DatedValue
Type CDM 7.2.0Defines a date and value pair. This definition is used for varying rate or amount schedules, e.g. a notional amortisation or a step-up coupon schedule.
Attributes
All 2 declared on DatedValue. Cardinality in amber is required.
| Name | Type | Card. | Description |
|---|---|---|---|
| date | date | 1..1 | The date on which the associated step value becomes effective. This day may be subject to adjustment in accordance with a business day convention. |
| value | number | 1..1 | The rate of amount which becomes effective on the associated step date. A rate of 5% would be represented as 0.05. |
Referenced by
1 type holds a DatedValue 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 |
|---|---|---|
| InsertDatedValue | returns | Build a list of datedValues with the new entry inserted after the last item whose date is either before or the same as the effective date. The value for the new entry is taken from the previous datedValue item. Note that this will append a new entry if the effective date is greater than all the dates in the datedValue list. |
| UpdateDatedValue | returns | Updates the amount of the dated value that matches the effective date passed in. Only the datedValue item(s) that match the effective date will be updated according to the direction. |
| MapCommodityOptionStrikePriceSchedule | returns | — |
| MapCommodityOptionToStrikePriceDatedValues | returns | — |
| InsertDatedValue | takes | Build a list of datedValues with the new entry inserted after the last item whose date is either before or the same as the effective date. The value for the new entry is taken from the previous datedValue item. Note that this will append a new entry if the effective date is greater than all the dates in the datedValue list. |
| UpdateDatedValue | takes | Updates the amount of the dated value that matches the effective date passed in. Only the datedValue item(s) that match the effective date will be updated according to the direction. |
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