transaction and a party, each period from, and including, one Period End Date of that party to, but excluding, the next following applicable Period End Date during the Term of the Swap Transaction, except that (a) the initial Calculation Period for the party will commence on, and include, the Effective Date and (b) the final Calculation Period for the party will end on, but exclude, the Termination Date. |
| CalculationPeriods | returns | 2006 ISDA Definition Section 4.13. 'Calculation Period' means, in respect of a Swap Transaction and a party, each period from, and including, one Period End Date of that party to, but excluding, the next following applicable Period End Date during the Term of the Swap Transaction, except that (a) the initial Calculation Period for the party will commence on, and include, the Effective Date and (b) the final Calculation Period for the party will end on, but exclude, the Termination Date. |
| CalculationPeriodRange | returns | — |
| Create_CalculationPeriodBase | takes | Create a CalculationPeriodBase type from CalculationPeriodData type. |
| FixedAmount | takes | 2006 ISDA Definition Article 5 Section 5.1. Calculation of a Fixed Amount: The Fixed Amount payable by a party on a Payment Date will be: (a) if an amount is specified for the Swap Transaction as the Fixed Amount payable by that party for that Payment Date or for the related Calculation Period, that amount; or (b) if an amount is not specified for the Swap Transaction as the Fixed Amount payable by that party for that Payment Date or for the related Calculation Period, an amount calculated on a formula basis for that Payment Date or for the related Calculation Period as follows: Fixed Amount = Calculation Amount × Fixed Rate × Day Count Fraction. |
| FloatingAmount | takes | 2006 ISDA Definition Article 6 Section 6.1. Calculation of a Floating Amount: Subject to the provisions of Section 6.4 (Negative Interest Rates), the Floating Amount payable by a party on a Payment Date will be: (a) if Compounding is not specified for the Swap Transaction or that party, an amount calculated on a formula basis for that Payment Date or for the related Calculation Period as follows: Floating Amount = Calculation Amount × Floating Rate + Spread × Floating Rate Day Count Fraction (b) if 'Compounding' is specified to be applicable to the Swap Transaction or that party and 'Flat Compounding' is not specified, an amount equal to the sum of the Compounding Period Amounts for each of the Compounding Periods in the related Calculation Period; or (c) if 'Flat Compounding' is specified to be applicable to the Swap Transaction or that party, an amount equal to the sum of the Basic Compounding Period Amounts for each of the Compounding Periods in the related Calculation Period plus the sum of the Additional Compounding Period Amounts for each such Compounding Period. |
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