CalculationPeriodFrequency
Type CDM 7.2.0A class to specify the frequency at which calculation period end dates occur within the regular part of the calculation period schedule and their roll date convention.
Attributes
2 declared on CalculationPeriodFrequency, 2 inherited. Cardinality in amber is required.
| Name | Type | Card. | Description | From |
|---|---|---|---|---|
| periodMultiplier | int | 1..1 | A time period multiplier, e.g. 1, 2, or 3. If the period value is T (Term) then period multiplier must contain the value 1. | Frequency |
| period | PeriodExtendedEnum | 1..1 | A time period, e.g. a day, week, month, year or term of the stream. | Frequency |
| rollConvention | RollConventionEnum | 1..1 | The roll convention specifies the period term as part of a periodic schedule, i.e. the calculation period end date within the regular part of the calculation period. The value could be a rule, e.g. IMM Settlement Dates, which is the 3rd Wednesday of the month, or it could be a specific day of the month, such as the first day of the applicable month. It is used in conjunction with a frequency and the regular period start date of a calculation period. | — |
| balanceOfFirstPeriod | boolean | 0..1 | Indicates, when true, that that the first Calculation Period should run from the Effective Date to the end of the calendar period in which the Effective Date falls, e.g. Jan 15 - Jan 31 if the calculation periods are one month long and Effective Date is Jan 15. If false, the first Calculation Period should run from the Effective Date for one whole period, e.g. Jan 15 to Feb 14 if the calculation periods are one month long and Effective Date is Jan 15. Mostly used in Commmodity Swaps. | — |
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_57 Condition
FpML validation rule ird-57 - Context: CalculationPeriodFrequency. [period eq ('M', 'Y')] not(rollConvention = ('NONE', 'SFE', 'MON', 'TUE', 'WED', 'THU', 'FRI', 'SAT','SUN')).
if period = PeriodExtendedEnum -> M or period = PeriodExtendedEnum -> Y
then rollConvention <> RollConventionEnum -> NONE
and rollConvention <> RollConventionEnum -> SFE
and rollConvention <> RollConventionEnum -> MON
and rollConvention <> RollConventionEnum -> TUE
and rollConvention <> RollConventionEnum -> WED
and rollConvention <> RollConventionEnum -> THU
and rollConvention <> RollConventionEnum -> FRI
and rollConvention <> RollConventionEnum -> SAT
and rollConvention <> RollConventionEnum -> SUN FpML_ird_58 Condition
FpML validation rule ird-58 - Context: CalculationPeriodFrequency. When the period is 'W', the rollConvention must be a week day, 'SFE' or 'NONE'.
if period = PeriodExtendedEnum -> W
then rollConvention = RollConventionEnum -> NONE
or rollConvention = RollConventionEnum -> SFE
or rollConvention = RollConventionEnum -> MON
or rollConvention = RollConventionEnum -> TUE
or rollConvention = RollConventionEnum -> WED
or rollConvention = RollConventionEnum -> THU
or rollConvention = RollConventionEnum -> FRI
or rollConvention = RollConventionEnum -> SAT
or rollConvention = RollConventionEnum -> SUN FpML_ird_60 Condition
FpML validation rule ird-60 - Context: CalculationPeriodFrequency. When the period is 'T', the rollConvention must be 'NONE'.
if period = PeriodExtendedEnum -> T
then rollConvention = RollConventionEnum -> NONEReferenced by
3 types hold a CalculationPeriodFrequency 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 |
|---|---|---|
| MapCalculationPeriodFrequency | returns | — |
| MapPeriodicPaymentToCalculationPeriodFrequency | returns | — |
| MapCommodityCalculationPeriodFrequency | returns | — |
| MapCommodityCalculationPeriodsScheduleToCalculationPeriodFrequency | returns | — |
| PeriodsInYear | takes | — |
Open CalculationPeriodFrequency in the Model Browser
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