CorrelationReturnTerms
Type CDM 7.2.0The model carries no description for this type.
Attributes
3 declared on CorrelationReturnTerms, 10 inherited. Cardinality in amber is required.
| Name | Type | Card. | Description | From |
|---|---|---|---|---|
| valuationTerms | ValuationTerms | 1..1 | Contains all non-date valuation information. | ReturnTermsBase |
| annualizationFactor | int | 0..1 | This specifies the numerator of an annualization factor. Frequently this number is equal to the number of observations of prices in a year e.g. 252. | ReturnTermsBase |
| dividendApplicability | DividendApplicability | 0..1 | The parameters which define whether dividends are applicable | ReturnTermsBase |
| equityUnderlierProvisions | EquityUnderlierProvisions | 0..1 | Contains Equity Underlyer provisions regarding jurisdiction and fallbacks. | ReturnTermsBase |
| sharePriceDividendAdjustment | boolean | 0..1 | Indicates whether the price of shares is adjusted for dividends or not. | ReturnTermsBase |
| expectedN | int | 1..1 | Expected number of trading days. | ReturnTermsBase |
| initialLevel | number | 0..1 | Contract will strike off this initial level. Providing just the initialLevel without initialLevelSource, infers that this is AgreedInitialPrice - a specified Initial Index Level. | ReturnTermsBase |
| initialLevelSource | DeterminationMethodEnum | 0..1 | In this context, this is AgreedInitialPrice - a specified Initial Index Level. | ReturnTermsBase |
| meanAdjustment | boolean | 0..1 | Specifies whether Mean Adjustment is applicable or not in the calculation of the Realized Volatility, Variance or Correlation | ReturnTermsBase |
| performance | calculation | 0..1 | Performance calculation, in accordance with Part 1 Section 12 of the 2018 ISDA CDM Equity Confirmation for Security Equity Swap, Para 75. 'Equity Performance'. Cumulative performance is used as a notional multiplier factor on both legs of an Equity Swap. | ReturnTermsBase |
| correlationStrikePrice | Price | 1..1 | Correlation Strike Price in accordance with the ISDA 2011 Equity Derivatives Definitions. | — |
| boundedCorrelation | NumberRange | 0..1 | Describes correlation bounds, which form a cap and a floor on the realized correlation. | — |
| numberOfDataSeries | int | 0..1 | Number of data series, normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific, each of these geographic areas will have its own data series to avoid contagion. | — |
Conditions
Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.
PositiveNumberOfDataSeries Condition
The number of data series must be positive
if numberOfDataSeries exists then numberOfDataSeries > 0 CorrelationValue Condition
The correlation strike price is a decimal with allowed values only between 1 and -1
correlationStrikePrice -> value > -1 and correlationStrikePrice -> value < 1Referenced by
1 type holds a CorrelationReturnTerms 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 |
|---|---|---|
| MapCorrelationLegToCorrelationReturnTerms | returns | — |
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