CalculationPeriodDates
Type CDM 7.2.0A data for: defining the parameters used to generate the calculation period dates schedule, including the specification of any initial or final stub calculation periods. A calculation period schedule consists of an optional initial stub calculation period, one or more regular calculation periods and an optional final stub calculation period. In the absence of any initial or final stub calculation periods, the regular part of the calculation period schedule is assumed to be between the effective date and the termination date. No implicit stubs are allowed, i.e. stubs must be explicitly specified using an appropriate combination of firstPeriodStartDate, firstRegularPeriodStartDate and lastRegularPeriodEndDate.
Extends —
Extended by —
Attributes 9
Namespace cdm.product.common.schedule
Attributes
All 9 declared on CalculationPeriodDates. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| effectiveDate | AdjustableOrRelativeDate | 0..1 | The first day of the terms of the trade. This day may be subject to adjustment in accordance with a business day convention. |
| terminationDate | AdjustableOrRelativeDate | 0..1 | The last day of the terms of the trade. This date may be subject to adjustments in accordance with the business day convention. It can also be specified in relation to another scheduled date (e.g. the last payment date). |
| calculationPeriodDatesAdjustments | BusinessDayAdjustments | 0..1 | The specification of the business day convention and financial business centers used for adjusting any calculation period date if it would otherwise fall on a day that is not a business day in the specified business center. |
| firstPeriodStartDate | AdjustableOrRelativeDate | 0..1 | The start date of the calculation period. FpML specifies that for interest rate swaps this date must only be specified if it is not equal to the effective date. It is always specified in the case of equity swaps and credit default swaps with periodic payments. This date may be subject to adjustment in accordance with a business day convention. |
| firstRegularPeriodStartDate | date | 0..1 | The start date of the regular part of the calculation period schedule. It must only be specified if there is an initial stub calculation period. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. |
| firstCompoundingPeriodEndDate | date | 0..1 | The end date of the initial compounding period when compounding is applicable. It must only be specified when the compoundingMethod element is present and not equal to a value of None. This date may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. |
| lastRegularPeriodEndDate | date | 0..1 | The end date of the regular part of the calculation period schedule. It must only be specified if there is a final stub calculation period. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. |
| stubPeriodType | StubPeriodTypeEnum | 0..2 | Method to allocate any irregular period remaining after regular periods have been allocated between the effective and termination date. The multiplicity of 2 allows the possibility of expressing the type for both an initial and final stub at the same time. |
| calculationPeriodFrequency | CalculationPeriodFrequency | 0..1 | The frequency at which calculation period end dates occur with the regular part of the calculation period schedule and their roll date convention. |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
FpML_ird_16 Condition
FpML validation rule ird-16 - If firstRegularPeriodStartDate exists within any element of type CalculationPeriodDates, then terminationDate/unadjustedDate must be after firstRegularPeriodStartDate. This data rule applies within a given interest rate payout component.
if firstRegularPeriodStartDate exists
then terminationDate -> adjustableDate -> unadjustedDate > firstRegularPeriodStartDate FpML_ird_17 Condition
FpML validation rule ird-17 - If lastRegularPeriodEndDate exists, then terminationDate/unadjustedDate must be after lastRegularPeriodEndDate. This data rule applies within a given interest rate payout component.
if lastRegularPeriodEndDate exists
then terminationDate -> adjustableDate -> unadjustedDate > lastRegularPeriodEndDate FpML_ird_18 Condition
FpML validation rule ird-18 - If firstRegularPeriodStartDate exists, and if lastRegularPeriodEndDate exists, then lastRegularPeriodEndDate must be after firstRegularPeriodStartDate. This data rule applies within a given interest rate payout component.
if firstRegularPeriodStartDate exists and lastRegularPeriodEndDate exists
then lastRegularPeriodEndDate > firstRegularPeriodStartDate FpML_ird_20 Condition
FpML validation rule ird-20 - If lastRegularPeriodEndDate exists, then lastRegularPeriodEndDate must be after effectiveDate/unadjustedDate. This data rule applies within a given interest rate payout component.
if lastRegularPeriodEndDate exists
then lastRegularPeriodEndDate > effectiveDate -> adjustableDate -> unadjustedDate FpML_ird_21 Condition
FpML validation rule ird-21 - If firstPeriodStartDate exists, then firstPeriodStartDate/unadjustedDate must be before effectiveDate/unadjustedDate. This data rule applies within a given interest rate payout component.
if firstPeriodStartDate exists and effectiveDate exists
then firstPeriodStartDate -> adjustableDate -> unadjustedDate < effectiveDate -> adjustableDate -> unadjustedDate FpML_ird_22 Condition
FpML validation rule ird-22 - If firstPeriodStartDate exists, and if firstRegularPeriodStartDate exists, then firstPeriodStartDate/unadjustedDate must be before firstRegularPeriodStartDate. This data rule applies within a given interest rate payout component.
if firstPeriodStartDate exists and firstRegularPeriodStartDate exists
then firstPeriodStartDate -> adjustableDate -> unadjustedDate < firstRegularPeriodStartDateReferenced by
7 types hold a CalculationPeriodDates as an attribute.
CommodityPayoutDateRelativeToCalculationPeriodDatesInterestRatePayoutObservationTermsResetDatesStubCalculationPeriodAmountStubPeriod
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 |
|---|---|---|
| MapCommodityCalculationPeriods | returns | — |
| MapFraCalculationPeriodDates | returns | — |
| MapInterestLegCalculationPeriodDates | returns | — |
| MapSwapCalculationPeriodDates | returns | — |
| Create_DetermineUnadjustedCalculationPeriodInstruction | takes | This function generates the Instruction Composition step instruction necessary to determine the unadjusted calculation period and adding it to the DetermineUnadjustedObservationPeriodInstruction. |
| MapFraToFixedInterestRatePayout | takes | — |
| MapFraToFloatingInterestRatePayout | takes | — |
| CalculationPeriod | takes | 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 | takes | 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. |
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